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, - adschai [[alternative HTML version deleted]] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.