Urgent help for Estimation

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alim
Posts: 18
Joined: Tue Dec 27, 2011 6:34 am

Urgent help for Estimation

Postby alim » Sat Jun 23, 2012 8:25 am

Hi Everyone,

I need quick help from someone. I will highly appreciate you.

I have 10 variables. Three of them are at level stationary and seven are first difference stationary. When I am doing Johansen Cointegration test; the result shows that four variables are cointregrated. Can you please tell me how I can estimate these variables or how can I proceed next.

Thanking you

BABUL

thomaskm
Posts: 10
Joined: Thu May 24, 2012 4:46 am

Re: Urgent help for Estimation

Postby thomaskm » Mon Jun 25, 2012 1:26 am

I'm no expert on this either, so take my advice lightly:

Would it make sense to take the first difference of all time series such that the common drift is gone?
You could also logarithmically transform the series.


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