I'm performing the stationary and cointegration test on stock prices.
What I'm confused is
1) the difference between ADF stationary test and ADF cointegration test.
2) Also, in ADF stationary test, I(1) means 'non-statioanry' and thus shows the auto correlation, while I(0) means stationary such that it is more of mean-reverting (rather than moving one way long). am I correct?
3) Is my test design logical?: first test the stationarity in ADF stationary test, and then if so, test cointegration in ADF cointegration test. If certain assets are not stationary in ADF stationary test, then put them through the Engle-Granger test to identify whether the cointegration relationship between assets exists.
Answers will be very much appreciated, and HUGE thanks in advnace :-)