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Unit roots, cointegration [Jun. 29th, 2010|07:35 pm]
Econometrics Forum
1. When testing for unit roots in eviews, if some of the series show trend coefficient (significant) and some only show significant intercept, would it effect my cointegration tests?

2. For cointegration test what should I put the specification as?

3. How do I decide on the number of lags of for cointegration?

4. When I run the VECM model and if I have more than one cointegrating vector, how would I know which one to choose? When I specify the number of cointegrating vectors in eviews (for VECM), it gives me results for the number of cointegrating vectors specified. I am confused as to which one to choose? Can I just leave the number of cointegrating vectors as 1? Would it effect my results for speed of adjustment?