Hi everyone...my question is that ...
How to put one variable as dependent variable in Johansen cointegration test, if all variables in the model can be endogenous. And how to identify the cointegrating relationship among them, because if I have (for example) 5 variables in the model and I am putting each variable as a dependent variable then each will give a different cointegrating relationship..so how to identify the exact relationship among these 5 variables and how to select the dependent variable.
Devesh Kumar Pant
Using the Johansen Cointegration Test to Interpret the Results:
1. The EViews output contains two statistics: the Trace Statistic and the Max-Eigen Statistic.
2. The rejection criterion is set at 0.05.
3. An asterisk (*) denotes rejection of the null hypothesis.
4. If the probability value is less than or equal to 0.05, reject the null hypothesis.
Dear Fatemeh Khozaei
I think you don't understand my question, my question is "How to select the one dependent variable out of 4-5 variables of unknown nature (they can be exogenous or endogenous), while testing cointegration through Johansen test and analysing ort-run dynamics using Vector Error correction model( if found cointegrated)?"
Thank you
Dear Tariq Kadhim
Thank you for your reply , Can your please explain it further, and methodology behind it.
Dear Devesh ji,
Selection of DV and resulting model is primarily a researcher's choice which is subject to following :
#You get a negative ECM (in your case)
#The necessary prerequisites are fulfilled.
#The short run and long run makes sense to what you are trying to convey through your research.
#Validate the underlying relationships of DV and IVs through different modeling techniques.
With best regards
- Badges
- Science method
- Similar topics
- Methodology