Dear Stata User,
I�m analysing the law of on price for stocks of the swiss nestle company
listed at the time in Zuerich and Frankfurt.
I�ve three variables: log-stockprice in Zuerich (in Swiss Francs) the
log-stockprice in Frankfurt (in Euro) and the log exchange-rate.
Running johans estimation I get strong evidence for one cointegration
relationship. But it seems (see attached log file) that the choice of the
relevant cointegration
depends on the order of the variables after the johans command.
(1) Why I'm wrong?
(2) How to get the relevant inference-statistics for alphas, betas and the
best linear relationsship among the three variables?
(3) How to get the residuals of the cointegration equation, to perform some
topic-spezific residuals analysis as (in my case intended) ARCH-Effects?
Thank you very much in advance for your reply.
With best regards,
Axel
----------------------------------------------------------------------
Dr. Axel Engellandt
Universit�t Basel - WWZ
Abteilung Statistik und �konometrie
Petersgraben 51, Raum 05B
CH-4003 Basel
http://www.unibas.ch/wwz/stat
E-Mail: [email protected]
Phone: +41-61-267-3368 Fax: +41-61-267-3351
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