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Hi all, If I have my dependent variable that is I(1) along with 3 independent variables, and 1 independent variable is I(0), is it possible to drop the I(0) term and test for cointegration? If yes and cointegration is present, is there a way of including the previous I(0) term that was dropped previ...

Hi all, I am using unit root tests (namely PP and KPSS) for monthly time series analysis. I have a whole sample of 1998m01 to 2015m12 and also am using a subsample of this from 1998m01 to 2008m08. I am going to then go on to do Johansen Cointegration and VAR estimation after so I need to determine w...