Are the long run coefficients (or rather t-values) in the cointegrating equations of the Johansen cointegration test sensitive to non-normality? I know the short run equations in the VEC representations are, and I know the trace statistic in the Johansen cointegration test itself is not sensitive to non-normality.
Normaility is an essential characteristics of VECM. Perform normality test. If it is non normal, identify outliers and solve the non normality problem with standardized residuals.
Please clarify if you are talking about the short run or the long run equations. Like I said, the question was not about the VECM short run, but the long run cointegrating equation.
The ECT coefficient denotes long run relationship. I thought you have used Johanson VECM where in a single equation you can show both long run and short run realtionships. Coefficient of first difference term shows short run relationship. You can check the residuals for non normality.
- Badges
- Science topic
- Similar topics
- Biological Science
- Kinesiology
- Running