Johansen Cointegration Test
Posted: Mon Apr 09, 2012 12:31 am
Hi,
I wonder if it makes sense to have VAR stability tested and confirmed all lie in unit circle, and yet still have Johansen cointegration detecting 6 CI equations?
Thanks!
I wonder if it makes sense to have VAR stability tested and confirmed all lie in unit circle, and yet still have Johansen cointegration detecting 6 CI equations?
Thanks!