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st: Cointegration between variables of different order


From   "cosimomagazzino@libero.it" <cosimomagazzino@libero.it>
To   <statalist@hsphsun2.harvard.edu>
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  


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