Hi
Can you help me figure out which on has higher statistical power between ADF and Johansen Test if applied for testing Cointegration for pair.(Only 2)
Thanks
Aparna
Hi!
Between the CADF and the Johansen Test, the Johansen Test is more flexible for finding cointegration than CADF since we can analyze more than 2 assets with it.
As you mentioned only a pair of assets, either is good enough. However, should you develop your existing strategy into something more complex, it's better to go with the Johansen Test.
Hope this helps!