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Problems with panel cointegration test
Posted: Mon Aug 19, 2013 6:52 am
by Mito
I have 2 variables which are LGDP and FDI. When I run panel cointegration test (Open as a Group, View/Cointegration test/ panel cointegration test ...) I use pedroni method. When I choose FDI first( which means my series will be FDI LGDP in the result table), the results are totally different with the results I got when I choose LGDP first (series: LGDP FDI). Anyone got any ideas about why? I think when I test for cointegration, no matter what variables are selected first, I will get the same results.
Many thanks.
Re: Problems with panel cointegration test
Posted: Mon Aug 19, 2013 10:19 am
by EViews Glenn
You will not necessarily get the same results using different variables in your system as the dependent variable
http://forums.eviews.com/viewtopic.php? ... le+granger
Re: Problems with panel cointegration test
Posted: Wed Aug 21, 2013 7:26 am
by Mito
in the topic you gave me, I still confuse about the conclusions. In my data, the results say that LGDP and FDI is cointegrated but FDI and LGDP is not. It doesnt make sense at all. Could you suggest me what I should say about these results?
Re: Problems with panel cointegration test
Posted: Mon Aug 26, 2013 8:22 am
by EViews Glenn
That the results are in disagreement when you perform the test using different dependent variables.