Thank you soo much for explaining this in a clear and simple manner - I understand it for the first time and I am a Masters student. I agree - you should move to the UK and teach this - I am in the UK and my professor couldn't explain this in such a simple and clear manner
Dear Mr Sayed Hossain, My result of Johansen test on 2 series (tck and ib1) is as below: - To trace statistics: + None: Trace statistics= 32.22719 > Critical value = 15.49471 (p value= 0.0007 < 0.05)==> these 2 series have cointegration relationship. + AT MOST 1: Trace statistics= 7.088761> Critical value = 3.841466 (p value= 0.0078< 0.05)==> these 2 series have not cointegration relationship - To max-eigen statistics: +None: Trace statistics= 25.13843 > Critical value = 14.26460 (p value= 0.0007 < 0.05)==> these 2 series have cointegration relationship. + AT MOST 1: Trace statistics= 7.088761> Critical value = 3.841466 (p value= 0.0078< 0.05)==> these 2 series have not cointegration relationship I think in this case, if it is exact, At most 1 row: Trace statistics must < Critical value (p value > 0.05) ==> Pls tell me: with above result, can I conclude that 2 above series have a cointegration relationship? As this is an urgency, so pls help me answer this issue soon. Thank you so much for your help, Mr. Sayed Hossain.
If 4 out of 6 variable showed unit root at level then does we need to add those 2 variable (having no unit root test) as the exogenous variable on the box for Johansen Co-integration test? Please let me know
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Yes there could be three co-integartion equations or error terms. It is not wrong. Now you can run restricted VAR, that is VECM model to analyze the data
Cointegration analysis should be done with non-stationary data but make sure those variables should be stationary after first differenced. But your case is different. In that case, you can not run cointegration, so can not VECM. So run VAR model directly.
The way you want to identify the exogenous variable is not right. You will have to decide what are endogenous and what are exogenous variables for your model.
In this case, sign of these two error terms must be negative and these two error terms should be significant also, then we can say there is a long run causality running from independent variables to dependent variables.
Sir, Do number of lag selection affect the result in this Johansen Cointegration test? Or should we set lag to be 1 everytime. Thank you very much. By the way, this is a very very clear explanation. :)
Both tests are equally important but you can take the result of any test as benchmark to take decision. I would suggest you to take the decision when both test comes to same conclusion. This is for safety.
Hi there, I am seeking advice on the following issue please: I plan to run VAR and Granger Causality on my variables, however, I cannot reject the null hypothesis for the Johansen test of my variables. Therefore, can I continue with the VAR and Granger Causailty tests providing I discuss this in my results. Or is it pointless to continue? Kind regards
If the first differenced data is non-stationary but they will become stationary after second difference, in that case first differenced data can used for cointegration test.
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
The other question: Can you explain to me, what different between Rank Test (trace) and Rank Test (Maximum Eigenvalue), i mean when i can use one of them?
But normally data follows the features of number 3 option. So I if I were you I would have followed the decision as per no. 3 option and in my video, I have also done so.
In my data, my all variables are stationery at 1st difference and one variable is stationary at 2nd difference. Now which technique best suits my data?
In first case since there is no cointegration you should run unrestricted VAR and in second case you should run restricted VAR, that is VECM. Now you decide.
Suppose three variables X, Y and Z have unit root at level but after first differenced, they all become stationary. In that case, it is integrated of same order. Now we can go for Johansen test.
One of my variables when I tested it using DF and phillips perron tests, it gave me the variable as being I(1) when including a constant but I(2) when including constant and trend. Not sure how to proceed I used the Johansen test, the result of which was 1 cointegrating equation. Is it possible to get that result with one of the variables being I(2) and the other variables I(1)??? Or does it suggest the variable is I(1)??
Dear Mr Sayed Hossain, I'll appreciate if you can help me answer below issue: In the long-term: Yt = a0 + atxt + et In the short-term: I used ECM model - About stationery test: series are not stationery at level, but they are all stationery at 1 st difference - About Johansen test of cointegration: supposed these series have cointegration relationship ==> So, next step, can I do regression by ECM Model (VECM) in the long-term or in this case, can I do regression by OLS estimate in the long-term? Thank you so much for your enthusiastics help. I'll be very happy if you can answer me soon. Thank you!
1. Yes you can run johansen test as variables are stationary at 1st difference. 2. Run Johansen test now. If the johansen test says that they are cointegrated, then run ECM/VECM model.
Sayed Hossain Dear Mr. Sayed Hossain, In case I ran Johansen test, and the result is: There is no cointegration between 2 series. However, when I regress these 2 series and make residual series, then I proceed with unit root test of this residual, and the result is: This residual series become stationary at level (I (0)). It means that these 2 series has cointegration relationship. But this is contrary to the result of Johansen test. So, In this case, what is our exact conclusion? There is cointegration or not? Thank you so much! Hope to receive your reply soon Mr.Sayed Hossain.
Dear Sayed, One question: I am testing with 4 endogenous variables and one exogenous, and H0 can be rejected at 'none' and at 'at most three', since both are significant at the 5% level. What should I do with this? Just continue with the VECM model? I am testing for inflation, i will apply a forecast test later.
Sayed Hossain At most 1 and at most 2 can not be rejected, the p-values are larger than the 5% sign level. H0: no cointegration. The p-values for none and at most 3 are smaller than the sign level, and can therefore be rejected, meaning that there is cointegration...
Dear Paushi, Thank you. I would like to invite you to post and join Hossain Academy Facebook at below link to discuss about economics, econometrics and statistical models using EVIEWS, STATA, R, SPSS, Minitab, Microfit, Lingo, and Excel. Thank you, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
thank you so much sir for sharing your knowledge with all of us. the videos are really useful for learning E VIEWS and econometric as well. Sir, i have little doubt regarding Johansen cointegration test and Johansen & Juselius Cointegraton approach; whether both of these test are same or different? and if different how we use these two approaches in E VIEWS.
If 2 variables are I(0) can one still run the cointegration test on these 2? Or minimum is that both are I(1), so that together they are I(0)? Secondly can I directly run the granger causality test or do they have to be I(1) and cointegrated?
Dear collegues I am currently stuck on testing PPP for long run effect between France and Germany during post-Bretton Woods period (April 1973-December 1990). I need to check for cointegration (Johansen test) among Fr/Ger exchange rate, Fr CPI and Ger CPI. Taking logarithms, basically, the equation looks like ln(Ger/Fr)=ln(Ger CPI)-ln(Fr CPI). Preliminary, we should test for unit root, and there is the most interesting thing: utilizing ADF(with constant and trend) and Perron's Procedure I got Ger/Fr = I(1), CPIs are both I(2). The question is how can I perform cointegration test if ranks of integration are different? Is it eligible to take the difference concerning CPIs to derive I(1) process and proceed with Johansen test? Regards
If the variables are not integrated of same order, that is I(1), you can run Johansen Test. In your case you can run ARDL model as your variables are stationary at different order.
If both test gives you same result, then it is fine to proceed but if results differs between this tow test, then u can choose any of them. But it is better if both test gives u same result.
better convert all variables into log first to avoid the problem of heteroscedasticity. Then if all the variables become stationary after first first differenced, then run Johansen test at level data which is non-stastionary.
Hi, I'm running Johansen's cointegration test in eviews 8 [all my variables in logs] but this error message pops out frequently: "log of non positive number". What shall I do?
Hey Sayed, I am doing a causality test betweem exchange rate and stock index. When I did the stationarity test I convert my variables to LN (Logarithm) numbers. My question is should I use my LN(LOG) numbers in the Johansen test for market index and exchange rate or should I use the original numbers? Thank you for your answer
Dear, I think there is a mistake at min: 6:25 your test shows a p-value of 0.06 which is bigger than 5%, the null should not be rejected, thus there is no co-integration at most 1. However, you said int he video there is co-integration! Can you check it! Thank you
thank you sir. but I have a question : if trace statistic and max eigen value test give different no of cointegrating equations , what is the way out then? and is it actually possible?
May I ask you a question (this is my prob and I haven't figure out) ? Suppose X3 is stationary at 5% while other time series are not stationary at 5%, could we use Johansen Cointegration test for all 4 time series?
+Sapphire Nguyen Johansnen cointegration model you can apply only when variables are integrated of same order. In your case it is not so can not run johansen test
+Sayed Hossain Dear Sapphire,, I would like to invite you to join Hossain Academy Facebook at below link to discuss about economics, econometrics and statistical models using EVIEWS, STATA, R, SPSS, Minitab, Microfit, Lingo, and Excel. Thank you, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
hi thank you for your videos! i have a problem and i hope you could help with it. when i did the test of johansen, the test of trace shows that there is a cointegration but the test of eigenvalue didnt. what should i do? thank you
Hello sayed, please I would like to know if I can use cointegration for first difference variables. this is because all my variables are stationary at first difference though some are stationary at level. but they all become stationary at first difference. So, is it ok to do the cointegration on the first difference. Thank you as I anticipate your quick response.
I do not understand how to determine the number of lags? is it related to the order of integration? because when I change the lags from 1 to 2 the results become conflicting.
Sir, can I ask you when you say the data should be at level (original data) should I take the log of the stock prices or just use them directly. Thank you in advance !
hello, my data is stationary at first difference, so can I applie johanson test for the stationary series (at first difference) or for the original data?
Sir, I need a clarification. If I used log data to two variables ‘x’ and 'y'. And I found both variables are stationary at the first difference. So for analysing Johansen's test, Engle- Granger test, VECM test, which data should I use? Is it first difference data or log data?
Assalamu alaikum Professor Hossain, Sir, thank u for ur youtube Eviews videos. Inshallah, ,may Allah increasing your knowledge and reward you with the riches of the world. Sir, When performing the test in my data there is no conintegration for the option 3 (intercept in CE and test VAR) like you use in your video. But when I use option 5 for quadratic cointegration exists. Does that mean I have cointegration of not? Brother I look forward to your reply. Ma' Alsalam.
In the Johanson cointegration test I was wondering how do I check if each one of the normalized variables are statistically significant? E-views provides the st errors from which I can get the t statistics when divided with the coefficient but from there I don’t know how to test for significance. In the event that there is more than one cointegrating relationship I assume I have to check the significance of the more than the first normalized cointegrating equation.
Very good video, thank you for the explanation. I have one question. you said that the analysis should be done with original data. If I have GDP per capita and use this data to execute the regressions, could it be possible to use the log of the GDP per capita to perform the cointegration analysis or should I use the same variables and data that I use on the regression model? Could you please explain why is this valid or not? Thank you in advance for your cooperation.
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Dear sir, what model i will use when all my variables are stationary at 2nd differences i.e. I(2)...and also which model i will choose when some are stationary in level , some are in 1st diff. and some are in 2nd diff. plz help me sir
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Hi Sir, If one decomposes 2 timeseries (X1 and Y1), and just used the seasonal factors (SF) of both time-series for cointergration test (X1_SF and Y1_SF) would answers found in the Johansen cointergration or Engle-Granger test be reliable? Assuming that both are same level.
Dear Mr. Hossain, Thanks for the video, but I still have one question. If one variable needs to be first differenced to obtain stationarity (it is I(1) variable) and my second variable needs to be detrended to obtain stationarity (it is trend stationary) can I run the Johansen cointegration test using option 4? Thank you in advanced :)
You run ADF test with your variables. If the variables are non-stationary at level but after first differenced, they become stationary, then run Johansen Test.
Hi, my name is chanda. am currently working on my research paper and am using eview. I want to use Jahanasen test of cointegration to test whether my variables of interest are cointegrated or not. when i run the Jahanasen test at level using 21 observations, am been told i do not have sufficient observation. when i increase the number of observation to 31 and run the test, a near singular matrix is appearing. What should i do? Please assist.
Dear Aido, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there. Actually I am in that group and may help you. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
dear sir, my lag selection criteria is 3. when i would like to test for johansen cointegration, i choose option 3 as your video mentioned, but there is a massage" near singular matrix" and than i change to another option, also same, i cannot run. how to do?
singular matrix happens when u fail to set the data properly as per theory ot EVIEWS guideline. In your case, you need to go for trial and error attempt to settle it
Hello sir, I am a bit confused.I am working on Banana Market integration where I have taken 27 markets out of which I found only 11 markets non-stationary at level. So I have taken only these 11 markets to test for co-integration. I need to know that the variables that we take to test for co-integration should be taken at first difference or only the log form of the variable is tested for co-integration?
Dear Mishra, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there. Actually I am in that group and may help you. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
please explain to me to me how i interpret the Johansen and the VECM wit htwo cointegrating equations. i will greatl;y appreciate that . thanls in advance.
Dear sir, I would like to know about the degree of integration. How to calculate degree or level of integration using Johansen test? Can we say there is high integration when the result shows rapid adjustment?
how you get one cointegration ? as i know that the number of cointegration is n-1 and her you have 4, so 4-1=3 i think here should become 3 cointegration!!!. pleas could you explaine me that ?
please if the trace statistic and max eigen statistic don't give us the same result in the first one indicate there is at most one relation of cointegration and the second indicate none relation of cointegration? which results I take and should the two statistics give us the same result
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Thank you soo much for explaining this in a clear and simple manner - I understand it for the first time and I am a Masters student. I agree - you should move to the UK and teach this - I am in the UK and my professor couldn't explain this in such a simple and clear manner
Thank you so much, Sir. You have explained it very clearly, patiently and logically. Was very useful. Greatly indebted to you. Hats off Mr. Hossain.
Dear Mr Sayed Hossain,
My result of Johansen test on 2 series (tck and ib1) is as below:
- To trace statistics:
+ None: Trace statistics= 32.22719 > Critical value = 15.49471 (p value= 0.0007 < 0.05)==> these 2 series have cointegration relationship.
+ AT MOST 1: Trace statistics= 7.088761> Critical value = 3.841466 (p value= 0.0078< 0.05)==> these 2 series have not cointegration relationship
- To max-eigen statistics:
+None: Trace statistics= 25.13843 > Critical value = 14.26460 (p value= 0.0007 < 0.05)==> these 2 series have cointegration relationship.
+ AT MOST 1: Trace statistics= 7.088761> Critical value = 3.841466 (p value= 0.0078< 0.05)==> these 2 series have not cointegration relationship
I think in this case, if it is exact, At most 1 row: Trace statistics must < Critical value (p value > 0.05)
==> Pls tell me: with above result, can I conclude that 2 above series have a cointegration relationship?
As this is an urgency, so pls help me answer this issue soon.
Thank you so much for your help, Mr. Sayed Hossain.
In case of None and AT MOST 1>> you can reject null meaning no cointegration yet but what about AT Most 2?? check it.
I enjoy your lecture more than you can imagine and thank you very very much
It's my pleasure
If 4 out of 6 variable showed unit root at level then does we need to add those 2 variable (having no unit root test) as the exogenous variable on the box for Johansen Co-integration test? Please let me know
A great video....Appreciate a lot. it gives the way out to do further w.r.t to our data's....Thanks you Mr Sayed...Thumbs up.
+Henok Fasil
You are welcome
thanku your video is very useful in interpreting johansen test.it would be very helpful fr me to completed my thesis
So in that case, there is no co-integration. So you run unrestricted VAR, but not restricted VAR, that is VECM
Because of you sir i scored good marks 😊 thankyou so much !!
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Yes there could be three co-integartion equations or error terms. It is not wrong. Now you can run restricted VAR, that is VECM model to analyze the data
Cointegration analysis should be done with non-stationary data but make sure those variables should be stationary after first differenced. But your case is different. In that case, you can not run cointegration, so can not VECM. So run VAR model directly.
You are welcome sir. Happy to see that you have been saved.
Number of Lag affects the result heavily. You can choose number of lags to be used from the lag selection method
Some take until 10 percent also. No harm but little bit risky to reject null hypothesis. 5 or 1 percent is secured.
Thank you! It is so useful! I reaally appreciate your channel so much!
Hey man u are amazing, thanks a lot, u should move to england to be professor of econometrics, here they really need people like you.
Clearly explained!! Now how do you use the knowledge of having 1 co-integrating relationship into building an ECM? What is the link?
Thank you, Sir, for taking the time to create an excellent video. Hope you create more videos on time series using E-Views
You should use Johansen test as it is superior testing procedure of cointegration
The way you want to identify the exogenous variable is not right. You will have to decide what are endogenous and what are exogenous variables for your model.
In this case, sign of these two error terms must be negative and these two error terms should be significant also, then we can say there is a long run causality running from independent variables to dependent variables.
Sir, Do number of lag selection affect the result in this Johansen Cointegration test? Or should we set lag to be 1 everytime. Thank you very much. By the way, this is a very very clear explanation. :)
Both tests are equally important but you can take the result of any test as benchmark to take decision. I would suggest you to take the decision when both test comes to same conclusion. This is for safety.
Hi there, I am seeking advice on the following issue please:
I plan to run VAR and Granger Causality on my variables, however, I cannot reject the null hypothesis for the Johansen test of my variables. Therefore, can I continue with the VAR and Granger Causailty tests providing I discuss this in my results. Or is it pointless to continue?
Kind regards
Meaning that there is no cointegration....so you have to run VAR model....
If the first differenced data is non-stationary but they will become stationary after second difference, in that case first differenced data can used for cointegration test.
this video helps me a lot, ty!
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
The other question: Can you explain to me, what different between Rank Test (trace) and Rank Test (Maximum Eigenvalue), i mean when i can use one of them?
I have this doubt too!
go for Trace. Alexander, Carol (2001)
Can the Johnsen co-integration test be applied for the data which is stationary at levels?
But normally data follows the features of number 3 option. So I if I were you I would have followed the decision as per no. 3 option and in my video, I have also done so.
In my data, my all variables are stationery at 1st difference and one variable is stationary at 2nd difference. Now which technique best suits my data?
In first case since there is no cointegration you should run unrestricted VAR and in second case you should run restricted VAR, that is VECM. Now you decide.
Suppose three variables X, Y and Z have unit root at level but after first differenced, they all become stationary. In that case, it is integrated of same order. Now we can go for Johansen test.
One of my variables when I tested it using DF and phillips perron tests, it gave me the variable as being I(1) when including a constant but I(2) when including constant and trend. Not sure how to proceed I used the Johansen test, the result of which was 1 cointegrating equation. Is it possible to get that result with one of the variables being I(2) and the other variables I(1)??? Or does it suggest the variable is I(1)??
Dear Mr Sayed Hossain,
I'll appreciate if you can help me answer below issue:
In the long-term: Yt = a0 + atxt + et
In the short-term: I used ECM model
- About stationery test: series are not stationery at level, but they are all stationery at 1 st difference
- About Johansen test of cointegration: supposed these series have cointegration relationship
==> So, next step, can I do regression by ECM Model (VECM) in the long-term or in this case, can I do regression by OLS estimate in the long-term?
Thank you so much for your enthusiastics help.
I'll be very happy if you can answer me soon.
Thank you!
1. Yes you can run johansen test as variables are stationary at 1st difference. 2. Run Johansen test now. If the johansen test says that they are cointegrated, then run ECM/VECM model.
Sayed Hossain
Dear Mr. Sayed Hossain,
In case I ran Johansen test, and the result is: There is no cointegration between 2 series. However, when I regress these 2 series and make residual series, then I proceed with unit root test of this residual, and the result is: This residual series become stationary at level (I (0)). It means that these 2 series has cointegration relationship. But this is contrary to the result of Johansen test. So, In this case, what is our exact conclusion? There is cointegration or not?
Thank you so much! Hope to receive your reply soon Mr.Sayed Hossain.
Dear Sayed,
One question: I am testing with 4 endogenous variables and one exogenous, and H0 can be rejected at 'none' and at 'at most three', since both are significant at the 5% level. What should I do with this? Just continue with the VECM model? I am testing for inflation, i will apply a forecast test later.
But what about at most 1? If at most 1 can not be rejected meaning there is one cointegartion. In that case no need to check at most 2 or 3..
Sayed Hossain At most 1 and at most 2 can not be rejected, the p-values are larger than the 5% sign level. H0: no cointegration. The p-values for none and at most 3 are smaller than the sign level, and can therefore be rejected, meaning that there is cointegration...
Thank u so much for your video sir.I found it really useful.
Dear Paushi, Thank you. I would like to invite you to post and join Hossain Academy Facebook at below link to discuss about economics, econometrics and statistical models using EVIEWS, STATA, R, SPSS, Minitab, Microfit, Lingo, and Excel. Thank you, Sayed Hossain from Hossain Academy.
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thank you so much sir for sharing your knowledge with all of us. the videos are really useful for learning E VIEWS and econometric as well. Sir, i have little doubt regarding Johansen cointegration test and Johansen & Juselius Cointegraton approach; whether both of these test are same or different? and if different how we use these two approaches in E VIEWS.
The sign of the both error term should be negative and significant as well
If 2 variables are I(0) can one still run the cointegration test on these 2? Or minimum is that both are I(1), so that together they are I(0)? Secondly can I directly run the granger causality test or do they have to be I(1) and cointegrated?
Dear collegues
I am currently stuck on testing PPP for long run effect between France and Germany during post-Bretton Woods period (April 1973-December 1990). I need to check for cointegration (Johansen test) among Fr/Ger exchange rate, Fr CPI and Ger CPI. Taking logarithms, basically, the equation looks like ln(Ger/Fr)=ln(Ger CPI)-ln(Fr CPI). Preliminary, we should test for unit root, and there is the most interesting thing: utilizing ADF(with constant and trend) and Perron's Procedure I got Ger/Fr = I(1), CPIs are both I(2). The question is how can I perform cointegration test if ranks of integration are different? Is it eligible to take the difference concerning CPIs to derive I(1) process and proceed with Johansen test?
Regards
If the variables are not integrated of same order, that is I(1), you can run Johansen Test. In your case you can run ARDL model as your variables are stationary at different order.
Then we dont need to mention those stationary variable of a model in to box of exogenous variable, is that right Dr.?
suits ma case perfectly, have saved me from ma prof! thnx dude!
Yes I watched it, but what difference does it make if I find 1 or 2 cointegrating relationships when I then go to construct my ECM model?
If both test gives you same result, then it is fine to proceed but if results differs between this tow test, then u can choose any of them. But it is better if both test gives u same result.
better convert all variables into log first to avoid the problem of heteroscedasticity. Then if all the variables become stationary after first first differenced, then run Johansen test at level data which is non-stastionary.
Hi, I'm running Johansen's cointegration test in eviews 8 [all my variables in logs] but this error message pops out frequently: "log of non positive number". What shall I do?
Hey Sayed, I am doing a causality test betweem exchange rate and stock index. When I did the stationarity test I convert my variables to LN (Logarithm) numbers. My question is should I use my LN(LOG) numbers in the Johansen test for market index and exchange rate or should I use the original numbers? Thank you for your answer
My LN values is non-stationary in levels byt stationary in first difference
You are welcome
please if you suspect a trend in your data , why did you use to use option 3 instead of option 4 , in the co-integration test specification ? .
youyoutful Would you mind to join Hossain Academy Facebook below link and post your questions. Normally we are sharing there our discussion.
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Dear,
I think there is a mistake at min: 6:25
your test shows a p-value of 0.06 which is bigger than 5%, the null should not be rejected, thus there is no co-integration at most 1. However, you said int he video there is co-integration!
Can you check it!
Thank you
thank you sir. but I have a question : if trace statistic and max eigen value test give different no of cointegrating equations , what is the way out then? and is it actually possible?
How do you really decide on whether to include a trend and intercept or not? Is there a rule or a test for it?
If all the variables are integrated of same order preferable I(1), you can run Johansen test of cointegration
May I ask you a question (this is my prob and I haven't figure out) ? Suppose X3 is stationary at 5% while other time series are not stationary at 5%, could we use Johansen Cointegration test for all 4 time series?
+Sapphire Nguyen
Johansnen cointegration model you can apply only when variables are integrated of same order. In your case it is not so can not run johansen test
+Sayed Hossain
Dear Sapphire,, I would like to invite you to join Hossain Academy Facebook at below link to discuss about economics, econometrics and statistical models using EVIEWS, STATA, R, SPSS, Minitab, Microfit, Lingo, and Excel. Thank you, Sayed Hossain from Hossain Academy.
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hi thank you for your videos! i have a problem and i hope you could help with it. when i did the test of johansen, the test of trace shows that there is a cointegration but the test of eigenvalue didnt. what should i do? thank you
Hello sayed, please I would like to know if I can use cointegration for first difference variables. this is because all my variables are stationary at first difference though some are stationary at level. but they all become stationary at first difference. So, is it ok to do the cointegration on the first difference. Thank you as I anticipate your quick response.
I do not understand how to determine the number of lags? is it related to the order of integration? because when I change the lags from 1 to 2 the results become conflicting.
Thanks very much every thing is clear
You are welcome
Thank you very much.
Sir, can I ask you when you say the data should be at level (original data) should I take the log of the stock prices or just use them directly. Thank you in advance !
hello, my data is stationary at first difference, so can I applie johanson test for the stationary series (at first difference) or for the original data?
No. In case of johansen test, all variables must be integrated of same of order....
So there will be 4 equations as there are 4 variables
I have 2 questions. What does at most 1 or 2 or 3 mean? What if my data has unit root? can I still perform this test?
Sir, I need a clarification. If I used log data to two variables ‘x’ and 'y'. And I found both variables are stationary at the first difference. So for analysing Johansen's test, Engle- Granger test, VECM test, which data should I use? Is it first difference data or log data?
Assalamu alaikum Professor Hossain,
Sir, thank u for ur youtube Eviews videos. Inshallah, ,may Allah increasing your knowledge and reward you with the riches of the world.
Sir, When performing the test in my data there is no conintegration for the option 3 (intercept in CE and test VAR) like you use in your video. But when I use option 5 for quadratic cointegration exists. Does that mean I have cointegration of not?
Brother I look forward to your reply. Ma' Alsalam.
ARDL can be applied using Microfit so far i know but I do not have Microfit to run it
In the Johanson cointegration test I was wondering how do I check if each one of the normalized variables are statistically significant? E-views provides the st errors from which I can get the t statistics when divided with the coefficient but from there I don’t know how to test for significance. In the event that there is more than one cointegrating relationship I assume I have to check the significance of the more than the first normalized cointegrating equation.
Very good video, thank you for the explanation. I have one question. you said that the analysis should be done with original data. If I have GDP per capita and use this data to execute the regressions, could it be possible to use the log of the GDP per capita to perform the cointegration analysis or should I use the same variables and data that I use on the regression model? Could you please explain why is this valid or not?
Thank you in advance for your cooperation.
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Sir, can I run a vector autogressive in difference (VARD) on eviews when my data are cointegrated...Please you response is highly important
can you pls do a video on imposing restriction on VEC?
Can you explain to me, what different between Rank Test (trace) and Rank Test (Maximum Eigenvalue), i mean when i can use one of them?
can i use this Johansen Cointegration Test with only two variables?????
Sir, could you please explain how to difference the series if it is not stationary at level.
Sir is it possible in cointegration test to show more than 5% probability for none and at most 1.Should we proceed for VECM
Sayed Sir, which software you are using in this video for doing Johansen cointegration test??
Dear sir, what model i will use when all my variables are stationary at 2nd differences i.e. I(2)...and also which model i will choose when some are stationary in level , some are in 1st diff. and some are in 2nd diff. plz help me sir
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Hi Sir, If one decomposes 2 timeseries (X1 and Y1), and just used the seasonal factors (SF) of both time-series for cointergration test (X1_SF and Y1_SF) would answers found in the Johansen cointergration or Engle-Granger test be reliable? Assuming that both are same level.
Dear Mr. Hossain,
Thanks for the video, but I still have one question. If one variable needs to be first differenced to obtain stationarity (it is I(1) variable) and my second variable needs to be detrended to obtain stationarity (it is trend stationary) can I run the Johansen cointegration test using option 4?
Thank you in advanced :)
You run ADF test with your variables. If the variables are non-stationary at level but after first differenced, they become stationary, then run Johansen Test.
@@sayedhossain23 do i run the Johansen on the differenced variables or the original?
Hi, my name is chanda. am currently working on my research paper and am using eview. I want to use Jahanasen test of cointegration to test whether my variables of interest are cointegrated or not. when i run the Jahanasen test at level using 21 observations, am been told i do not have sufficient observation. when i increase the number of observation to 31 and run the test, a near singular matrix is appearing. What should i do? Please assist.
What if there is one cointegration in the trace statistics and there is no cointegration in the eigen-value? Thank You! :)
Thanks a lot for the video!
Dear Aido, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your
question there. Actually I am in that group and may help you. Thank you once
again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
already joined, sir. thanks
Thanks
There should not be any problem to convert all variables into natural log.
Normally I choose the endogenous variables only to conduct the Johansen Test
Yes you can
Hi, could you explain the Johansen cointegration test with breaks (2002) pls
dear sir, my lag selection criteria is 3. when i would like to test for johansen cointegration, i choose option 3 as your video mentioned, but there is a massage" near singular matrix" and than i change to another option, also same, i cannot run. how to do?
singular matrix happens when u fail to set the data properly as per theory ot EVIEWS guideline. In your case, you need to go for trial and error attempt to settle it
Hello sir, I am a bit confused.I am working on Banana Market integration where I have taken 27 markets out of which I found only 11 markets non-stationary at level. So I have taken only these 11 markets to test for co-integration. I need to know that the variables that we take to test for co-integration should be taken at first difference or only the log form of the variable is tested for co-integration?
Dear Mishra, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your
question there. Actually I am in that group and may help you. Thank you once
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Can you use first difference data for the co-integration test, because in some paper I have seen people used first difference data?
Dear Sir, what if in all models 2,3,4 the trace statistic is less than the Critical value and the P value are more than 5%,
Meaning that there is no cointegration as p value is more than 5 percent. So you can not run VECM model but can run VAR model.
i don't know how to do. could you please tell me how to go for that?
please explain to me to me how i interpret the Johansen and the VECM wit htwo cointegrating equations. i will greatl;y appreciate that . thanls in advance.
Dear sir, I would like to know about the degree of integration. How to calculate degree or level of integration using Johansen test? Can we say there is high integration when the result shows rapid adjustment?
Tuon Thu Johansen test only say whether variables are cointegrated or not. But error correction coefficient value says about the speed of adjustment..
how you get one cointegration ? as i know that the number of cointegration is n-1 and her you have 4, so 4-1=3 i think here should become 3 cointegration!!!. pleas could you explaine me that ?
please if the trace statistic and max eigen statistic don't give us the same result in the first one indicate there is at most one relation of cointegration and the second indicate none relation of cointegration? which results I take and should the two statistics give us the same result
where is the result of At most 2 ?
How to decide when trace statistics gives no cointegration, but max eigen stat - at most 1?
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Thank u
I have never tried it but it should be there