Sunday, April 25, 2021

lag does not affect cointegration test

 



"Thus in theory you can test for cointegration either between y1,t and y2,t or y1,t and y2,t−h and the answer should be the same. Empirically the answer may differ, but hopefully you have a large enough sample so that it does not differ in your case."

Reference: 

https://stats.stackexchange.com/questions/285582/cointegration-with-lagged-variables

So, the lag is best analyzed from cross correlation analysis. 



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