Cointegration
Posted: Mon Dec 20, 2010 9:37 pm
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).
I know the answer is yes if x is I(1) too, but not sure in this case since x is I(0).