cointegration test for time series at time t and t+1
Posted: Wed Aug 29, 2012 10:24 pm
Hi all,
I am currently doing Johansen's conintegration test, suppose sample period is 2000/10/10 to 2010/10/10 for both variable x and y.
I need to test both the cointegration for same-day data " x(t) and y (t)" , and cointegration for different-day data "x(t+1) and y(t)", i know for the first, just follow default setting, but what about the second one---- x(t+1) and y (t)
how do i change the setting of var specification or cointegrating specification, do i need to add one more data for variable x in eview ? LOL.. I use a version 7.1 eview thx!!
I am currently doing Johansen's conintegration test, suppose sample period is 2000/10/10 to 2010/10/10 for both variable x and y.
I need to test both the cointegration for same-day data " x(t) and y (t)" , and cointegration for different-day data "x(t+1) and y(t)", i know for the first, just follow default setting, but what about the second one---- x(t+1) and y (t)
how do i change the setting of var specification or cointegrating specification, do i need to add one more data for variable x in eview ? LOL.. I use a version 7.1 eview thx!!