Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Merijn Groenenboom <m.groenenboom@students.uu.nl> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: multivariate cointegration test |
| Date | Thu, 4 Aug 2011 23:02:16 +0200 |
Dear Statalisters, I am writing a research about the effect of economic indicators on stock prices. First I tested for unit roots. Only some variables were stationary at level, but all variables were stationary at first differences. Then I will test for multivariate cointegration using Johansen's method. But before that I use AIC to determine the appropriate lag lengths. However I am not sure I have to use level or first differences in AIC test and multivariate cointegration test. I know after these tests I have to use first differences for granger causality test and impulse response function. But I think AIC and cointegration test should be done at level. However I am not 100% sure and to avoid spurious results I hope somebody with experience can tell me the answer! Thank you. Merijn G * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/