I know its probably been asked bevor but i just don't get it. I have 2 values (Oil and corn price) and i want to check if they are cointegrated. Bevor that, i have tested if they really are non stationarity (and they are assuming to ADF,KPSS and PP).
The value of the test statistic is: 3.17 10.9942
10pct 5pct 1pct r <= 1 | 7.52 9.24 12.97 r = 0 | 13.75 15.67 20.20
The first test stats say that: $H_0$ should be that there is no cointegration at all, but:
10.9942 < 15.67 --> $H_0$ to be rejected -> cointegration exists.
What does the second line say?
The value of the test statistic is: 3.17 14.1641
10pct 5pct 1pct r <= 1 | 7.52 9.24 12.97 r = 0 | 17.85 19.96 24.60
What does this test tell me? Where is the difference? If i know that there is one cointegration, which one is the dependent one?
I appreciate your help!