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if you have more than 1 I(1) variables then theoretically they may be still co-integrated. If not then you use the unique I(1) variable in first differences, thus you have a stationary VAR models and you don;t have to test for co-integration.

Unfortunately, this (Rahbek and Mosconi 1999 test) is not currently available in E-Views.

"do I have to have integration of order one I(1). If I have integration order of 2 I cant?" if some of your variables are I(2) and some I(1) then for integration to be possible the I(2) variables should be at least 2. i.e. if you have only 1 variable I(2) and the rest of the variables are ...

Very general reply: FIRST you correctly specify your VAR model and then you use it for co-integration tests.

Very general reply: FIRST you correctly specify your VAR model and then you use it for co-integration tests.

I have the impression that you try to integrate what is actually a series of decisions into one. You don't mention if you did any uni-variate tests in your variables before you embark on specifying your VAR/VEC model. Did you do any unit root tests (e.g. ADF)? Deterministic terms: Did the results fr...

You should generally chose methodologies you are acquainted with or you are able to study and understand on your own. Anyway: FIRST you check whether your series have a unit root. If less than two of your variables are non-stationary (they have a unit root) then there cannot be co-integration. Then ...

Dear Gareth

Can this code be applied in relation with the Rahbek and Mosconi (1999) test?

Related discussion: http://forums.eviews.com/viewtopic.php? ... 0&start=15

PM

a) As long as the number of integrated variables is more than 1 then it is possible that they are co-integrated. Since you have three then it is OK to check co-integration with them only (the stationary variable can be included as an exogenous variable, but that jumps to a different topic). b) If &q...

Dear Thomas von Brasch, EViews Glenn and EViews Gareth I have exactly the same problem. I do not have access to PcGive that apparently gives the choice to test the existence of co-integration in a VECM with exogenous stationary variables (and then compare the Trace Statistic with the Harbo et al. 19...