the interpretation of jcitest
2 views (last 30 days)
Show older comments
Hi, I am using jcitest function to determine the number of possible cointegrating vectors on the simulated data.
But for me, it is unclear how to interpret the output. For instance,
case 1: [1 1 1 0]
case 2: [1 0 0 1]
In the case 1, I understand that I can interpret that "there are 3 or less cointegrating vectors".
But what about the case 2? It suggests "there are 1 or less cointegrating vectors"(by first zero in the array) as well as "there are 2 or less..." (by the second zero), then the last element in the array (one) says the hypothesis of "there are 4 or less..." are rejected.
So all the test somehow contradicts.
0 Comments
Answers (0)
See Also
Categories
Find more on Airfoil tools in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!