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Johansen cointegration test
Posted: Mon Jul 09, 2012 8:51 pm
by khor1984
Hi, if my series do not have unit root (stationary), can i do Johansen cointegration test?
Re: Johansen cointegration test
Posted: Wed Jul 11, 2012 5:45 am
by Khagani
Cointegration tests checks the long run relationship between variables. If your variables are stationary, then you do not need to apply cointegration test (in this case Johansen)
Re: Johansen cointegration test
Posted: Fri Jan 04, 2013 10:10 am
by redpen
Some papers run Johansen cointegration even if the variables have been found to be I(0). If two variables are I(0) is it wrong to run a cointegration test?
Re: Johansen cointegration test
Posted: Sun Jan 06, 2013 12:54 am
by womatar
The purpose of testing for cointegration is to see if a group of non-stationary variables share a relationship that is stationary. So there I don't see a reason to do this for stationary variables. Straight OLS can give you residuals that are not serially correlated.