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  • I have 5 series, I did ADF on my series and found that 3 series have unit roots(x1, x2, and x3) and 2 don't(x4 and x5). Still using the level variables I did Engle e Granger test and Johansen test( Trace test indicates 2 cointegrating) and found that there is cointegration between the series.

  • how should I proceed with this? Can I mix differentiate with non differentiate variables? Should I do a VAR for the first differences in the series or a VECM?

RoutoCharles
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  • [Cross posted](https://economics.stackexchange.com/questions/42783) at Economics SE. – Richard Hardy Feb 27 '21 at 18:34
  • See [these threads](https://stats.stackexchange.com/search?q=I%281%29+i%280%29+var+vecm). Your question is likely a duplicate of one of these. – Richard Hardy Feb 27 '21 at 18:35
  • Does this answer your question? [VAR or VECM for a mix of stationary and nonstationary variables](https://stats.stackexchange.com/questions/148994/var-or-vecm-for-a-mix-of-stationary-and-nonstationary-variables) – Richard Hardy Feb 27 '21 at 18:37
  • HI Richard, i saw your answer and i have a question: I changed my variables and now I have 3 OF THEN ARE STATIONARY (x1, x2 and x3) and 2 are NOT. -Test each pair of the nonstationary series (x1 and x2; x1 and x3; x2 and x3) for cointegration using the Johansen or the Engle-Granger test . i did this for the stationary the series cointegrated using Engle-Granger and then using Johansen Trace test indicated 3 cointegrating. – RoutoCharles Feb 27 '21 at 19:04
  • @RichardHardy and For the non-stationarity series they not cointegrated in level, but cointegrated in first differences. What should I do? I didn't understand how to do "If (C) then build a model where..." this – RoutoCharles Feb 27 '21 at 19:13
  • Series that are I(0) cannot be cointegrated. If a bunch of series are I(1) and not cointegrated, they cannot be cointegrated in first differences for that reason; check the definition of cointegration which requires the constituents to be integrated, never I(0). – Richard Hardy Feb 27 '21 at 21:19

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