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Determination of Lag for the Cointegration Test

Posted: Fri Jun 27, 2014 6:05 am
by upani
Dear All,

How to choose optimal lags in the Johansen cointegration tests?

With regards,
Upananda

Re: Determination of Lag for the Cointegration Test

Posted: Fri Jun 27, 2014 7:48 am
by TomDoan
upani wrote: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.

Re: Determination of Lag for the Cointegration Test

Posted: Sat Jun 28, 2014 11:27 am
by upani
If i want to check autocorrelation for each lag and arch test, how will i do that?

Re: Determination of Lag for the Cointegration Test

Posted: Sat Jun 28, 2014 12:50 pm
by TomDoan
upani wrote: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.