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Hello guys,
I have a very important question and I need a quick response.
I have performed the pedroni cointegration the on an I(0) and an I(1) variable and the results showed that cointegration does exist.
But is it really possible to have cointegration between I(1) and I(0) variables ?
Thank you in advance.

Dear Yodish,

The answer is yes.

Regards.

How do you have cointegration with a variable that isn't integrated?

I understand that Yodish is talking about D(0) and D(1) instead of I(0) and I(1). Is this what Yodish are talking about, right?

Regards.

Thank you jmagomez.
But isn't I(0), I(1) similar to D(0), D(1)?