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Hello. I would like to know how to interpret the Johansen test to find out whether or not there is a cointegration between the series involved in the model. Grateful.
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After a Google search, here are some links that might help link1, Link2, link3 and Link4
– Rafael Cunha
Thank you, Rafael.
– André Morais
The best hypothesis in this case r <=4, since the hypotensive test tests the null hypothesis, thus the matrix test value you seek must be formed by 4 variables to have stationarity. lambda values are the bad error correction values as to that n I’m sure.
– Felipe Silva