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Re: CointegrationMLE

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#2032
haksunli
Keymaster

Why do you expect the cointegrating coefficient to be 1 or -1?

The reason that you cannot apply JOHANSEN’S method to your time series is because the matrix [tt:3pmh7wka]s11[/tt:3pmh7wka] is singular and cannot be inverted.

I got the same result in R.

> ca.jo(b, ecdet = “none”, type=”eigen”, K=2)
Error in solve.default(S00) :
 system is computationally singular: reciprocal condition number = 1.61279e-16