Panel cointegration test

1. Whether variables are cointegrated or not?
Zed Taha posted the following figure.




















Sayed Hossain commented> Out of 11 statistics, only 2 statistics are significant while the
rest 9 statistics have failed to reject null hypothesis meaning that all variables LY, LEN, LF
and LK are not cointegrated. Meaning all these variables do not have long run
relationship. So we can not run panel VECM model.



2. I have two panel data variable such as GDP and CPI for five countries and I
have run Fisher panel cointegrating test (Johansen sense) and got following
result. I assume here 10 percent level of signficance. Are these two variables
cointegrated?
Sayed Hossain posted the following figure below.






























Sayed Hossain commented> At "None" we fail to reject null Fisher trace statistics and also
Fisher max-eigen statistics meaning that we accept null. That is two variables GDP and
CPI are not cointegrated meaning they do not move together in the long run. We are
unable to run panel VECM model. It is Johansen type multivariate of panel cointegration
test meaning that if we change the side of GDP and CPI  setting while running Johansen
Fisher panel cointegration test, decision would be same.
POPOLAR BLOGS
Dave
Meo School of Research
Shishir Shakya
Noman Arshed
Panel Cointegration Test
Hossain Academy Note
Univariate Models
Multivariate Models
Panel Data Model