Determination of Lag for the Cointegration Test

[upani]

Dear All,

How to choose optimal lags in the Johansen cointegration tests?

With regards,
Upananda

[TomDoan]

Dear All,

How to choose optimal lags in the Johansen cointegration tests?

With regards,
Upananda

I would suggest using @VARLAGSELECT on the levels (not differenced) data. Since the lags in CATS are the augmenting lags, you would subtract one from what that chooses.

[upani]

If i want to check autocorrelation for each lag and arch test, how will i do that?

[TomDoan]

If i want to check autocorrelation for each lag and arch test, how will i do that?

@MVQSTAT for multivariate serial correlation and @MVARCHTEST for multivariate ARCH.

Note that CATS includes quite a few diagnostics.