Unit root test on exogenous variables
Posted: 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
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