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As far as I know all the variables should be integrated of the same order for you to be able to do Johansen...otherwise you simply cannot. I read somewhere, there is a way to play with your data to make them somehow stationary and then run the test...but it said...it is quite complicated and tricky....

Hi All,

I am running into a similar problem "VEC specification imposes two unit roots"...lelel series are non-stationary...i found a cointegrating relationship however...this problem...any suggestions? Should I estimate VAR instead?

Regards,
Buratino.