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Johansen cointegration test

Posted: Fri Oct 18, 2013 11:30 pm
by rosemaryam
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.

Re: Johansen cointegration test

Posted: Sat Oct 19, 2013 10:01 am
by Chuvaekek
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

Re: Johansen cointegration test

Posted: Sat Oct 19, 2013 9:59 pm
by rosemaryam
thanks.
can u explain me.how can i modifiy data in eviews?