The following statements use the Johansen cointegration rank test. 13 shows the output for Dickey-Fuller tests for how to interpret johansen cointegration test in stata forex nonstationarity of each series and Johansen cointegration rank test between series. In Dickey-Fuller tests, the second column specifies three types of models, which are zero mean, single mean, or trend.
You can see that both series have unit roots. In the cointegration rank test, the last two columns explain the drift in the model or process. H0 is the null hypothesis, and H1 is the alternative hypothesis. From the result in Figure 32. 15 shows the parameter estimates in terms of lag one coefficients, , and lag one first differenced coefficients, , and their significance. SAS statements prints the reparameterized coefficient estimates. 3 in the SAS statements, the coefficient matrix of lag 3 is zero.
Therefore, the test rejects the null hypothesis, which means that the series has a single common trend. You can download the paper by clicking the button above. Enter the email address you signed up with and we’ll email you a reset link. There are two types of Johansen test, either with trace or with eigenvalue, and the inferences might be a little bit different.
Just like a unit root test, there can be a constant term, a trend term, both, or neither in the model. Be aware that the two are the same. Inferences are drawn on Π, and they will be the same, so is the explanatory power. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”. Likelihood-based Inference in Cointegrated Vector Autoregressive Models. Time-Series-Based Econometrics: Unit Roots and Cointegration. Unit Roots, Cointegration, and Structural Change.