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st: COINTEGRATION TEST WITH I(0) VARIABLE


From   "Mauricio Vargas" <[email protected]>
To   [email protected]
Subject   st: COINTEGRATION TEST WITH I(0) VARIABLE
Date   Tue, 14 Mar 2006 13:47:30 -0500

I want to see if 4 variables have a long run relationship. The problem
is that 3 of them are I(1) and one is I(0). Is it correct if I use the
 Johansen cointegration Test? or Should I test it with just the 3 I(1)
variables? I was thinking about make a VARX with the I(0) variable as
exogenous.
I can not chance the specification of the variables in levels, so I
can not differentiate them or exclude some.

Please help me!!!

Thanks

Mauricio

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