Tag: STATA for data analysis

How to perform Johansen cointegration test in VAR with three variables?

By Divya Dhuria & Priya Chetty on September 27, 2018 2 Comments

The previous article showed lag selection and stationarity for Vector Auto Regression (VAR) with three variables; Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFC) and Private Final Consumption (PFC). This article shows the co-integration test for VAR with three variables.

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Lag selection and cointegration test in VAR with two variables

By Divya Dhuria & Priya Chetty on September 27, 2018 5 Comments

The previous article showed that the three-time series values Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFC) and Private Final Consumption (PFC) are non-stationary. Therefore they may have long-term causality. The general assumption, in this case, is that consumption PFC affects GDP, therefore these variables might be cointegrated.

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