0
$\begingroup$

The variables that are used for cointegration are I(1). I got the error correction term as negative but it not significant. So how should i proceed for the results?

$\endgroup$
3
  • $\begingroup$ What is the goal of your analysis? See also 1, 2 and maybe some related questions; I have answered a few of these. $\endgroup$ Mar 10 '20 at 9:37
  • $\begingroup$ thank you for the response. The goal is to check if there's any co-integration among the variables and if yes then it's Error correction model. $\endgroup$
    – User1996
    Mar 11 '20 at 9:12
  • $\begingroup$ The goal is to check if there's any co-integration among the variables. Then use a test, e.g. Johansen test or Engle-Granger test. (Why do you care about a negative error correction term if it does not answer the question of whether there is cointegration or not?) $\endgroup$ Mar 11 '20 at 10:48

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.