I have learned that E. Granger test is better when there are 2 variables. But in my case there are 6 of them. Johansen Test assumes that variables are either stationary or become stationary after taking first difference, i.e. they are integrated with order 1. But I have variables with more than 1 integration order. Which test I should go for?
sory prof when you have done the e-Grager and not in satisfied results you can check with A.D.F or Paseran test,then any variable is not integrated in first difference you will do the second difference and mintioned that this variable is in second difference.Then you can find one or more Co integration .
thanks
Dear researcher, if you could manage to normalize your data set using famous "Winsorization approach" your variables will become stationary at level or first difference, that would enable you to overcome this problem. You can use stata or SPSS for this purpose.
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