[R] Question regarding Johansen's cointegration testing

From: <adschai_at_optonline.net>
Date: Sat, 02 Jun 2007 03:49:59 +0000 (GMT)


Hi,

I have a couple of questions about johansen's test, in general:

  1. I was able to obtain error correction term (ect) from cajorls$rlm$model properly. According the my ca.jo object on 2-variate series, the test suggests that the integration rank is 1. Which means that my ect should be stationary. However, I did test stationariy on ect and it shows non-stationarity and my acf still shows high and long autocorrelation. How should I interpret the result from Johansen then?
  2. In some cases for 2-variate series, I found that Johansen testing shows that my test statistics are lower than the 5% for both r <= 0 and r <= 1. That means I have 1 or 0 cointegration relationship? How should I interpret this result?

Thank you,

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