Skip to main content
Cross Validated

Return to Question

Post Closed as "Duplicate" by Richard Hardy, kjetil b halvorsen♦
added 6 characters in body
Source Link
RoutoCharles
RoutoCharles
  • 1
  • 1

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?

  • 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?

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?

  • 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?

Source Link
RoutoCharles
RoutoCharles
  • 1
  • 1

Modelling VAR or VECM

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?