Stationary dependent and VECM
Posted: 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
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