How to estimate VECM with mix of I(1) and I(0) variables

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EktaS
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Joined: Fri Sep 09, 2011 4:45 am

How to estimate VECM with mix of I(1) and I(0) variables

Postby EktaS » Mon Apr 07, 2014 12:20 pm

hi
I have a system of seven macroeconomic variables. Five of them are I(1) for which i have got 3 cointegrating equations by jahenson cointegration test. The other two variables are I(0).
Now plz suggest what should be the treatment of these I(0) variables to estimate VECM. Should i put them as exogenous variables?
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