Stationary dependent and VECM

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Rossjeno1
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Joined: Sun Feb 16, 2014 12:36 pm

Stationary dependent and VECM

Postby Rossjeno1 » Sun Mar 16, 2014 8:24 am

Hi all,

I'm carrying out a project based on forecasting excess stock returns. 5 out of 11 of my independent variables are I(1) and my dependent variable is I(0) - determined by the ADF test.

If my dependent variable is I(0) is there point in conducting an VECM?

Thanks
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