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Yes you can perform cointegration test if all your variables are I(2). So long they are all of the same order.

You should run Johansen's Cointegration at levels.

Hey all, I am doing a research on speculative activity on commodity prices using Johansen's cointegration and vecm. However, I have a couple of queries to clarify. 1) I want to find the effect of macro, market level forces and speculation (in futures market) on spot crude prices and crude futures pr...