Leve or difference series for Johansen cointegration test??
Posted: Mon Oct 01, 2012 3:14 pm
Hey, guys,
I have one problem with Johansen cointegration test and wish you could help me.
I know the the variables needs to be intergrated into the same order in order to use Johansen test and my variables are all I(1) series.
My questions is when we conduct Johasen cointegration test, do we use the level series or the difference series???
It will be nice to hear from you and thank you very much!!!!
I have one problem with Johansen cointegration test and wish you could help me.
I know the the variables needs to be intergrated into the same order in order to use Johansen test and my variables are all I(1) series.
My questions is when we conduct Johasen cointegration test, do we use the level series or the difference series???
It will be nice to hear from you and thank you very much!!!!