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Hi, I just wanted some clarification on two issues. (1) When we are running unit root tests on panel data (suppose IPS or LLC unit root test), we need to enter the lag length; in case we decide not to go by the automatic lag selection by AIC or SIC. How should we select the user-defined lag length f...

Yes, you may test for cointegration.

You can not run the Johansen cointegration test for I(0) series. They have to be I(1).

If there is a unit root present in your series at level, this means that the series are not integrated of order I(0). When first differenced, there is no unit root present, it means that your series are now stationary and of order I(1). Since, both series are of same order, there is a chance of coin...

Does this mean that we can not check Granger causality between the two variables, if they are both of the order I(0)?

If two series are integrated of the order I(0), means there is no unit root or that they are stationary at level; can we perform Johansen Co-integration Test for them?