Tag Info

New answers tagged

0

Two cointegrated series contain a single unit root. Each series can be formulated as the sum of a common unit root plus a stationary component. Most textbooks covering cointegration will cover such formulations - see Hamilton's (1994) discussion of Phillips' "triangular representation" of a cointegrated vector, for example. Simulating is likely to be easy ...


0

Assuming you're using http://www.mathworks.com/help/econ/jcitest.html, there is 1 cointegrating relationship. The function can also output p-values.


1

I would say that you can use Johansens methods to test for rank of co-integration matrix. There are tests for that. If there is no co-integration vector present and both series are I(0) then there is no co-integration. Series still might have some short-run dynamics. If series are I(1) and no con-integration vector is present then modeling these series by ...



Top 50 recent answers are included