Cointegrating Regression

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Scalper
Posts: 34
Joined: Wed Jun 30, 2010 11:43 am

Cointegrating Regression

Postby Scalper » Mon Mar 18, 2013 7:07 am

Dear all,

I have a doubt regarding to cointegrating regression. In my three variables, Two are I(1) and one is I(2). Estimating the cointegrating regression how have i put the equation on Equation Specification?

Shall i to put lx ly lz or d(lx) d(ly) d(lz,2) ?

Yours Faithfully

Scalper
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