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(EViews10):Estimate Johansen Cointegration Test #var #vecm #Johansen #cointegration

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Comment from : @CrunchEconometrix

I can't find the video which part 3 :(((
Comment from : @baotramnguyenhuyen7812

do have a video with the 3rd scenario
Comment from : @dalitsobanda7161

you said cointegration is applied on level form variables does that mean original data?
Comment from : @Aisakuyon5

Brilliant content Thanks a lot!!!!!
Comment from : @adityajoshi3448

Thank you so much for this extremely informative information I have a question, please: if some of my time series variables are I(0) and some are I(1) is VAR no longer an appropriate model of choice? I know I can use ARDL in this case (thanks to watching your videos) but I wanted to confirm that VAR is inappropriate for the mixed-order time series variables that I am working with
Comment from : @juliexken

thank you very much
Comment from : @hbkim5077

Thank you so much for the video!brWhat diagnostic tests should we do after doing the Johanssen test?
Comment from : @pepe_the_frog-123

I wasn't able to access the data set using the google drive, I love your videos they have helped me a lot with my studies I'm currently doing my Post Graduate Diploma in Applied Economics
Comment from : @lelethusandla6554

Hi could I book a hour of consultation with you for my project?brGreetings
Comment from : @User-12365

Thank you very much for these simple and highly informative vedios on econometrics 😊😊
Comment from : @aartinegi9725

Hello Ms, I have one question, what if When I do my Johansen Cointegration test, i have the only * I have is in None, I dont understand why it's cointegrated when: brNone * 0482373 5136303 4007757 00018 brAt most 1 0290746 2679620 3387687 02744 brAt most 2 0200102 1741512 2758434 05445 brAt most 3 0170329 1456465 2113162 03206 brAt most 4 0112543 9312804 1426460 02610 brAt most 5 0000651 0050830 3841466 08216brbrSo in this case I have to do a VECM with 1 cointeg equation? What If I have the * in None and At most 1? br brbrThank you very much
Comment from : @MaskimReal

Is it possible for 2 variables to have no short-run relationship but have a related long-run relationship?
Comment from : @mdnymuzzaman6607

I love ur tutorial
Comment from : @hakeemolusesi4969

Hello ma'am ,, first of all thank you for guiding usbrone query i am having, what if i am getting situation 3(mix of stationary data at level and at first difference) after performing stationarity testbrcan't i perform co-integration test?
Comment from : @priyankaverma4053

Thank you Ma How do we estimate the short-run if there is no cointegration
Comment from : @iwasamegbe6177

In model VECM If i found the C1 negative but non significant at the level 5 we say there is relation a long run between variables but without significant and there is not adjustment to equilibrium iin the short run to a long runbror say there is no relation a long run between variables but without significant ?
Comment from : @bettayebdjamel9674

Hi! Thank you for helpful video tutorials At around 02:45, you said that cointegration should be performed in either level or log-transformed series Agreed But should one use the original or the seasonally adjusted data series? Thanks a lot!
Comment from : @juliebasconcillo

On which variables we can run the Johnson cointegration means first difference of log series or raw data series?
Comment from : @mohammedyunus1392

Whats the difference between Johansen and Bounds test for cointegration ?
Comment from : @fitfirst4468

thank you maaa💯👏👏👏👏👏👏
Comment from : @susanmayomi1187

Wonderful explanation 🙏
Comment from : @JohnElphata

madam appropriate lag for my data is 8 When I use 8 lags data shows no cointegration but when I use 2 lags data shows cointegration I should accept the result as shown by 8 lags, right?
Comment from : @cssunita3463

Hey crunch! I was wondering in terms of no Co integration, would I estimate a var model with log values or first difference of raw data? Also, if no cointegration, would i be able to explore the system using granger causality tests? And could i further explore these results with impulse response function models in light of no cointegration? brbrKind regards :)
Comment from : @trungnguyenofficial9999

Thank you so much for this video but we only accepte H1 when when the trace is greater than critical value n conclude that there is a relationship btw the variablesyou swiped your conclusions that when we accepte H1 we fail to conclude the existence of a relationship yet it's the vice versa of that! you can re-check the video
Comment from : @aprior2549

Thank you for the video, in the case that Trace test indicates 1 cointegrating equation at 5 but Max test indicates no contegration at the 5 level Is it fine for me to continue with the cointegration or i should use another regression technique even though my variables are stationary in first difference
Comment from : @takundamugwira7747

Hello, your work is very respectful, How can I follow the right order of the videos for VAR and VECM, for better understanding thank you
Comment from : @jenniferchallita1781

You are a Godsend brThank you madam 💕🙏🏾brFrom Haïti 🇭🇹
Comment from : @schildofgod6246

Thanks very much, Professor for the detailed and painstaking explanation on all topics ma How can I find your tutorial on the co-integration topic on the application on series integrated at different order ma
Comment from : @simonejima1224

How can I before testing cointegration(using Johansen Cointegration or Engle Granger) we assume that the group of time serries are cointegrated? Is there a test I can do on a group of timeserries data ?
Comment from : @868jjm8

Ma for clarity you asked us to use data on the first level form wen performing co integration or the log of raw data I want to ask for the first level form I believe it's the raw data uploaded from excel u meant ma
Comment from : @emmanuelmoradeyo887

Very helpful thank you sir
Comment from : @estat2127

Can you please mention the name of this software used for conducting the test?
Comment from : @bilalsagar7416

Good video but still not clear enough,***If TRACE and Max Eigen is Higher than 5 critical level reject Ho, but in this case we cannot reject Ho from your stated hypothesis I need to be clear your choice of word
Comment from : @oyebadeanuoluwapo4297

I realle love the way you explain Here İn the notes you said that appropriate estimation technique would be ARDL and ECM in no4 But at the end you said VAR and ECM Which öne is correct? Pls response to my query Keep up the good job👏
Comment from : @asfiabinteosman5303

"The variables you are using must be on their level form and not on their first difference" But the video is how to perform cointegration at order 1 Am confused Somebody help
Comment from : @beedeekenny9250

Hi,brbrThanks for the great videos and explaining these concepts in a simple way I have a question regarding what needs to be done after the Johansen test Do you have a video or can you elaborate how to construct the stationary time series after we have determined that there is 1 or more stationary time series from the test results? I am getting confused at this stage And also, if we are using the ln transformation on the input time series, how do we apply the weights to the original time series?brbrAny clarifications would be very helpfulbrbrThanksbrVin
Comment from : @vineetgupta93

Again, I found this useful
Comment from : @DrIsaacJacobOmosimua

Thank you for the videos
Comment from : @paulmudaala4902

Thank you! I find the recording useful and will certainly utilize the knowledge obtained from it in my thesis My thesis is about the short-run and the long-run effects of foreign direct investment (FDI) on economic growth in a set of countries using panel data (10 countries, 20 years of annual observations each) I was wondering how I can distinguish short and long-run relationships but it turns out that the VAR model would be an answer for the short-run and the VEC model for the long run Even better - you've already published videos on those too - awesome! brbrI am slightly lost in all of those assumptions that need to be satisfied to conduct those tests For instance, in order to use OLS, that are supposed to be used in my final linear regression model, I need to fulfill the OLS assumptions I would certainly begin with conducting the ADF test to detect unit roots, to achieve stationarity I am thinking about estimating the VIF model to detect multicollinearity too, but I have also read that differencing the data can help me get rid of the multicollinearity issue, by achieving stationarity Beyond what I wrote above, br1) could you please clarify if while estimating the final linear regression model, is it a good or bad sign when the variables are cointegrated - or perhaps it has nothing to do with 'good' or 'bad' and merely implies the long or short-run relationship?
Comment from : @TheDominock

Hello!, If my series are integrated of different orders how shall I proceed? There is 1 cointegration within my data Can i still do VAR or VECM?
Comment from : @catalinepure3663

Your content is mind blowingly good!!!
Comment from : @afrakilic5672

Can the Johnsen co-integration test be applied for the data which is stationary at levels?
Comment from : @pavanaba1283

How do you decide on the optimal lag intervals?
Comment from : @tonisweet1998

what should I do if all the "Hypothesized Noof CE(s)" are significant? What have I done wrong?
Comment from : @laksmitafebriyanti1630

How do you know which assumption ypu you should use?
Comment from : @Kamran1bc

Dear Professor, if I have dummy variables in my model, should I include them in the group for the Johansen cointegration test? Thank you very much for your answer
Comment from : @ericsugandi7760

Nice video Well explained in simple terms Thank you Keep posting Good luck and God bless you
Comment from : @dhamodharanmarudhaachalam7504

great content! i'm a student from Malaysia! keep up the good work madam!
Comment from : @fakhput

I love your channel I am from Nigeria
Comment from : @dataanalysiswithveronicabr3408

Thank you Dr, for this nice tutorial
Comment from : @mohammedalnour318

Love u Dr
Comment from : @aliefimei6509

Thanks alot so far your help, u tutorial has really been helpfulbrAfter carrying out the johassen cointegration test and u discover that this is no cointegration, what test will u perform
Comment from : @ikwujesongeorge4904

What happens if there is a contradiction between the results of max statistics trace statistics that means one test suggesting cointegration and the other is suggesting no cointegration???????
Comment from : @brijeshyadav3553

For my thesis, my all variables arr stationery at 1st difference and one varioable is stationary at 2nd difference Now which is best for my data?
Comment from : @FahadKhan-np6me

Which model should i apply as my variables are stationary at 1st difference and one variable is stationary at 2nd difference
Comment from : @FahadKhan-np6me

Hello Professor Thank you so much for your videos! Can a log transformation be done on all variables except the ones specified in percentages or in rates? And can this log transformed variables be used for your analysis?
Comment from : @kehindesanni693

Thank you !
Comment from : @NinaBCervantes

GreetingsbrbrLove your work, it is really helpful for my analysis I have just one questionbrIf the data is not in logarithmic form, is the EViews tehnique the same, or do we need to change anything? I am researching the cointegration between nominal exchange rate and domestic and foreign prices, for the validity of PPPbrbrBest regards
Comment from : @Keyarslo

coodmorning madame, thank you so much for the video, its really hopeful, im algerian student in tunisia, im using this modelisation for stres testing by impulse fonction (if you have an idea about stress testing, do you think is it possible to make shocs by impulse function?), brbut the real problem that i have is: that in my data, i have four variables, three are stationary at level I(0), et the last one stationnary in first difference so at I(1), which model should i use? VAR or VECM?? and after doing the test of johansen, there is no cointegration relations? could you help me please
Comment from : @walidangar5529

Thank you for the video One question, what if series are not stationary even after log-differencing?
Comment from : @macro_finance

From Zambia here, thank you for your videos, really helpful 👏
Comment from : @ChixyChanda

Dr Adeleye, i am grateful to you for your videos You explain in such a beautiful manner that even a layman can understand the technical aspects of the topic Thank you so much for making such beautiful videos These were a great help in taking a step forward in my PhD I request you to please make videos on SVAR, TVP-SVAR, Trimmed mean too These techniques are often used and barely any help is available on these topics Thankyou so much for helping people like me
Comment from : @MonikaKalani

Hai madam, may i know what happen if i got 3 asterisk at Trace result? While in the max deleigen i got 1 asterisk For example:/del br(Trace Result)brNone* - the T-sta > CV - Prob is 00001brAt most 1* - the T-sta > CV - Prob is 00067brAt most 2* - the T-sta > CV - Prob is 00372brAt most 3 - the T-sta < CV - Prob is 01406br(Mix-eigen Result)brNone* - the T-sta > CV - Prob is 00078brAt most 1 - the T-sta < CV - Prob is 00630 brAt most 2 - the T-sta < CV - Prob is 00518brAt most 3 - the T-sta < CV - Prob is 01406brHow can i interpret my result?
Comment from : @asrafulnazrin4943

It is now clear that it is left to the discretion of the researcher to decide whether to use the trace stats or max eigen value results in case they are in conflict I hope it therefore means that it is not mandatory to obtain uniform results for both trace and max eigen stats
Comment from : @denistiyo7193

Watching your video for the first time today got me really excited and interested in learning more econometrics I've decided to watch every lesson you've ever thought online Dr Adeleye you are a blessing, please keep doing this great job THANK YOU
Comment from : @mmworks6767

Hi, firstly thanks a lot for these videos which are really helpful!! Can you please tell me what will happen if the series are integrated of different order (that is, having a combination of I(0) and I(1) series Thanks!
Comment from : @ajitrajkumar8827

Hi this is Shaik from IndiabrI have dought on this,br whether cointegration will be applicable on order level or first difference ?
Comment from : @mahabubbashas6809

Add bayer hanck and maki( on gauss)
Comment from : @mdmahfujurrahman864

Hello brbrThanks so much for the videos I am learning a lot from you What do we do if like one serie (or more) is I(0) and the others I(1) in the case of Johansen Cointegration test?
Comment from : @johnbobymesadieu8922

Thank you so much for your videos, you're a wonderful teacher ! 😊
Comment from : @WuutDafuq

mam i confused a little bit in your vedio first i took log and than i make stationary my dataMy all variables arebr stationary at first differencenow can i used johensan co-integration test
Comment from : @zeropoint2079

Hi professor, I have a question regarding the Johansen cointegration test Say I am running 4 variables with spot prices as my dependent variable, and futures 1,2 and 3 as my independent for the Johansen test And the output leads to all is insignificant and there is remark given by eviews that at most 4 equations are co-integrated What des this financial interpretation mean?
Comment from : @gilbertleon3080

Thank you dear i am Econometrician from Sudan I do support you because what you have posted is 100 refined and solid with almost zero error All interested Students, specially from Africa are encouraged to follow your tutorials, for sure, i will let my students joining your group of the followers around the globe I have many friends from all Africa, i will be proud to be one of them
Comment from : @mohammedgebrail3407

Dear Bosede, I have two variables , REER dependent and Public Debt independent, I know that it is EG that I ve to use My question is can I use Johansen in this case because some authors and articles say that it is possible to use Can you please clarify this issue
Comment from : @azerdilanchiev3781

Hello thank you for your video Here, you say do not use the differenced data, if unit root testing finds unit root, that is I(1) Why is that? Is it because EVIEWS will difference the data for us? Thank you
Comment from : @michaelkozzi5706

Fantastic explanations Thank you,
Comment from : @dennisobara3237

Thanks you so much for such a great work I am Aamir From Pakistan a research student in the field of finance Plz recommend me a book about how we can use different tests in eviews, at what situation what test we can use and which can also tell me what is meant by different values in the tables Plz give me your email address if u realy dont mind thanks
Comment from : @aamirshahzad1881

My first time learning such econometrics stuff but I'm getting the understanding so quick and easy Thanks darling for the videos
Comment from : @bellabae3661

Hello ma'am, why do you choose assumption no 3 arbitarily when doing Johansen Cointegration test? Is there any test to make sure which assumption that should be used (about deterministic trend)? some literatures said that we can use Johansen Summarize Test (6) and choose based of AIC or SC, Is that right? Regards from Indonesia 🇮🇩
Comment from : @luckychristnugroho3370

HibrI'm getting the results showing co-integration of variables without log transformation but after taking log there is no co-integration Which one should I choose?
Comment from : @javedmohd7017

if some variables are at level and some others are first difference so which can i combine at level or first difference pl help me
Comment from : @Instituteresearch

how can i find the pdf of the presentations
Comment from : @muceedinka4558

Hi I am following all your videos and i finished doing the stationarity test and my series were stationary at first difference I just finished conducting the johansen test as well and I'm confused with my results all my trace values are smaller than the 005 critical values (including the none hypothesis) and all my probability values are greater than 5 what does it mean? is that a bad thing?
Comment from : @zamokuhle1992

Nice workmy question is that mostly researcher shows the Johansen result through its coefficients not through trace stat and eignvalue how we can pick such results from this test
Comment from : @MuhammadAli-yl7nx

Hello Ma'am, If trace statistics indicate the presence of cointegration among the variables but not the max-eigenvalues What is to be done in the case?
Comment from : @saakshijha9689

Madam, Its as if you are god sent! These tutorials are exactly my homework Only explained in a manner that much more coherent than my lectures i have learned more in your videos than I did in my uni course! God bless you!
Comment from : @gauchodino6633