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Hi guys, I am currently doing my thesis and I am confused whether to use the first differences of my variables in Johansen Cointegration or not. I already tested the stationarity of my variables and I found out that all of them are I(1).

Should I run their first differences or just their level?


Thank you so much in advance for your help.

You should run Johansen's Cointegration at levels.

At levels.

But do you know how to apply the Pantula's Principle in order to determine the best model (with/without ternd; with/without intercept)? I mean, do you know the code for this Pantula's principle?

Thanks,

D.