Number of cointegrating relationships in Johansen test
Posted: Tue Oct 22, 2013 7:32 am
dear forum,
I am using Eviews 8. I am using Johnson co-integration test to determine the "number of co-integrating relations".
The test generates two tables:
1) "Unrestricted Cointegration Rank Test (Trace)"
2) "Unrestricted Cointegration Rank Test (Maximum Eigenvalue)"
If "Trace statistic" and "Maximum Eigenvalue" give different results.
Let's say Trace indicates one co-integrated relation.
Max Eigen value indicates two co-integrated relations
Which one should I choose?
I kindly thank you for your help!
lnp3
I am using Eviews 8. I am using Johnson co-integration test to determine the "number of co-integrating relations".
The test generates two tables:
1) "Unrestricted Cointegration Rank Test (Trace)"
2) "Unrestricted Cointegration Rank Test (Maximum Eigenvalue)"
If "Trace statistic" and "Maximum Eigenvalue" give different results.
Let's say Trace indicates one co-integrated relation.
Max Eigen value indicates two co-integrated relations
Which one should I choose?
I kindly thank you for your help!
lnp3