Johansen cointegration test

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

rosemaryam
Posts: 2
Joined: Sun Sep 01, 2013 12:31 pm

Johansen cointegration test

Postby rosemaryam » Fri Oct 18, 2013 11:30 pm

hi
I have questions.
for J.c can i use raw data?
for estimating lag for J.c we use var s lag estimating for it.my question is about that for J.c test can i use var lag or i shoud use (var lags-1)?in some refrences i see for example if var lags were 3for J.c they use 2.

Chuvaekek
Posts: 9
Joined: Thu Oct 03, 2013 7:49 am

Re: Johansen cointegration test

Postby Chuvaekek » Sat Oct 19, 2013 10:01 am

the data should integrated of the same order. non stationary at level and stationary in 1st difference. you could run the modified data instead to avoid confusion on lag selection

rosemaryam
Posts: 2
Joined: Sun Sep 01, 2013 12:31 pm

Re: Johansen cointegration test

Postby rosemaryam » Sat Oct 19, 2013 9:59 pm

thanks.
can u explain me.how can i modifiy data in eviews?


Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 1 guest