Recent content by megatr0n

  1. M

    How to put table data in Vector Error Correction Form using Matrices?

    Hi, Good day everyone. I would like to perform the johansen cointegration test on the two time series below. I know the procedure will probably involve performing regression of a variable onto another one. I already know how to perform OLS using matrix algebra. I want to learn the concept of...
  2. M

    How to Test for Co-integration with the Augmented Dickey-Fuller Test?

    Hi everyone. The table above contains two example factories that I would like to test for cointegration using the augmented dickey-fuller test. I intentionally use this short time series because I want to do the calculations by hand. Below you will see my attempt to carry out this procedure and...