Dear Grelt-users,

I'll appreciate if someone could give me a hint on the choice of cointegration and adjustment vectors in a multivariate VAR. To be more specific, results of my Johansen cointegration test reflects a cointegration rank of above 2(r>2). This implies, running a corresponding VECM model with thesame deterministic components as in the Johansen test should provide more than two cointegration vectors and Error correction terms(adjustment vectors). I don't know what criterion to use in selecting the right cointegration equation and speed of adjustment; as hitherto, I've been used to applying only bivariate VARs.

Thank you

I'll appreciate if someone could give me a hint on the choice of cointegration and adjustment vectors in a multivariate VAR. To be more specific, results of my Johansen cointegration test reflects a cointegration rank of above 2(r>2). This implies, running a corresponding VECM model with thesame deterministic components as in the Johansen test should provide more than two cointegration vectors and Error correction terms(adjustment vectors). I don't know what criterion to use in selecting the right cointegration equation and speed of adjustment; as hitherto, I've been used to applying only bivariate VARs.

Thank you

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