johansen test

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    Johansen test with dummy variable, urca

    I am using urca package to get Johansen test results for 3 variables with 2 dummy variables: library(urca) johansenresults <-[,c(2,11,9)], ecdet = "const", type="trace", K=5, spec="longrun",season=NULL, dumvar = datamod2[,c(13,14)]) Everything works...
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    Johansen cointegration test and eigen vectors

    Hello I'm new to statistcs really and struggling a little to get my head around some aspects of the Johansesn test for cointegration. I'm looking at the eigenvectors specifically, there are a number of columns, its my understanding that the ratios in the first colum result in the greatest...
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    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...
  4. T

    VECM interpretation - Johansen-Procedure

    X1 , X2 , X3 and X4 are time series which are stationary at level.I want to establish long term relation between them.I am planning to use it as forecasting model for my work.I want to create this model in terms of equation.I have tested all of them for KPSS test and got p=0.01 for all of...
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    Cointegration and granger's causality test in Excel

    I have following data: A -> 100 150 123 145 167 200 250 300 270 B-> 290 300 280 276 234 234 288 345 399 How can I perform stationarity,cointegration,Granger's test in Excel?
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    selecting reporting stat for Johansen Test for Cointegration

    All, I am running a Johansen test to test for co-integration and do not find an statistically significant result in either the max eigenvalue or the trace statistic. Not wanting to let it go, both the SBIC and HQIC report minimum values at I(1). As I was building the table, I thought...
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    Johansen Test For Cointegration‏

    Hi, I am a student from Belgium and I am making a thesis about the relationship between credit aggregates and property prices. I examine the Granger-Causality between the two variables and I also do some conintegration tests. I have a question about the latter. What are the conditions for...