the adjustment coefficeint in Johansen Cointegration
Posted: Sun May 06, 2012 10:24 pm
dear all
I'm estimating a model with Johansen conitegration and ECM, but I'm confused about the adjustment coefficient. is the adjustment coefficient should be significantly negative and its value should be range between -1 and 0?
I need some one to clarify it for me.
thanks in advance
I'm estimating a model with Johansen conitegration and ECM, but I'm confused about the adjustment coefficient. is the adjustment coefficient should be significantly negative and its value should be range between -1 and 0?
I need some one to clarify it for me.
thanks in advance