Unit root - OLS

[1ci]

Dear All,

I've got a question regarding the unit root test - if my variables are all stationary in their first differences - how should I run the OLS model? Shall I take differenced variables, or the data series in level?

And what is with the VECM - shall I use second-differenced data series, if I use the first differenced for OLS?

Hope you can help me.

Regards,

[1ci]

I mean if my data series are stationary in their first difference - shall I use differenced variables for the long-run relationship (OLS) and second-differenced variables for the short run (VECM)?

[1ci]

Can anybody help, please?

[1ci]

probably I should mention that my model is an ARIMA model..