The cointegration tag has no wiki summary.
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How can I perform a familywise error rate correction for Johansen cointegration tests?
I want to test multiple possible cointegration relationships with the Johansen cointegration test. I'm currently using the urca package in R with the ca.jo test. I was going to use the Bonferroni ...
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19 views
Cointegration structure
I have two time series that I am investigating, acc and amb, the time frequency is daily data. They are both non stationary, as evidenced by the follows:
...
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31 views
PCA of cointegrated variables
In Optimal Hedging Using Cointegration, C. Alexander, 1999 (http://www.icmacentre.ac.uk/pdf/cointegration.pdf), page 3, footnote #2:
[...] a PCA of cointegrated variables will yield the common
...
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1answer
42 views
Cointegration of a VAR(1) process
I am using a Johansen procedure to test for cointegration a vectorial 4-dim vector (timeserie).
First I tested for differential stationarity of each individual vector, all of those have a unit root ...
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20 views
cointegration - mixing S & NS regressors; how to test for stationarity; so on
I would like to model a non-stationary variables as a function of 2 other non-stationary variables, in addition to two stationary variables and several dummy variables. The NS dependent variable and ...
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1answer
48 views
Help for Johansen cointegrating vectors test
I'm conducting the masters thesis. I used the Johansen cointegrating procedure to see how many cointegrating vectors are available in the long run and obtained ONE cointegrating vector from Maximum ...
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1answer
114 views
Constructing a VECM with a mix of I(0) and I(1) variables
I've been using the Johansen Procedure to check and correct for cointegration in my model, by estimating a VECM instead of VAR. But now I want to estimate a new model, in which I expect the same ...
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1answer
83 views
Error correction model (to test for asymmetry) with stationary I(0) variables
I have price series which are all stationary without taking any difference --> I(0).
Can I still perform an ECM model to test for asymmetry?
For example:
Y= constant X;
taking the residuals and ...
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110 views
How do i interpret Johansen's test? (Matlab)
I found several similar questions with no answer. But I'm gonna give it a shot anyway.
I'm trying to find assets (stocks) which are co-integrated, since Engle-Granger's test may give cause to ...
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630 views
how do i interpret trace statistic of Johansen's cointegration test?
how do i interpret the results of the Johansen cointegration test if the result from my STATA output fails to accept both null hypotheses of r=0 and r<=1 ?
for example:
STATA Screenshot
can i ...
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110 views
VECM with multiple cointegrating vectors
Hello there I estimated a VECM and from the cointegration tests it revealed there are two cointegrating vectors. When I ran the VECM I used two cointegrating vectors. In my output, there are two ...
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40 views
Panel unit root tests
I am working on Panel unit root results. All the variables are stationary except one variable at first difference in one test (namely LLC), the rest of the tests (i.e., IPS, FisherADF and Fischer PP), ...
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239 views
Bounds testing procedure of cointegration in R or Stata
I would like to know whether there is a package/function in R or Stata that performs the autoregressive distributed lag (ARDL) ...
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1answer
137 views
Johansen's $\Pi$ is full rank except variables are non-stationary
I have two variables. They're both $I(1)$ even when I fit constant and trend terms into the ADF test. The $p$-values for the stationarity tests are around 0.5 so it's not a marginal case.
However, ...
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109 views
How to run Pesaran Cointegration Bound test and removing heteroskedasticity fron short term model?
At first, excuse my english because i don't speak it very well. I am also new in this place. I hope i can ask this question here.
Thanks a lot for what you're doing! I have a question. Now i'm ...
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1answer
178 views
Johansen cointegration test with stationary variables
Journals and books about the Johansen cointegration test suggest that only I(1) variables should be put into a cointegration test. However many journals modelling economic growth and inflation use two ...
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0answers
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Is is ok to use credit spreads to account for a drop in time series for vector error correction model?
I am doing a time series analysis on a quarterly basis from 1990 to the third quarter 2012. Some of the time series had a drop in 2008 because of recession then resumed upwards. This drop is rather ...
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121 views
Difference between unrestricted VECM and restricted VECM?
What's the difference between an unrestricted and a restricted VECM?
I believe a hint lies within the cajorls()[1] function of R language's ...
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1answer
106 views
Putting stationary variables through Johansen procedure
Is it okay to feed $I(0)$ variables into the Johansen procedure? I've read three sources that seem to state that this is not what you're supposed to do. However, whenever I've done this, I notice that ...
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1answer
302 views
Vector error correction model
I am working on finding the relationship between equity, gold, crude oil, and currency value. I used the Johanson cointegration test. Trace test indicates 4 cointegrating equations at the 0.05 level. ...
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1answer
338 views
Cointegration testing with a dummy variable
I have the model:
$y_t = \alpha + \beta_1 x_t + \beta_2 D_t x_t + \epsilon_t$
With $y_t$ and $x_t$ as $I(1)$ processes, and $D_t =1$ during a large financial crisis, $D_t = 0$ during non-crisis ...
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93 views
Can we use IPS test with Kao test?
I have a question about using panel unit root test and panel co integration test. I used IPS unit root test then I realized my variables are I(1) can I now use kao co-integration test for checking ...
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1answer
200 views
How to conduct Johanson's cointegration test with variables stationary at I(0)?
How do you interpret the Johanson's cointegration test if you are doing Granger causality and both variables are stationary at I(0)?
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108 views
Cointegration regression - how to solve sensitivity to ordering of variables
I have a few variables, $A$, $B$, $C$, $D$, and $E$. To find their cointegration coefficients, $A$ is regressed against $B$, $C$, $D$, and $E$.
$$
A = W_b * B + W_c * C + W_d * D + W_e * E + W0 $$
...
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140 views
Testing threshold cointegration in vector error-correction models
In Hansen and Seo's paper on Testing two regime threshold cointegration in VECM (J. Econometrics, 2002; 110:293), the authors proposed a test based on Lagrange Multiplier for testing treshold in ...
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116 views
Computing (lagged) correlations (or similar) between multiple time-series from a VECM or its levels-VARM
Ok, after trying to find a way to get all lagged and non-lagged - correlations from multiple time-series (behavioral series with length around 180) I've confined myself to the following:
I have ...
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62 views
How I use cross validation to estimate parameter for cointegration?
I am evaluating cointegration in pair of stocks.
I make an Ordinary Least Square regression, and than I test if the residuals are stationary using the Dick Fuller Statistic on the residual. I will ...
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0answers
100 views
Is is correct to compare t-statistics of different pairs of cointegrated timeseries?
I am testing for cointegration all the pairs from a set of 100 stocks. I run an Ordinary Least Square Regression on each pair and then I test for the existence of unit roots in the residuals. I am ...
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2answers
268 views
What does that mean that two time series are colinear?
I am familiar with the concept of cointegration.
But I hear sometimes people talking about colinearity (or collinearity) for time series.
A set of points is collinear if they are on the same line. ...
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2answers
175 views
Question about cointegration
I was reading about cointegration (page 5) and it said
"If a linear combination of combination of a set of $I(1)$ variables is
$I(0)$, then the variables are cointegrated."
Does this mean ...
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0answers
96 views
Non parametric cointegration test in R
I am not very comfortable with the (parametric) assumptions made in cointegration analysis. I have recently found that there is a way to carry out nonparametric conintegration analysis (a google ...
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2answers
252 views
How to check if a time series is I(1) in R?
I'm testing the cointegration of two time series of stock prices using adfTest from fUnitRoots, but first I need to check if the series are I(1).
How can I check if a time series is I(1)?
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1answer
113 views
How does regression with and without intercept followed by test of stationarity affect cointegration test?
For a simple 2 variables (say X and Y) cointegration test, how does it affect our analysis, if we perform regression on X and Y with and without the intercept, and then test the spread for ...
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1answer
156 views
Isn't a test for cointegration the same as testing for heteroskedasticity in the residual error terms?
Testing for cointegration tests to see if the residuals from a regression between the two variables is a stationary process. So wouldn't a test on those residuals for heteroskedasticity be the same ...
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Structural shifts
I am using the R programming language to analyze the cointegration of 5 data sets. I have determined that the series share 3 cointegrating vectors after taking structural shits into account following ...
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3answers
989 views
What is the correct procedure to choose the lag when performing Johansen cointegration test?
When preforming Johansen Cointegration test for 2 time series (the simple case) you need to decide the lag you want to use. Doing the test for different lags return different results: for some lag ...
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2answers
506 views
How to test model misspecification using Johansen test?
There are three misspecification tests that I would like to perform on my model for a Johansen test before continuing with the cointegration tests themselves. Following Johansen's advice in ...
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1answer
226 views
Cointegration and correlation
Based on real data (e.g. spot and futures prices of an index) if two series are correlated in the long run (e.g. strong positive significant correlation) it does not mean that they are cointegrated.
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174 views
What are Pu and Pz in the Phillips & Ouliaris cointegration test?
I see the type parameter for Phillips & Ouliaris Cointegration Test in the urca package that should be Pz or Pu. I read the details, but I don't understand what ...
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2answers
387 views
How to choose number of lags for Zivot unit root test?
The fUnitRoots package considers lag=2 as the default value in the urzaTest() function (Zivot & Andrews unit root test), ...
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1answer
208 views
Did I find a bug in the tseries or urca packages?
I'm trying the functions to check the cointegration of a matrix.
I'm using Phillips & Ouliaris Cointegration Test
The function in tseries package is po.test and ca.po in urca
The results with ...
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147 views
Fractional integration and cointegration with R
I am currently reading about fractional integration in the context of error correction models. Does anyone know of a package in r that has a function for Sowells maximum likelihood estimator of d?
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3answers
321 views
A doubt about the cointegration tests
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 ...
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2answers
157 views
How a strong trend could be mean-reverting?
I'm testing ADF, PP and KPSS unit tests with tseries library. I get strange result with ADF and PP.
I have this vector:
x <- rnorm(1000)
obviously this ...
2
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1answer
2k views
Phillips–Perron unit root test instead of ADF test?
I have read that PP unit root is often used in economy. Is it sensible to do both tests (PP & ADF) or is PP test enough?
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255 views
Why two series are cointegrated but not mean-reverting?
I'm checking a timeserie with:
ADF (unitroot)
KPSS (unitroot)
Phillips-Ouliaris (cointegration)
the results are:
Phillips-Ouliaris
...
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1answer
276 views
Help with cointegration problem
Please excuse me if my question is dumb but I am not a Statistics student.
I have a project where I was exploring options for time series analysis where I found some papers on cointegration.
...
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1answer
293 views
How to know if a list of prices are mean-reverting?
I have two historical price lists with the following columns
data - price
Now i have to create the ratio between the prices of these lists:
list A: 01/01/2011 10.50
list B: 01/01/2011 ...
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Johansen Co-integration Interpretation With Example [closed]
How to do interpretation for Johansen Co-integration..(Results from Eviews).. For example..
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) ...
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157 views
Cointegration / multivariate case for 1500+ variables [closed]
I am new to R and cointegration so please have patience with me as I try to explain what it is that I am trying to do. I am trying to find cointegrated variables among 1500-2000 voltage variables in ...
