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The purpose of testing for cointegration is to see if a group of non-stationary variables share a relationship that is stationary. So there I don't see a reason to do this for stationary variables. Straight OLS can give you residuals that are not serially correlated.

Hello Guys, I have recently picked up time series analysis, and I wanted to make sure that what I am doing is appropriate when estimating a VEC. 1.) I initially test to make sure that all series are integrated of the same order. Once I do, and their order of integration is above 0, 2.) I test for co...