Hi, all,

a question regarding the cointegration relations (vectors) estimate in the
Johansen test:

I have a data sample which is confirmed by the Johansen test as
cointegrated, however, if I take a subsample of the whole times series, each
time add one data point and using the "ca.jo" function in R to estimate the
cointegrating vector, i.e. to do a forward recursive test, and record the
estimate beta (the first element of the vector is normalized to one, beta is
the second element), strangely at some point, beta shows discontinuity-a big
jump with sign change. This is really confusing to me as it seems that the
Johansen procedure is not robust in that one additional data could cause
dramatical change in the estimate of beta. not sure if it is problem of the
procedure or the ca.jo function, I think my data is fine (excluding errors
and outliers). has anyone seen similar things as me?

Regards,
Paul C. Jin

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