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| From | "cosimomagazzino@libero.it" <cosimomagazzino@libero.it> |
| To | <statalist@hsphsun2.harvard.edu> |
| 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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