Hello everyone.
I have two main time series A and B and have found them to be cointegrated and cross correlating at lag 4.
I run a regression model by inserting variables A (lagged at 4) along with other 3 time series to explain variable B. I made sure all variables are pre-whitened.
But none of the variables was significant (which was strange in view of their logical relation). how can i explain that A and B are both cross-correlating at lag 4 but that their regressions coefficients are not significant? am trying to answer to the question of whether they are significantly related.
I have two main time series A and B and have found them to be cointegrated and cross correlating at lag 4.
I run a regression model by inserting variables A (lagged at 4) along with other 3 time series to explain variable B. I made sure all variables are pre-whitened.
But none of the variables was significant (which was strange in view of their logical relation). how can i explain that A and B are both cross-correlating at lag 4 but that their regressions coefficients are not significant? am trying to answer to the question of whether they are significantly related.