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Re: st: COINTEGRATION TEST WITH I(0) VARIABLE


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: COINTEGRATION TEST WITH I(0) VARIABLE
Date   Tue, 14 Mar 2006 20:52:20 -0500

To be cointegrated, the individual variables should be integrated of the
same order. An I(0) variable cannot be cointegrated with an I(0)
variable. David Greenberg, Sociology Department, NYU

----- Original Message -----
From: Mauricio Vargas <jpmauricio.vargas@gmail.com>
Date: Tuesday, March 14, 2006 1:47 pm
Subject: st: COINTEGRATION TEST WITH I(0) VARIABLE

> 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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