Number of ranks with I(2) variables

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Number of ranks with I(2) variables

Unread postby akia » Thu Aug 10, 2017 9:54 pm

Dear forum members,
I have a model with 9 variables. 8 of those variables are I(1) and one is I(2). When I estimated, I got the attached result.
Am I correct to conclude that the rank is 5?

Thanks in advance

Rank Test Results.PNG
Rank Test Results.PNG (12.91 KiB) Viewed 215535 times
akia
 
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Re: Number of ranks with I(2) variables

Unread postby TomDoan » Fri Aug 11, 2017 1:57 pm

According to their procedure (move left to right and top to bottom starting at the top left), you would get s2=2 and r=5. However, if you think there's just one I(2) trend, then you would just run down that column to get r=5.
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Re: Number of ranks with I(2) variables

Unread postby akia » Fri Aug 11, 2017 2:49 pm

Dear Tom,
Thank you very much for your response. It was very helpful.
akia
akia
 
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