[Gretl-users] Re: small Johansen test - minimum sample size
On Sat, Oct 29, 2022 at 3:27 PM Lars Ahnland <lars.ahnland(a)outlook.com> wrote:
Also, what do you mean by only "one component is stationary". The point is that
residuals are stationary with cointegration?
No, what Sven is pointing out is a common "gotcha" with the Johansen
test: one of the series in the llst proposed for testing is I(0). This
in itself does _not_imply that there's any cointegration going on.
Allin Cottrell