search for: stationariy

...estions 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...