Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: multivariate cointegration test
From
Merijn Groenenboom <[email protected]>
To
[email protected]
Subject
st: multivariate cointegration test
Date
Thu, 4 Aug 2011 23:02:16 +0200
Dear Statalisters,
I am writing a research about the effect of economic indicators on stock prices.
First I tested for unit roots. Only some variables were stationary at
level, but all variables were stationary at first differences.
Then I will test for multivariate cointegration using Johansen's
method. But before that I use AIC to determine the appropriate lag
lengths.
However I am not sure I have to use level or first differences in AIC
test and multivariate cointegration test.
I know after these tests I have to use first differences for granger
causality test and impulse response function.
But I think AIC and cointegration test should be done at level.
However I am not 100% sure and to avoid spurious results I hope
somebody with experience can tell me the answer!
Thank you.
Merijn G
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/