Cointegration

[mayxanh]

Could anyone please help to answer to this question?

I would like to know if cointegration can exist between stationary I(0) and integrated I(1) variables? The Johansen cointegration tests assume all variables are I(1). If any variable is I(0), is it true that the beta-coefficient of this variable must be restricted to 0, meaning a stationary variable must not be cointegrated with integrated variables?


Thank you.

[abdullah_alam]

You can not run the Johansen cointegration test for I(0) series. They have to be I(1).