Interpreting Johansen cointegration test
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Good morning everyone, I tested for cointegration 2 time series using the Johansen's cointegration test, but I do not know how to interpret the test output. The function I used is built-in and, particularly, is given by the following code:
[h,pValue,stat,cValue,mles] = jcitest(Y)
where (Y) is the matrix dataset containing the time series you want to test for cointegration. The main output you get running the code above is the [h] value, corresponding to the Boolean decision for the test:
- h = 1 --> rejection of the null hypothesis of cointegration rank r in favor of the alternative;
- h = 0 --> the opposite: failure to reject the null hypothesis;
Now, running the test, you get two value [r0] and [r1], probably corresponding to the rank at which is linked a value of [h] (equal to 1 or 0). Can you help me understanding how to interpret this output. Thanks a lot for help.
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