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st: RE: Cointegration between variables of different order


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Cointegration between variables of different order
Date   Thu, 16 Dec 2010 20:53:15 +0100

The brief answere is that an I(1) and an I(2) variable cannot be cointegrated.
Unless the I(1) variable is cointegrated with the first difference of the I(2) variable which renders the latter I(1).
A longer answer would require a course on cointegration involving I(2) variables.

Eric de Souza
College of Europe
BE-8000 Brugge (Bruges)
Belgium

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of cosimomagazzino@libero.it
Sent: 16 December 2010 20:05
To: statalist@hsphsun2.harvard.edu
Subject: st: Cointegration between variables of different order
Importance: High

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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