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st: RE: Cointegration between variables of different order
From
DE SOUZA Eric <[email protected]>
To
"'[email protected]'" <[email protected]>
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: [email protected] [mailto:[email protected]] On Behalf Of [email protected]
Sent: 16 December 2010 20:05
To: [email protected]
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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