cointegration test for time series at time t and t+1
Posted: Mon Sep 03, 2012 4:08 am
I have a question according to the logic behind the co-integrationt test.
I want to test dhe influence of GDP on a price index.
Since I suppose the effect to be deferred, I uses a lag on the first differenced GDP in an OLS regression => d(GDP(-1))
My question is, do I also use GDP with a lag in the co-integration analysis or is it reluctant since the lags are already analyzed in the methodology of Co-integration.
I really appreciate your help.
Does the same account for the Granger -Causality test?
Thanks
I want to test dhe influence of GDP on a price index.
Since I suppose the effect to be deferred, I uses a lag on the first differenced GDP in an OLS regression => d(GDP(-1))
My question is, do I also use GDP with a lag in the co-integration analysis or is it reluctant since the lags are already analyzed in the methodology of Co-integration.
I really appreciate your help.
Does the same account for the Granger -Causality test?
Thanks