Re:Panel Cointegration

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yodish
Posts: 4
Joined: Fri Dec 30, 2016 1:38 pm

Re:Panel Cointegration

Postby yodish » Sat Dec 31, 2016 1:59 am

Hello guys,
I have a very important question and I need a quick response.
I have performed the pedroni cointegration the on an I(0) and an I(1) variable and the results showed that cointegration does exist.
But is it really possible to have cointegration between I(1) and I(0) variables ?
Thank you in advance.

jmagomez
Posts: 68
Joined: Wed Aug 08, 2012 10:24 am

Re: Re:Panel Cointegration

Postby jmagomez » Sun Jan 01, 2017 12:58 pm

Dear Yodish,

The answer is yes.

Regards.

startz
Non-normality and collinearity are NOT problems!
Posts: 3484
Joined: Wed Sep 17, 2008 2:25 pm

Re: Re:Panel Cointegration

Postby startz » Sun Jan 01, 2017 1:44 pm

How do you have cointegration with a variable that isn't integrated?

jmagomez
Posts: 68
Joined: Wed Aug 08, 2012 10:24 am

Re: Re:Panel Cointegration

Postby jmagomez » Tue Jan 03, 2017 9:03 am

I understand that Yodish is talking about D(0) and D(1) instead of I(0) and I(1). Is this what Yodish are talking about, right?

Regards.

yodish
Posts: 4
Joined: Fri Dec 30, 2016 1:38 pm

Re: Re:Panel Cointegration

Postby yodish » Tue Jan 03, 2017 1:29 pm

Thank you jmagomez.
But isn't I(0), I(1) similar to D(0), D(1)?


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