Number of ranks with I(2) variables

A forum for questions and answers regarding the CATS cointegration procedure
akia
Posts: 2
Joined: Wed May 23, 2012 10:19 pm

Number of ranks with I(2) variables

Unread post by akia »

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 249559 times
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Number of ranks with I(2) variables

Unread post by TomDoan »

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.
akia
Posts: 2
Joined: Wed May 23, 2012 10:19 pm

Re: Number of ranks with I(2) variables

Unread post by akia »

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