Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Cointegration between variables of different order


From   "[email protected]" <[email protected]>
To   <[email protected]>
Subject   st: Cointegration between variables of different order
Date   Thu, 16 Dec 2010 20:05:25 +0100 (CET)

Dear Statalist,
                          I'm studying the relationship between two variables. 
After the stationarity tests, I found that one of them is I(1), while the other 
I(2). So, I'd like to know how I can perform a cointegration test (on the 
levels of both? on their first differences?) and what kind of series I should 
consider in a VAR/VEC system.

Best Regards,

COSIMO MAGAZZINO  


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index