I have time series data of 6 variables integrated with order more than 1. Should I use Johansen or E Granger test to check co-integration?

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...

31 December 2017 9,075 4 View