Questions tagged [co-integration]

Two or more non-stationary, integrated variables are cointegrated if there exists a linear combination of those variables which is integrated of a lower order, e.g. stationary.

7 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
2 votes
0 answers
55 views

In Panel Data models, could we apply the existing Unit Root Tests (i.e. IPS) to the residuals in order to test for Cointegration?

The Engle Granger approach suggests that we check the regression residuals stationarity with ADF test and if the residuals are stationary, even if not all other model variables are, we can say there ...
Econom0nster's user avatar
1 vote
0 answers
22 views

Purchasing power parity and cointegrating vectors

I am testing for the existence of purchasing power parity (PPP) relationships using cointegration tests, among others, and I am a bit tempted to test whether or not my cointegrating vectors are equal ...
Pavel Filip's user avatar
1 vote
1 answer
110 views

Cointegration in stock market between different market places

Hi guys im interested in cointegration in stock market between Brazil, USA, London, China, India, Argentina and Hong Kong. Since I want to compare each country’s index to the BR index, how do i do to ...
RoutoCharles's user avatar
1 vote
0 answers
78 views

Sources of Growth and co-integration: production function approach

I am experimenting with time series data to gauge the importance of factors of production i.e. labour force, capital stock, energy, land, etc. in output growth. One venue I am looking into is the ...
london's user avatar
  • 1,990
0 votes
0 answers
31 views

What should I do before an OLS regression and Johansen cointegration test with time series data?

I have to make a regression with real exports as the dependent and then an aggregated GDP income variable and the real effective exchange rate as independent variables. My variables are time series (...
ORESTIS TZIAMALIS's user avatar
0 votes
0 answers
31 views

Johansen Test Results: highest eigenvalues equal to 0, lower higher than 0

Suppose that we perfrom a Johansen test over three I(1) variables that give us these results through the maximum eigenvalues statistic: as you can see, we accept the null hypothesis in the first step,...
Mauro's user avatar
  • 101
0 votes
0 answers
55 views

Cointegration but no Granger causality

Suppose I have two variables - $y_t$ and $x_t$ - which are cointegrated. I believe that (i) $y_t$ responds to deviations from the long-run equilibrium, (ii) the long-run elasticity of $y_t$ with ...
user25468's user avatar