Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

How does one use the Johansen cointegration test in a linear time series model?

Should I only use normalized coeffients for interpretation? Or, once I know that the variables are cointegrated, do I simply regress the variables and consider it the long-run relationship?

share|improve this question

1 Answer 1

no, you should use your original variables, no truncating, normalizing or whatever. And remember that you need Johansen only in case of more than one independent variable.

share|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.