The asymptotic distribution of the LR test statistic for cointegration does not have the usual distribution and depends on the assumptions made with respect to deterministic trends. Similarly, the cointegrating equations may have intercepts and deterministic trends. Your series may have nonzero means and deterministic trends as well as stochastic trends. You may wish first to apply unit root tests to each series in the VAR.
Note that since this is a test for cointegration, this test is only valid when you are working with series that are known to be nonstationary. The dialog will differ slightly depending on whether you are using a group or an estimated Var object to perform your test. The Cointegration Test Specification page prompts you for information about the test. As explained below, the elements of are known as the adjustment parameters in the VEC model. Results of Restricted Cointegration Test.ĮViews supports VAR-based cointegration tests using the methodology developed in Johansenperformed using a Group object or an estimated Var object. Interpreting Results of a Johansen Cointegration Test.
How to Perform a Johansen Cointegration Test.
