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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...
  2. P

    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...
  3. 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...
  4. 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...
  5. L

    Does all variabler in a VAR/VEC need to be normally distributed?

    Well? Does all variables in a VAR/VEC need to be normally distributed, or only the target variable? It is very hard to get all of them to meet criteria of normality without deleting too many outliers.
  6. L

    Can a cointegrated variable be exogenous in first difference in a VEC model?

    If I have a variable C that is cointegrated with both variables A and B separately, can I use it in first-differenced form as an exogenous variable in a VEC model involving A and B?
  7. N

    What to do with non-stationary and not cointegrated panel data?

    Hi, I've been trying to conduct a panel data analysis. I have 3 variables, all of them stationary at I(1). Then I employed both Westerlund and Pedroni panel cointegration tests. Both tests gave the same result, my data are not cointegrated. And now i am lost, don't know what's next? How can...
  8. L

    error correction model

    Hi, Could anyone give me the code for error correction model, please? I learned, how to apply both steps in "two-stage approach", but who should these results from both steps be used? What is the final model that should be implemented? Can anyone give me the SAS code that I could use? Any...
  9. T

    Time series Analysis : Vector autoregression in R

    I am finding relation between two time series M & M1. M and M1 both found to be stationary at first difference and also cointegrated at first difference. Using VARselect in R,I found out 4 as lag length for M and 6 as lag length for M1. Then I have tested for Granger and I got ...
  10. T

    Time series Analysis

    I have 4 time series.One of them is stationary and rest of them are not.I need to find relation between them.I will use AIC to decide lag length.Should I use VAR or VECM to find relation between them? Will VAR or VECM give me relation in terms of equation which can be used for forecasting? Do I...
  11. T

    Interpreting ADF Test result

    I have imported csv into R.CSV has 530 rows and one column.I tested it with 3 stationary tests and I got 3 different results. 1) > sapply(mydata,ur.df) $X765 ############################################################### # Augmented Dickey-Fuller Test Unit Root / Cointegration Test #...
  12. T

    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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    Urgent help needed: can I take mean of correlation coeficients?

    Historic market (Cash) prices and future contract prices are available for last 4 years. I have found correlation between Jan'11 market price with Jan'11,Feb'11 and March'11 future contract prices separately.I am planning to do the same for all months till Dec'14. So I will have 3 coefficients...
  14. V

    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...
  15. G

    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...
  16. L

    Johansen Cointegration test issue

    Hello, Let me describe the issue: I have a vector of four time series, each component of which is I(1). When I put the four series into a matrix and run the Johansen cointegration test, the library I am using reports that the rank of the error correction matrix is four. If my understandingis...