Identifying 'which' variables are cointegrated in CVAR
Posted: Fri Jan 03, 2014 4:03 pm
Happy New Year everyone!
I have have a quick question RE the Johansen procedure.
I have 5 variable VARs for several countries with cointegration (1/2 relationships) identified in each. This may be a silly question but is there are a formal procedure for identifying which variables in the system cointegrate?
Thanks for the help,
Tom
I have have a quick question RE the Johansen procedure.
I have 5 variable VARs for several countries with cointegration (1/2 relationships) identified in each. This may be a silly question but is there are a formal procedure for identifying which variables in the system cointegrate?
Thanks for the help,
Tom