some stationary at level and others at first difference
Posted: Fri Jun 08, 2012 8:29 pm
Some variables are stationary at level, and some variables are stationary at first difference. Does it mean I will have to use those stationary at level as it is (e.g. x1) and those stationary at first difference as first differenced (e.g. x2) when I write the equation. Something like this: y = x1 d(x2). Can I do like this for OLS or Fully Modified OLS, or ARDL. What will be the case if the dependent variable for instance is stationary at first difference?