I have 4 variables (time series). All the variables depend on each other. Two of them are non - stationary and the others are stationary . If I apply log transformation in the non-stationary variables, one of them will stationary after this, the other not. So in this case i would have 3 stationary variables (one of them in logs) and the other variable non - stationary. The goal is forecast all variables.
- I selected the optimal lag length based on AIC.
- I test for Cointegration with all original variables using Johansen's test, the output is "Trace test indicates 1 cointegration eqn(s) at the 0.05 level". How i should interpret it?
- Should I use VAR or VECM if the goal is forecast all variables? And how can i build these models?
- Can you please give any good research?