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