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cointegration with different integrated order

Posted: Sat Oct 20, 2012 7:25 pm
by happyjoy89
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?

Re: cointegration with different integrated order

Posted: Thu Sep 19, 2013 4:32 pm
by Pandelis
if you have more than 1 I(1) variables then theoretically they may be still co-integrated. If not then you use the unique I(1) variable in first differences, thus you have a stationary VAR models and you don;t have to test for co-integration.