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Thanks for your suggestion. I'm gonna read text book to get deeper understanding for my method too. However, I've searched in the forum for VAR/VEC model for non-stationary series. There are three steps as I understood: check unit root test; select lag length; and run Johansen cointegration test to ...

I want to examine the relationship between stock returns and five macroeconomic factors. They are all I(1). I run VAR test then Johansen cointegration test. Both the trace test and the maximum eigenvalue test indicate 6 cointegrating vectors. Could you please let me know that I can confirm the model...