Cointegration
Posted: Fri May 10, 2013 6:42 am
I've got a question about cointegration. I've made a residual series and did a ADF Unit-root test. I got the following data out of it:
I'm however not sure which of the statistics I should use to determine cointegration. I'd hope someone would be able to help me with it. Much appreciated.Augmented Dickey-Fuller test statistic -
t-statistic 0.814356
Prob. 0.9529
Variables:
RESID_COINTEGRATION(-1) Prob. 0.4226
C Prob. 0.3269
@TREND(1965) Prob. 0.1754