Tagged Questions
0
votes
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, ...
0
votes
1answer
107 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 ...
1
vote
1answer
339 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 ...
2
votes
1answer
228 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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4
votes
1answer
294 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 ...
