cointegration with different integrated order
Posted: Sat Oct 20, 2012 7:25 pm
hi
If there is a mix of I(0) and I(1) variables, can I still proceed Johansen cointegration test?
If I can, how do I set up the model for performing cointegration tets?
If there is a mix of I(0) and I(1) variables, can I still proceed Johansen cointegration test?
If I can, how do I set up the model for performing cointegration tets?