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st: Cointegration between variables of different order
From
"[email protected]" <[email protected]>
To
<[email protected]>
Subject
st: Cointegration between variables of different order
Date
Thu, 16 Dec 2010 20:05:25 +0100 (CET)
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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