Johansen Cointegration Test: Choosing Between VAR and VECM Models
Автор: Umeh_richard Econometrics
Загружено: 2026-01-09
Просмотров: 17
In this video, I demonstrate how to use the Johansen cointegration test to determine whether to estimate a VAR or VECM model for your time-series data.
You will learn how to:
Perform the Johansen cointegration test step by step
Interpret the trace and maximum eigenvalue statistics
Decide whether a VAR model or a VECM (Vector Error Correction Model) is appropriate based on cointegration results
Apply these techniques in economic research, thesis work, or policy-oriented studies
This tutorial is ideal for postgraduate students, researchers, economists, and data analysts working with time-series data in EViews or similar econometric software. By the end of this video, you’ll be able to choose the correct model for multivariate time-series analysis confidently.
📌 Topics Covered:
Johansen Cointegration Test Basics
VAR vs VECM Model Selection
Interpreting Cointegration Test Results
Practical Examples
👍 If you find this video helpful, please like, share, and subscribe for more tutorials on econometrics, time-series modeling, and applied economic research.
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