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st: Cointegration with many independent variables


From   Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Cointegration with many independent variables
Date   Tue, 25 Aug 2009 14:26:41 +0100

Hello.
I am looking to do a cointegrating analysis.
I have already done a -vecrank- with a variety of variables,
I was just wondering whether I could do it the following way: reg one variable against the other and then test wether the residuals  from this regression are stationary or not.
I was just wonderng whether anyone could tell me whether this is the way of doing it (I have a number of independent variables if that makes any difference)
 
Kind Regards
 
Ihtesham
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