Tuesday, March 14, 2006

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

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 > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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