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I have an information set combining of four I(1) process and one I(0). I am estimating a VAR model, and when first testing for cointegration (Johansen LR Test) I enter all I(1) process but exclude the I(0), as clearly cointegration cannot occur. Who told you that? this is not true I am pretty confi...

Hi, I would like to pose an interesting (to my view :)) question related to the topic of cointegration. Recently, by implementing the ARDL approach to cointegration in order to establish long-run relationship between two variables (one dependent and one independent) around a linear time trend (e.g. ...