Cointegrated relationships, however, need not be unique. If the residual is stationary then the variables are cointegrated. This is the first step of the so-called Engle-Granger two-step process. I'll answer your questions pertaining to cointegration.ġ) If the context of your exercise is the forecasting of a particular dependent variable by using a set of independent variables as opposed to jointly forecasting a set of variables, then you want to explore an ECM not a VECM, with the latter one being potentially overkill.Ģ) In your process of exploring an ECM, you can test for cointegration between your dependent variable Y and a set of independent variables by testing that the residual obtained after regressing Y on X1, X2, and X3 is weakly stationary. To test for that I read that you can make a Johansen System Cointegration but I really do not understand all the options (Intercept, trend in CE, in VAR etc.) and what they imply, I tried multiple but the results differ greatly.
#Johansen test eviews 10 how to
Which test should I use ? Intercept ? Trend ? None ?Īlso how to test it's order of integration ? I(1), I(2) etc.Īlso when you have multiple variables (more than two) in you long term static equation, it is possible that some variable are cointegrated two by two and that you need to run a VECM (from what I have understood). Lag Length: 2 (Automatic - based on SIC, maxlag=13)Īugmented Dickey-Fuller test statistic -2.811152 0.1957 Lag Length: 1 (Automatic - based on SIC, maxlag=13)Īugmented Dickey-Fuller test statistic -0.874719 0.7939īut when using Trend & Intercept it is not very clear that it is not stationnary : Null Hypothesis: LTD_P51S_DHFZ7_CH has a unit root
#Johansen test eviews 10 series
Running the test (ADF and intercept) I conclude that my series is not stationary : Null Hypothesis: LTD_P51S_DHFZ7_CH has a unit root What is the difference between level, 1st difference and 2nd difference in the ADF Unit root test ?.In eviews options are not pretty clear to me : I am studying ECM alone using a book and some parts are not explained.įirst, the book advise to test for a unit and for the order of integration of the series.
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