Re: [Gretl-users] About the Johansen test
On Sat, 24 Jan 2009, Riccardo (Jack) Lucchetti wrote:
On Sat, 24 Jan 2009, Olle Olsson wrote:
> Hey all, ' I'm trying to master Johansen's test for cointegration, but I
am
> a bit puzzled. When I ran a bivariate Johansen test on some data I'm
> working on, the result was:
...
If in a system with n variables the cointegration rank is r, than all the
variables are stationary. See section 21.2 of the gretl manual.
Doh! I meant:
If in a system with n variables the cointegration rank is *n*, than all
the variables are stationary.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti