Because some series contain negative raw data, and data is normalized by MinMax. Can VECM be used after second-order difference where the series are stationary? If can, whether the number of lagged difference is the p-1 or p-2 through VAR(p)?
From Comments:
integrated of order two (Δ2𝑥𝑡) for all series. My data is not only integrated of order one, but must two to keep all series stationary. According to Lutkepohl "New Introduction to Multiple Time Series Analysis", it only gives proof of integrated of order one, but no proof more than one. When I get through the chapter, it seems that Δd Xt works. Because so far I am not writing paper but just the aim to conduct a robust model without residual autocorrelation and not-bad generalized model. To some degree, the model need not be so strict with theory or mathematic proof.