Econometrics # 37 : Johansen Cointegration with EViews (English Version)

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  • Опубліковано 5 сер 2024
  • CORRECTION: DO NOT use lag selection according to the video. Use lag interval as suggested by EViews. Here lag interval is "11" as suggested by EViews.
    Reference for trace and eigenvalue comparison:
    Lüutkepohl, H., Saikkonen, P., & Trenkler, C. (2001). Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. The Econometrics Journal, 4(2), 287-310.
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КОМЕНТАРІ • 86

  • @TJAcademyofficial
    @TJAcademyofficial  3 роки тому +3

    CORRECTION: DO NOT use lag selection according to the video. Use lag interval as suggested by EViews. Here lag interval is "11" as suggested by EViews.

    • @munshir.c6161
      @munshir.c6161 2 роки тому

      Thank you so much.
      Could u please expain ,what is difference between none and at most 1 ,2 and 3?

    • @boukhrisazhar2461
      @boukhrisazhar2461 2 роки тому

      @@munshir.c6161 same question???

    • @miriamlupe7676
      @miriamlupe7676 Рік тому

      why do you use 11 how tha lag interval? is it based on criteria Akaike or Schwarz ?

    • @mjahircu
      @mjahircu 9 місяців тому

      Another thing, You said the negative sign will be treated as positive. Then what will be the interpretation of cointegration-positive or inversely cointegrated?

    • @urdufacttube8159
      @urdufacttube8159 7 місяців тому

      Please can u tell me ...u didn't find stationarity this data already stationary or not

  • @sssrrr1988
    @sssrrr1988 3 роки тому +2

    I really appreciate people who describe everything in details so that everyone can understand from scratch.

  • @sahibzadafaisalkhan6458
    @sahibzadafaisalkhan6458 Рік тому +2

    Sir I really Don't have words to thank you for this kar e Khair🙏🤲❤️

  • @mgillham7633
    @mgillham7633 3 роки тому +1

    Very helpful, thank you so much

  • @Current66
    @Current66 3 роки тому +1

    Sir your method of teaching is very easy i wish I were your student.

  • @user-oh7jv4cg9m
    @user-oh7jv4cg9m 6 місяців тому

    very helpful and v. well explained sir, thanks alot.

  • @shahbazh2530
    @shahbazh2530 2 роки тому +4

    ASW TJ, your teaching style is really nice. Your videos are helping me a lot. God bless you for your work. I have a query here, how can we identify which variables are co-integrated?

  • @faizazaghum7668
    @faizazaghum7668 3 роки тому +1

    Bht help fullll hai sirrrrr bht help fulll

  • @Current66
    @Current66 3 роки тому

    Great work sir

  • @ismilkhankhan
    @ismilkhankhan 3 роки тому

    AOA. sir , if there are more than one cointegrating variables in the model so what does it mean ? how should we interpret that

  • @mirwaisekhan2020
    @mirwaisekhan2020 2 роки тому

    Sir, if our trace statistics and eigenvalues shows one cointegrating equation then in that case can we chose between the results of OLS and ECM for interpretation? Or Should we use both?

  • @drkeyurnayak7812
    @drkeyurnayak7812 2 роки тому +2

    I got to know how to download data from world bank website, may i know which country`s data has been used in this video

  • @laraibmalik109
    @laraibmalik109 2 роки тому +1

    Thank you so very much

  • @chandnirana369
    @chandnirana369 2 роки тому +1

    Thank you sir 🙏

  • @drmearajuddin2334
    @drmearajuddin2334 3 роки тому +1

    If we have found 3 cointegrating equations in cointegration.. Then while running vecm.. Should we enter 3 in cointegration equation option or 1... And will it make any difference.. N then how to interpret 2 cointegration equations.. Sir

  • @nosherwankhaliq1243
    @nosherwankhaliq1243 Рік тому +1

    asalamo alikium, I learned a lot from your videos, still learning. Sir according to your when I divided the values of LF 0.029158 by 0.12209 (at 17:00/18:03 in your video), the t values were not more than 1.96. Here what are the standard t values?

  • @azadaristudio6780
    @azadaristudio6780 5 місяців тому

    Well informative sir G

  • @JannatulFerdoushiShupri
    @JannatulFerdoushiShupri 29 днів тому

    Which app did you use here?
    Is it possible to test co-integration by using SPSS or R software?

  • @takmilahsan
    @takmilahsan 3 роки тому +2

    Thanks Sir.
    Voice is a bit low, but you elaborated very well.
    Masha ALLAH.
    Thanks

  • @celebritiesclub534
    @celebritiesclub534 3 роки тому

    Salam
    If our 5 variables are in 1st difference and just 1 variable is in level so what should be do further testing ?
    Should we go to co-integration test or not ?????????
    Please sir guide me I would be very thankful to you

  • @joyunigwe3257
    @joyunigwe3257 Рік тому +1

    Thank sir

  • @chandnirana369
    @chandnirana369 2 роки тому +1

    Sir for errors correction module time intervals of all the variables are same..

  • @yy6584
    @yy6584 2 роки тому +1

    according to the summary report, I got option 1 lag 0, option 2 lag 0, and option 5 lag 1. is this possible? and when I chose option 5 lag 1 it showed no cointegration, but then I tried option 1 lag 0(is this acceptable to delete the information in lag box as its zero) and this result showed cointegration. please confirm whether this action is correct? can I base my conclusion on it? or it should always be lag 1 or above?

  • @mbaonlinelectures7184
    @mbaonlinelectures7184 2 роки тому +1

    How do calculate Cointegration and ADF values manually kindly make a video on it

  • @asifmehmood3259
    @asifmehmood3259 3 роки тому +1

    Asalam-o-Alaikum jazak Allah sir apkk lecture mashallah boht kmaal k & exam orianted hein. PPSC k exam ho rhy hein. kindly mazeed kuch videos Specifically exam orianted bna dein. Micro n macro development n international trade k topics p.

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому +1

      Ws n JazakAllah. When you visit to TJ Academy, you will see separate playlist of microeconomics and macroeconomic like below:
      Micro: Microeconomics (Urdu/Hindi): ua-cam.com/play/PLZ6b0WaGAsFmlYc2l53DZmGH-xIEnOTIr.html
      Macro: Macroeconomics (Urdu/Hindi): ua-cam.com/play/PLZ6b0WaGAsFmwHLks6IMN3Yz26587fU5v.html

  • @chanchalsaini9655
    @chanchalsaini9655 Рік тому +1

    hello sir please tell in case of 2 variable and we find 2 cointegrating equation then we said there is long run relationship or not

  • @pavanaba1283
    @pavanaba1283 3 роки тому +1

    Does Johansen co-integration test can be applied for the data sets which are stationary at levels ?

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      Thank you for your message. No, johansen test is applied when all variables are I(1)

    • @pavanaba1283
      @pavanaba1283 3 роки тому

      Thank you sir 😊 then how can the co-integration be tested sir ?

  • @samfisher1250
    @samfisher1250 2 роки тому +1

    what if engle and granger and johansen cointegration test shows contradicting results? EG results to cointegration and JC results to no cointegrating vectors? what should i do?

  • @arunprasath7227
    @arunprasath7227 3 роки тому +1

    Sir, In the video description you said not to use method as suggested by you for choosing Lag length. Can we use assumption as suggested by you?

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      Yes. You should use lag as suggested by EViews

    • @arunprasath7227
      @arunprasath7227 3 роки тому +1

      Tats OK sir thank you. How can we select assumptions? As said by you or tat also to leave as it is by Eviews itself? Kindly reply

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      Summary options will highlight the right option among five given assumption.

  • @nscloset2085
    @nscloset2085 3 роки тому +1

    Sir when I have applied co-integration test by transforming GDP which is in 2nd difference into 1st difference then it show near singular matrix ???????
    Why it shows error singular matrix plz sir help ????

  • @anar_shahverdiyev
    @anar_shahverdiyev Рік тому +1

    Sir, why did you use Schwarz instead of Akaike while finding lag and trend?

    • @TJAcademyofficial
      @TJAcademyofficial  Рік тому +1

      U can use anyone

    • @anar_shahverdiyev
      @anar_shahverdiyev Рік тому +1

      And one more question please. İf my variables are not stationary at level, what should i do? Being Stationary is must for johansen test?

  • @danielacarladecaroschettin936
    @danielacarladecaroschettin936 3 роки тому +1

    Hello, very nice. Thank you. Difficult to find the part of the summary option and how to interpret it in other videos. Congrats for that!

  • @abhishekkacholia3864
    @abhishekkacholia3864 2 роки тому +1

    While performing the test should the data be at value or at first level? Should we convert the data into first difference and then apply cointegration test?

  • @etc4363
    @etc4363 3 роки тому +1

    What does it means when there is more than one cointegrating equation?

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      Thank you for message. Please watch
      ua-cam.com/video/MpDAG_sqaiQ/v-deo.html

  • @yy6584
    @yy6584 2 роки тому +1

    if one variable is I(0) and the other one is I (1), can I perform Johansen cointegration test?

  • @muhozaadeline6046
    @muhozaadeline6046 3 роки тому +1

    hlo sir what if same variable at I(1) and other are I(2) ?

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      Thank you for your message. In said case VAR would be appropriate.

  • @ritikalata8339
    @ritikalata8339 3 роки тому +1

    Hello sir,
    Can you please tell me Johansen cointegration test is conducted on variables at level or with first difference.

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      Johansen is applied on level. There is no need of Cointegration when variables are stationary (differenced).

    • @ritikalata8339
      @ritikalata8339 3 роки тому

      @@TJAcademyofficial okay thank you sir

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      @@etc4363 i did not get your point. Plz explain

    • @etc4363
      @etc4363 3 роки тому

      @@TJAcademyofficial Sorry! At first I didn't get. Now it is clear

    • @celebritiesclub534
      @celebritiesclub534 3 роки тому

      @@TJAcademyofficial that means we dont need to perform it when it's in 1st difference ?

  • @mbkhan8418
    @mbkhan8418 3 роки тому +1

    I like your teaching method sir. I am a student of economics and I have become your great fan. In the end I want to ask you sir that when will your playstore app launch as u have stated in some videos.

  • @rwaewae
    @rwaewae 3 роки тому

    Pls upload any video on Bayer and Hanck Cointegration in eviews. thanx

  • @priyankaverma4053
    @priyankaverma4053 Рік тому +1

    hello sir,, i have learned a lot from your vedios,, Thanks a lot for helping the scholars
    one doubt i am having in johansen co-integration that what if i am having few variables stationary at first difference and few variables stationary at first difference...
    Can't i run the test??

    • @TJAcademyofficial
      @TJAcademyofficial  Рік тому

      Hi, for Johansen cointegration all variables must be I(1) means stationary at first difference

  • @celebritiesclub534
    @celebritiesclub534 3 роки тому +1

    Sir when I clicked option no 6 so it says singular matrix what does it means??????

    • @TJAcademyofficial
      @TJAcademyofficial  3 роки тому

      Sometime its happening due to crack version

    • @celebritiesclub534
      @celebritiesclub534 3 роки тому

      @@TJAcademyofficial sir so how fix this issue of singular matrix ?

    • @celebritiesclub534
      @celebritiesclub534 3 роки тому

      @@TJAcademyofficial Sir plz reply we need to download again eviews after uninstalling it because when I do cointegration test it keeps saying near singular matrix so how to fix it? Your recommendation would be helpful for me

  • @drkeyurnayak7812
    @drkeyurnayak7812 2 роки тому +1

    can u share dataset or guide from where it can be downloaded

    • @TJAcademyofficial
      @TJAcademyofficial  2 роки тому +1

      Thank you for your message.
      All data have been download from worldbank.org

    • @drkeyurnayak7812
      @drkeyurnayak7812 2 роки тому

      if you can attached datafile with video or share link here , will highly obliged

  • @aishasalami8330
    @aishasalami8330 3 роки тому +1

    please thanks🙏🏻🙏🏻😞

  • @shashikumarr9635
    @shashikumarr9635 9 місяців тому

    Reject Ho: there is cointegration when trace value is greater than critical value.
    or is it Reject Ho: there is no cointegration when trace value is greater than critical value.
    could you please clear the concept with the null hypothesis and decision rule

  • @md.ismailhossen1855
    @md.ismailhossen1855 3 місяці тому +1

    too poor sound!

  • @rwaewae
    @rwaewae 3 роки тому

    Thanks Sir.
    Voice is a bit low, but you elaborated very well.
    Masha ALLAH.
    Thanks