I'm trying to learn how to do Johansen's cointegration test. I am using the Python's "statsmodels.tsa.vector_ar.vecm.coint_johansen".
I have run 10 tests, each with 5 series. All series are different from each other. Most have 2 significant Eigenvalue/Trace values, but some have 3. However, I noticed something weird. What's strange is that the first 2 are significant, the next 2 are not, and the last one is significant.
Should I switch to maybe doing analysis in R instead?
This question also seems to point out some discrepencies: Why are the critical values in coint_johansen in statsmodels in Python so different from the ones in ca.jo in urca in R?
