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Re: st: RE: Cointegration between variables of different order


From   Syed Basher <syed.basher@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Cointegration between variables of different order
Date   Thu, 16 Dec 2010 12:09:39 -0800 (PST)

In addition to what Eric says below, if you're really interested to work out the problem you can consult Katarina Juselius's recent book The Cointegrated VAR model: Methodology and Applications, particularly chapters 16 and 17. She also provides computer codes (and sample data) in her homepage, but you will need to use RATS to compute the tests. Hope this helps.

http://www.syedbasher.org/


--- On Thu, 12/16/10, DE SOUZA Eric <eric.de_souza@coleurope.eu> wrote:

> From: DE SOUZA Eric <eric.de_souza@coleurope.eu>
> Subject: st: RE: Cointegration between variables of different order
> To: "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
> Date: Thursday, December 16, 2010, 10:53 PM
> 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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