Hello to all-
1. When I run a regression which implements the augmented Dickey-Fuller
test, I am confused about the names given to the regressors in the output.
I understand what "xGE" stands for in a standard "lm" test involving an
independent variable GE for instance, but if I lags and or differences are
included in the model, what do the following "output" stand for:
"xlag(x,-1)GE"
"xD.GE"
"xD.lag(diff(x), -i)GE"
"xD.D.lag(diff(x), -i)GE"
Thanks for the clarifications -- I don't want to "misspeculate" on the
actual interpretations, here...
Also...
2. When an Engle-Granger test is run on multiple independent variables,
only one cointegration vector is returned. Can one tell "which vector" --
or what two variables' relationship -- is being identified for the R
output. Likewise, if I run a Johansen test, does R "tell me" specifically
which pairs of variables are cointegrated or do I just get the rank?
Thanks to all for your time and consideration.
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