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,
�scar Becerra
Researcher Conflict Analysis Resource Center, CERAC
-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de David Greenberg
Enviado el: Martes, 14 de Marzo de 2006 08:52 p.m.
Para: [email protected]
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 <[email protected]>
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/
--
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.1.375 / Virus Database: 268.2.1/279 - Release Date: 10/03/2006
--
No virus found in this outgoing message.
Checked by AVG Free Edition.
Version: 7.1.375 / Virus Database: 268.2.1/279 - Release Date: 10/03/2006
*
* 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/
