An interesting question - I(0) I(1) and I(2)

[mickeykozzi]

Hi all,

Here is an interesting question.

What do you think?

I am currently conducting time series analysis, n =36, annual data, for the USA and 4 other countries.
For my other countries, because my unit roots are I(0) and I(1), I have been using ARDL, VAR or VECM.

For my USA variables, with unit root testing, show I(0), I(1) and I(2).
This result has not been found in other countries.

If I cannot use ARDL, VAR or VECM methods because of this unit root result, what method can I use?

If there is no appropriate method, can I manipulate the data (ie: log)?
If I do transfer the data, in this case for my country the USA, how this will reflect for the other countries that do not require transformation?

What do we think?

Thanks all :)