I have a system 4 I(1) variables. Normal Johansen test in Eviews tell me there are two cointegrated relationship. Yet, if I include an exogenous variable, namely log(oilprice) the test gives me three cointegrations. I am not sure I understand the test well as Eviews onle reports the critical values without exogenous variable.
Anyone could explain the theory behind Johansen test with exogenous variable or refer me to the relevant literature!!? Thanks.
