Cointegration

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jag_211085
Posts: 9
Joined: Thu Oct 14, 2010 7:56 pm

Cointegration

Postby jag_211085 » Mon Dec 20, 2010 9:37 pm

If y is I(1) and x is I(0), and your model is y = c + b*x, do you need to check for cointegration and have an error correction term?

I know the answer is yes if x is I(1) too, but not sure in this case since x is I(0).
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Arun.stat
Posts: 4
Joined: Wed Dec 15, 2010 10:34 am

Re: Cointegration

Postby Arun.stat » Tue Dec 21, 2010 3:12 pm

If I strictly follow the definition of co-integration, there cant be anything like that.
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