Unit root test on exogenous variables

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KateK
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Joined: Mon Apr 14, 2014 2:39 pm

Unit root test on exogenous variables

Postby KateK » Mon Apr 14, 2014 2:45 pm

Hi,

I am running Cointegration and VECM analysis on a set of endogenous and exogenous variables.
I am wondering if I have to run unit root tests on exogenous variables as well and make sure they are I(1).
Thanks a lot.

KateK
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