Econometrics # 37 : Johansen Cointegration with EViews (English Version)
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- Опубликовано: 21 авг 2024
- CORRECTION: DO NOT use lag selection according to the video. Use lag interval as suggested by EViews. Here lag interval is "11" as suggested by EViews.
Reference for trace and eigenvalue comparison:
Lüutkepohl, H., Saikkonen, P., & Trenkler, C. (2001). Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. The Econometrics Journal, 4(2), 287-310.
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#Johansen #Cointegration #EngleGranger
CORRECTION: DO NOT use lag selection according to the video. Use lag interval as suggested by EViews. Here lag interval is "11" as suggested by EViews.
Thank you so much.
Could u please expain ,what is difference between none and at most 1 ,2 and 3?
@@munshir.c6161 same question???
why do you use 11 how tha lag interval? is it based on criteria Akaike or Schwarz ?
Another thing, You said the negative sign will be treated as positive. Then what will be the interpretation of cointegration-positive or inversely cointegrated?
Please can u tell me ...u didn't find stationarity this data already stationary or not
I really appreciate people who describe everything in details so that everyone can understand from scratch.
Thank you 😊
Sir I really Don't have words to thank you for this kar e Khair🙏🤲❤️
Sir your method of teaching is very easy i wish I were your student.
Bht help fullll hai sirrrrr bht help fulll
Thanks Sir.
Voice is a bit low, but you elaborated very well.
Masha ALLAH.
Thanks
JazakAllah 🙂
ASW TJ, your teaching style is really nice. Your videos are helping me a lot. God bless you for your work. I have a query here, how can we identify which variables are co-integrated?
Asalam-o-Alaikum jazak Allah sir apkk lecture mashallah boht kmaal k & exam orianted hein. PPSC k exam ho rhy hein. kindly mazeed kuch videos Specifically exam orianted bna dein. Micro n macro development n international trade k topics p.
Ws n JazakAllah. When you visit to TJ Academy, you will see separate playlist of microeconomics and macroeconomic like below:
Micro: Microeconomics (Urdu/Hindi): ruclips.net/p/PLZ6b0WaGAsFmlYc2l53DZmGH-xIEnOTIr
Macro: Macroeconomics (Urdu/Hindi): ruclips.net/p/PLZ6b0WaGAsFmwHLks6IMN3Yz26587fU5v
very helpful and v. well explained sir, thanks alot.
Thank sir
I got to know how to download data from world bank website, may i know which country`s data has been used in this video
Very helpful, thank you so much
Thank you so very much
Which app did you use here?
Is it possible to test co-integration by using SPSS or R software?
If we have found 3 cointegrating equations in cointegration.. Then while running vecm.. Should we enter 3 in cointegration equation option or 1... And will it make any difference.. N then how to interpret 2 cointegration equations.. Sir
How do calculate Cointegration and ADF values manually kindly make a video on it
asalamo alikium, I learned a lot from your videos, still learning. Sir according to your when I divided the values of LF 0.029158 by 0.12209 (at 17:00/18:03 in your video), the t values were not more than 1.96. Here what are the standard t values?
Well informative sir G
Sir for errors correction module time intervals of all the variables are same..
Thank you sir 🙏
Hello, very nice. Thank you. Difficult to find the part of the summary option and how to interpret it in other videos. Congrats for that!
My pleasure 😊
I like your teaching method sir. I am a student of economics and I have become your great fan. In the end I want to ask you sir that when will your playstore app launch as u have stated in some videos.
JazakAllah. I am trying to make it available asap.
hello sir,, i have learned a lot from your vedios,, Thanks a lot for helping the scholars
one doubt i am having in johansen co-integration that what if i am having few variables stationary at first difference and few variables stationary at first difference...
Can't i run the test??
Hi, for Johansen cointegration all variables must be I(1) means stationary at first difference
what if engle and granger and johansen cointegration test shows contradicting results? EG results to cointegration and JC results to no cointegrating vectors? what should i do?
If regression is multiple then JC is more appropriate
Salam
If our 5 variables are in 1st difference and just 1 variable is in level so what should be do further testing ?
Should we go to co-integration test or not ?????????
Please sir guide me I would be very thankful to you
While performing the test should the data be at value or at first level? Should we convert the data into first difference and then apply cointegration test?
Level data will be used.
Okay sir thank you for helping out🙏
hello sir please tell in case of 2 variable and we find 2 cointegrating equation then we said there is long run relationship or not
There is cointegration
Sir, if our trace statistics and eigenvalues shows one cointegrating equation then in that case can we chose between the results of OLS and ECM for interpretation? Or Should we use both?
Sir, In the video description you said not to use method as suggested by you for choosing Lag length. Can we use assumption as suggested by you?
Yes. You should use lag as suggested by EViews
Tats OK sir thank you. How can we select assumptions? As said by you or tat also to leave as it is by Eviews itself? Kindly reply
Summary options will highlight the right option among five given assumption.
Great work sir
What does it means when there is more than one cointegrating equation?
Thank you for message. Please watch
ruclips.net/video/MpDAG_sqaiQ/видео.html
AOA. sir , if there are more than one cointegrating variables in the model so what does it mean ? how should we interpret that
Reject Ho: there is cointegration when trace value is greater than critical value.
or is it Reject Ho: there is no cointegration when trace value is greater than critical value.
could you please clear the concept with the null hypothesis and decision rule
Reject Ho means there is cointegration
according to the summary report, I got option 1 lag 0, option 2 lag 0, and option 5 lag 1. is this possible? and when I chose option 5 lag 1 it showed no cointegration, but then I tried option 1 lag 0(is this acceptable to delete the information in lag box as its zero) and this result showed cointegration. please confirm whether this action is correct? can I base my conclusion on it? or it should always be lag 1 or above?
Use default lag by EViews
Sir when I have applied co-integration test by transforming GDP which is in 2nd difference into 1st difference then it show near singular matrix ???????
Why it shows error singular matrix plz sir help ????
Did u use dummy variable in the model?
Sir, why did you use Schwarz instead of Akaike while finding lag and trend?
U can use anyone
And one more question please. İf my variables are not stationary at level, what should i do? Being Stationary is must for johansen test?
if one variable is I(0) and the other one is I (1), can I perform Johansen cointegration test?
Johansen assumes all variables are I(1)
Does Johansen co-integration test can be applied for the data sets which are stationary at levels ?
Thank you for your message. No, johansen test is applied when all variables are I(1)
Thank you sir 😊 then how can the co-integration be tested sir ?
Pls upload any video on Bayer and Hanck Cointegration in eviews. thanx
hlo sir what if same variable at I(1) and other are I(2) ?
Thank you for your message. In said case VAR would be appropriate.
Sir when I clicked option no 6 so it says singular matrix what does it means??????
Sometime its happening due to crack version
@@TJAcademyofficial sir so how fix this issue of singular matrix ?
@@TJAcademyofficial Sir plz reply we need to download again eviews after uninstalling it because when I do cointegration test it keeps saying near singular matrix so how to fix it? Your recommendation would be helpful for me
Hello sir,
Can you please tell me Johansen cointegration test is conducted on variables at level or with first difference.
Johansen is applied on level. There is no need of Cointegration when variables are stationary (differenced).
@@TJAcademyofficial okay thank you sir
@@etc4363 i did not get your point. Plz explain
@@TJAcademyofficial Sorry! At first I didn't get. Now it is clear
@@TJAcademyofficial that means we dont need to perform it when it's in 1st difference ?
can u share dataset or guide from where it can be downloaded
Thank you for your message.
All data have been download from worldbank.org
if you can attached datafile with video or share link here , will highly obliged
please thanks🙏🏻🙏🏻😞
Didn't get your point.
too poor sound!
Headphones recommended for this video
Thanks Sir.
Voice is a bit low, but you elaborated very well.
Masha ALLAH.
Thanks