Johansen cointegration test
Posted: 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.
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.