I want to ask, what should johansen do after adf unit root test? It is to test the cointegration of stock index futures. I think the equation must be established before it can go online.
Generally speaking, the data analysis of futures can be done by cointegration and ADF test. To establish an equation, you must first establish several sets of new data. How many variables there are depends on whether you want to establish a univariate or multivariate equation. Then select several groups of data to open, the equation interface appears, and a data analysis result appears, including residual, R value, F value and so on. According to the correlation coefficient, one-dimensional or multivariate equations can be established, and model prediction and fitting effect analysis can also be carried out.