I have tested for cointegration between two variables, REIT returns and direct property returns, which are cointegrated. However, when I add variables to this Johansen cointegration test (i.e. economic variables), the test is returning that there is no cointegration. All variables are I(1).
Does this make any sense? Shouldn't there be at least one cointegrating relationship in the multiple variable cointegration test, since the REIT and direct property variables are cointegrated on their own?