# Questions tagged [cointegration]

Two or more non-stationary, integrated variables are cointegrated if there exists a linear combination of those variables which is integrated of a lower order, e.g. stationary.

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### Prediction based on new data in the tsDyn package [closed]

I decided to use the tsDyn package to build the model and precision the values. The argument for this package (I previously worked with urca, vars) was the ability to make predictions based on new ...
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### Interpreting an estimated bivariate VECM

I have used the tsDyn package in R to estimate a VEC model for the data in the graph, and I am unsure about my interpretation of the output. ...
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### Granger causality does not imply a pair of integrated time series are cointegrated: an example

If a pair of integrated time series $\{X_t\}$ and $\{Y_t\}$ are cointegrated, at least one of them must Granger-cause the other. Is the converse also true? I guess not, but I am struggling to come up ...
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### Mincer-Zarnowitz test with cointegrated time series

The Mincer-Zarnowitz test of forecast optimality regresses forecast errors $e_{t+h|t}$ on the forecasts $\hat y_{t+h|t}$, $$e_{t+h|t} = \gamma_0 + \gamma_1\hat y_{t+h|t} + u_t \tag{1}$$ or in ...
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### Panel data cointegration test: Package pco in R, how to interpret output from pedroni99 function?

I have a panel dataset and I want to test cointegration between 2 variables. I cleaned the missing values and set my data frame as required but I don't know and can't find how to interpret the outcome ...
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### Johansen cointegration, VAR, VECM

I do have a question regarding Johansen's cointegration, VAR, and VECM model estimation. I would like to analyze the relationship between two variables using these methods. My dataset consists of 4 ...
1 vote
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### Cointegration in quantile regression

I used quantile regression for my research. My variables were significant but my pseudo r was low. So I tested for cointegration. All my variables are I(1) and when I run the models with raw (...
1 vote
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### Johansen test - r studio , "ect1" "ect2" etc

Can someone explain to me the result of this test? I am not sure what the ect1, ect2, etc. mean. Output ...
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### The cointegrating equation in VECM changed sign when I added a trend in the deterministic regressor

I am studying the cointegration between retail prices of pork. In an economical theory this should have a positive relationship. However, when I tested for cointegration using Johansen in Eviews, it ...
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### Johansen test and Philip-Perron test for cointegration

I'm dealing with a cointegration problem. Can anyone explain me which is the difference between the Johansen test and the Philip-Perron test for cointegration? And what does it mean to use the "...
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### Johansen cointegration test for ECM model

I'm dealing with the Johansen cointegration test before running an ECM model. I cannot figure out which type of test execute: with/without constant, with/without trend, ... How can I choose the ...
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### How to specify a VAR model in R with non-stationary, stationary, and trend-stationary variables?

I have a multivariate time series and I want to estimate a VAR model. I tested for unit roots with the ADF and KPSS test and concluded that some variables are non-stationary, while others are ...
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### Lagged regression with more than one predictor time-series

I have n + 1 different discrete time series. One of them is {Yt}, which I call ‘response time series’, and the other n are {Xt,i} (i = 1,…,n) which I call predictor series. I define n time lag ...
1 vote
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### Engle-Granger approach to cointegration, and use of other integration tests

The Engle and Granger define two series as cointegrated, if they are integrated, but a linear combination of the two series exist, which is stationary. To estimate the cointegrating vector (i.e. the ...
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### Applying the Engle-Granger and the Johansen test to univariate multiple regression

I have want to test the cointegration of interest rates in three time series: a group of small open economies, US, and Erozone. I use daily data, and assume that the small open economy has no impact ...
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### How to interpret the Cointegration test result?

How to interpret the Cointegration result?
1 vote