I am carrying the Johansen test on 3 time series variables and eventually estimating a VECM. 2 of my variables are stationary while the other one is nonstationary. I have a few doubts:
Do I need to difference the one time series which is nonstationary and estimate a VECM? Or can I use it the way it is?
For the Johansen test, do I have to run it when all the data is stationary? Or can I run it when 2 of it are stationary and the other one is non stationary?