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Cointegration test
Someone please suggest me some material which will help me in interpreting the results of Johansen's Cointegration tests ..and other tests regarding cointegration and cointegration regression analysis. I am using the software EasyReg for the above purpose. Also someone please highlight the difference between Johansen's Cointegration test and Breitung's nonparametric cointegration test . Any suggestion regarding any sort of study material is welcome.Thnx in advance...~ W
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- tom2fingers
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Cointegration test
Johansen is covered quite well in Carol Alexander's Market Models textbook.
Cointegration test
Maddala's Unit Roots, Cointegration and Structural Change. Alteratively, try downloading Osterwald-Lenum's paper on Johansen's cointegration test tables: Osterwald-Lenum, M. (1992), Oxford Bulletin of Economics and Statistics, 54, 461-472.