Wednesday, March 15, 2006

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

Mauricio, I think that the correct approach in this case is to perform Johansen Cointegration test only over the 3 I(1) variables, as the cointegration rank (the number of cointegration relationships) must be less than 3. Additionally, if you are not sure about the exogeneity of the I(0) variable, I suggest you that include in the VEC specification. If you include this in the cointegration relationship, it does not affect the long run relationship, as the sum of two variables I(0) (in your case the linear combination of the 3 I(1)variables plus the I(0) variable) must be stationary. Best, Óscar Becerra Researcher Conflict Analysis Resource Center, CERAC

-----Mensaje original----- De: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de David Greenberg Enviado el: Martes, 14 de Marzo de 2006 08:52 p.m. Para: statalist@hsphsun2.harvard.edu Asunto: 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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* * 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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