At this moment we are doing a cointegration analysis and a doubt has come up
about the nule hypothesis that your programme uses in the Johansen test.We
don´t know if the maximum eigenvalue uses the same nule hypothesis as the
trace contrast( as for instance, Eviews does) , I mean, if both of them
contrast the hypothesis that there are, at most, "r" cointegration vectors
or, on the contrary, as we have read in some papers, this is only done by
the trace one, while the maximum eigenvalue contrasts that there are exactly
"r" cointegration vectors.
What we want to know exactly is if in your programme both of them use the
same nule hypothesis ( at most "r" cointegration vectors) or the trace one
uses that one, while the maximum eigenvalue uses the other one ( exactly "r"
Seeing the results we have got, we think that both of them use the same one
cause, if it isn´t like that, the contrast of the maximum eigenvalue would
say it exists 0 and 1 cointegration vectors at the same time.
Show replies by date