Cointegration Test in E Views| Fisher Cointegration Test| Johansen Cointegration E Views| Kao Test
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- Опубликовано: 11 сен 2024
- This video explains how to run Johansen Cointegration test in E Views for a Panel data.
There are three models under Johansen Cointegration test in E Views viz:
1. Pedroni Cointegration Test
2. Kao Cointegration Test
3. Fisher Cointegration Test
This video explains how to run Kao Cointegration Test and Fisher Cointegration Test for a Panel data in E Views. Moreover, the video also explains how to interpret the results of Kao Cointegration Test and Fisher Cointegration Test obtained in E Views.
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If you want to learn how to run Pedroni Cointegration Test (Johansen Cointegration test) then watch this video- • Cointegration Test in ...
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Which one has to be chosen if Pedroni and Kao tests present contradictory results on presence/absence of cointegration?
If there is cross-sectional dependence, run Second generation cointegration technique.
Hi, Could you please tell how to define SIC lag length? ?How to find the right number? TIA
The lag length in the variables is decided with the help of the Schwarz Bayesian Information Criterion (SIC) or the Akaike Information Criterion (AIC). These statistics are applied on the unrestricted models of the ARDL. Namely, the lag length is decided from an unrestricted VAR model with the help of AIC and BIC statistics.
Hello Ma'am,
In this case, isn't null hypothesis accepted at "A most 6" equations?
Yes
Hello Mam
I am using Eviews9, this not shows the option of Pedroni (Engle-Granger based). And the second question is when I apply Kao( Engle granger based ) after pressing OK, it shows Near singular matrix 😢
Please guide me ,how I solve this problem .
Pls use EVIEWS 12 SV. It is available.
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If the Pedroni test result shows no cointegration while Kao and fisher test show cointegration what will be the decision?
Since, 2 out of 3 statistics confirm cointegration, you can conclude that there is cointegration between the variables based on Kao and Fisher.