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/
