(Stata13): How to Perform Johansen Cointegration Test #var #vecm #Johansen #cointegration

Excellent videos! Very helpful! Can you comment on how this test could be undertaken with a structural break?

You didn't mention how to decide between using constant or trend in the test, or how many lags to use. Why does the test default to constant and 2 lags? When would you select "trend" or "rtrend" or "rconstant" instead of just "constant"? Also, I am using yearly data and think I should only use 1 lag instead of 2. And what if the trace statistic says there is 1 cointegrating equation, but the eigen says 0? Question from Vermont, USA. Thank you.

can I ask you a question, if my johansen cointegration test gave me a cointegration results, can I use ECM instead of VECM?

so if we have lags of 2, how do we create our ARDL model, if we get I(0) only after using 1st differences?
do we create the ardl model using the 1st differences with max lag of 2?

if i get a cointegration in levels but not on 1st differences should i do a vecm? (i only got 2 lagss)

Thank you! PhD saver!

Thank you for such an elaborate tutorial.

Thank you for your presentation. So, if i may ask! How to perform Johansen cointegration test with series integrated of different orders?

Dear Prof I am using annual data for 50 years and my issue is that I am not very sure how I assign the optimal lag for the VAR using the AIC. My variables are stationary at first difference of the logs but at 10% critical value instead of the 5% critical value. I guess this are the problems that make my VAR model to have some omissions on some of the variables and Granger is not giving the Chi square values to show the direction. Please help.

You are a great teacher....please is it possible we connect...i need a mentor.

Very good presentation, so clear. . How do I access part 1 ?

Thanks, from Zimbabwe

Thank you for the video. BTW, what is LL and parms refer to and how we interprete them? Regards.

I cannot find Part 3 of this series - when the data are mixed I(0) and I(1). Link please.

What about a test of cointegration between individual pairs of the model?

I have a question: If I have some variables stationary while others are not stationary in my model but non stationary variable stationary is solved by taking the first difference. That is I(0) and I(1) Should I do cointegration test or I can't do it?

What a lecture! Thanks

Hello ! Thank you for the video. I would like to ask you how can I add dummy variables into VAR and VECM models?

Thanks alot, from Tanzania. This video is clear and quick to catch

Thank you so much for the video but I am having a question ,my final result of cointegration test,in the table where it is marked Sample,for me it is excluding some periods(years)compared to what I have .What should I do?

Thank you for the helpful video. I hope you can help me with this question, Is it possible to report p-value for trace and max test statistic using Stata?

Hi, This video and many other Stata video's really helped me in my project. But I have a problem with my time series data that there are missing observations, is there a specific way I can deal with this problem?

Thanks so much. You're the best

Dear Dr Ngozi, thank you so much for your video! I am a postgraduate student from the UK and feel your video is quite helpful! By the way, I have a stupid question and I would appreciate it very much if you could help me with it: After realising that a set of variables are cointegrated through the Johansen Conintegration Test, we will know that there should be a long-run relationship equilibrium among these variables. So how could we know the specific long-run relationship equilibrium (like Y= 0.5 + 0.3 X1 + 0.4 X2 + 0.1 X3)? (Is this long-run relationship equilibrium being achieved just by 'reg Y X1 X2 X3' ?) Thanks!

Thank you for the lesson. I would like to understand how do you proceed the Johansen cointegration test if the variables show multicollinearity even though the series are I(1).

Awesome refresher. Thanks from Colombia.

Thank you for the lesson but i have a question . In my data set have combination of l(0) and I(1) . According to the bounds test it can use only stationary and level form. So which one is the most sutable for my cointegration test madam.

Thank you very much for the presentation. It is excellent

Thank you, my Mama :) I have learned so much from watching your videos. God bless you Ma.

Thank you so much Ma'am! I can't express my gratitude to you in words. I go through your videos whenever I am working with stata. May the Almighty bless you.

Thank you for the video. In my data set I have combinations of I(0) and I(1). So how can i perform jct in this case?

Thank you sooooooooo muchhhhhh

Hi Prof, I have panel data for 6 countries n 25 years. I have done panel cointegration and found out the data is co-integrated. I am confused whether I should have Johansson Cointegration test as well. I tried to search your video for panel Johansson test, it is available for EViews but not for stata.

Actually, what should I do next after found out my variables have long run relationship. Thank you very much for your kind advice.

I received a r (130) "too many literals" error when I tried to run a vecrank on my variables(4 variables) how can I rectify this error?

Awesome lecture👌

Hi,
This is very helpful ! I was wondering if how I can find the constant term for the normalized cointegration equation constant term as most thesis papers have this and I cant seem find it

Thank you so much CrunchEconometrix! You saved my day! I can't find the part 3 of cointegration (series with differetn order of I(d)), can anyone hlpe me with the link?

thank you for the video, the automatic lag here is 2 can it be changed?

I cant get the part one plz share the link

Hi, thank you for the lessons, it’s been helping me a lot.

I would like to know how to make a conclusion and proceed in the Johansen test if we cannot reject the null hypothesis in two or more equations.

Good day Ma. Thanks for your lecture. It has been of great use to me. I want to ask a question, can I use Johansen for Panel cointegration test?

Thank you ma'am

Why is your log of variables different? For instance log 1800.5 of gdp is supposed to be 3.255 and not 7.963

Thanks for the video. Why do we reject the null hypothesis when maximum rank 2 shows that we have 2 cointegrating equations?

it is very good lecture, can you attach the ppt and the do file to all of your videos ?

If a series is non stationary at levels but stationary at First difference, so johansen test is conducted on that original series or difference series please explain, if i am conducting Johansen test on original series VAR model is recommended but while using it on difference series there is long term relationship and VECM is recommended which one of the model is used for forecasting purpose?

May God bless you & everything you do! I’ll come back here when my MSc result is out to let you know the feedback. Thank you MA!

How do we get pvalues on vec rank command