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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. For using VECM the rank for cointegration in Eviews has a maximum of 3. What is the problem in this model? How do you do the analysis when both number of variables and cointegration are same?

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Suppose you have two variables. With one cointegrating relationship, it describes the long-run relationship between the two variables. Something is still left to vary in the short-run. That would not be the case for two cointegrating relationships. For the same reason, you can only have 3 cointegrating relationships with four variables. The Spatial Econometrics toolbox for Matlab will only test $r<=m-1$ where $r$ is the number of cointegrating relationships and $m$ is the number of variables. I imagine your package is the same.

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