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!