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Cointegration

Posted: Mon Dec 20, 2010 9:37 pm
by jag_211085
If y is I(1) and x is I(0), and your model is y = c + b*x, do you need to check for cointegration and have an error correction term?

I know the answer is yes if x is I(1) too, but not sure in this case since x is I(0).

Re: Cointegration

Posted: Tue Dec 21, 2010 3:12 pm
by Arun.stat
If I strictly follow the definition of co-integration, there cant be anything like that.