I'm doing Phillips-Ouliaris Cointegration test with po.test function inside tseries library.
I have a simple question about the "cointegration".
When i do PO test I get the p-value result but I don't get the "coefficients" of the cointegration. Is it normal?
I mean, the cointegration is used to know the "relathionship" of two or more series, analyzing p-value I could understand if the series are cointegrated or not, but IF those series are cointegrated how to understand what coefficients establish their relationship?
Do I have to do a linear regression AFTER the cointegration test? (to calculate the coefficients)