I'm trying to figure out how to perform cointegration tests in R between 2 time series. I'm using
po.test from the package
ca.jo from the package
urca, and I have a couple of questions:
- If I use PO which is non symmetric and one time series is stationary and the other isn't, I get opposite results. Is this normal? Also related I guess, if I have two time series and don't know yet whether they are stationary, can I use cointegration tests right away or do I need to pretest for unit roots?
- When I use
ca.poI get very different results, why is this?