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- Sun Sep 15, 2019 7:52 am
- Forum: Econometric Discussions
- Topic: What if first differences co-integrate?
- Replies: 0
- Views: 6630
What if first differences co-integrate?
Hello! I'm busy with VAR/ECM models with five variables describing stocks and flows of uenmployed job seekers and vacant jobs (for a matching function). All these series seem to be integrated I(1) or higher. However, the results of pretests (ADF, Phillips-Perron, KPSS) are partially mixed, and two o...