Cointegrating Regression
Posted: Mon Mar 18, 2013 7:07 am
Dear all,
I have a doubt regarding to cointegrating regression. In my three variables, Two are I(1) and one is I(2). Estimating the cointegrating regression how have i put the equation on Equation Specification?
Shall i to put lx ly lz or d(lx) d(ly) d(lz,2) ?
Yours Faithfully
Scalper
I have a doubt regarding to cointegrating regression. In my three variables, Two are I(1) and one is I(2). Estimating the cointegrating regression how have i put the equation on Equation Specification?
Shall i to put lx ly lz or d(lx) d(ly) d(lz,2) ?
Yours Faithfully
Scalper