VAR or VECM for mix variables

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VAR or VECM for mix variables

Postby BeniBeni » Sun Feb 28, 2021 7:26 am

I have 5 series, four nonstationary series and one stationary series.I tested each pair using Engle-Granger (x1,x2),(x1,x3),(x1,x4); (x2,x3) (x2, x4); (x3,x4) and found cointegration only in x2->x4, then i did johansen (x1,x2,x3,x4) and Trace test indicated 1 cointegrating eqn(s) at the 0.05 level

what should I do next? can I mix stationary with nonstationary? How to proceed?
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