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 ...
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 ...
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 ...
I was looking at howto figure out the optimal lag order for an ADF-test when I came across this PPT presentation. There are two examples of a ADF-test model reduction, one on p23 and one on p36. I ...