Econometrics # 37 : Johansen Cointegration with EViews (English Version)
Автор: TJ Academy
Загружено: 2020-11-09
Просмотров: 33818
CORRECTION: DO NOT use lag selection according to the video. Use lag interval as suggested by EViews. Here lag interval is "11" as suggested by EViews.
Reference for trace and eigenvalue comparison:
Lüutkepohl, H., Saikkonen, P., & Trenkler, C. (2001). Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. The Econometrics Journal, 4(2), 287-310.
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