I want to test my time series for cointegration using the Johansen test in R. I got the following result and so I know now that at least 5 out of 9 of my time series are cointegrated. My question is, how to understand which one of them are cointegrated and which one aren't.

If it's not possible to answer my question within this particular test, maybe the ADF test (or any other test) will help me with this problem?

My primary goal was to build up a VAR for this time series. So my next question will be if it's appropriate to use the VECM for these series in order to reach my goal.

I'll appriciate any help and/or advice!



Test results

  • $\begingroup$ The test result shows that your 9 series are cointegrated with rank 5, which is not the same as 5 series are cointegrated but 4 are not. And yes, you can use a VECM since the rank $0<r<9$ (otherwise you could not use VECM). $\endgroup$ – Richard Hardy Apr 3 '16 at 13:15
  • $\begingroup$ If i'm not wrong if the series are cointegrated you HAVE to use a VECM right? @RichardHardy $\endgroup$ – Alejandro Andrade Apr 3 '16 at 18:35
  • $\begingroup$ @alejandroandrade, Yes. $\endgroup$ – Richard Hardy Apr 3 '16 at 19:16

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.