Hi,I obtained the ect term from cajorls in urca. I found a result that would
like to obtain some explanation here. My setting is that I have 2 variate time
series. I use ca.jo to perform Johansen test. 1. I found that sometimes, in the
case where the ca.jo test statistics suggest that I have 1 relationship. After I
investigate the ect obtained from cajorls (with r=1), the ect series fails unit
root test like adf.test completely. I still see high degree of non-stationarity.
Would you please provide some insight?2. The opposite of above also occurs. I
found that the statistics suggests that I have no cointegrated relationship. But
when I tried to perform adf.test on the ect, it gracefully rejects the null
hypothesis of I(1). 3. Sometimes I found test statistics for both r <= 1 and
r <= 0 are statistically enough. How should I interpret this result? Do I
have 1 cointegrated relationship or not at all?Any explanation would be really
appreciated. Thank you.- adschai
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