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- Sat May 28, 2016 1:24 pm
- Forum: Econometric Discussions
- Topic: I(2) JJ Cointegration Test
- Replies: 0
- Views: 2562
I(2) JJ Cointegration Test
Hi @ll, I am working with a 5 variable time series dataset for spain and it seems that all but one variables are I(2). My questions: (i) Can I use the implemented JJ cointegration test for I(2) variables as well, or do i have to make some adjustments before i use it because they are not I(1)? (In th...