Can I run Cointegration test with I(1,2)?

[anannyo]

It has been said that for estimating the co-integrating relationship, all the time series variables in the model should be integrated of order one I(1). I have performed the unit root test to check for the integration order. I found that all of the variables are stationary at 1st difference except one variable, which is stationary at second difference. Can I perform the cointegration test in this situation? Please let me know. Thank you.

[abdullah_alam]

Yes, you may test for cointegration.