# VAR/VEC and stationarity [duplicate]

Do VAR and VEC require no unit-roots? I have three variables where two are difference-stationary (unit roots) and one is trend-stationary (no unit root). The three of them are cointegrated.

Questions:

1) Can I conduct VEC in the presence of unit-roots? 2) If yes, should I difference my variables to make them stationary? 3) Should I be conducting the Johansen test on differenced variables?

## marked as duplicate by Richard Hardy, kjetil b halvorsen, Michael Chernick, Robert Long, DeltaIVJun 12 '18 at 19:38

• The basic idea of VEC is that if $x$ and $y$ are cointegrated, then a VAR on $\Delta x$ and $\Delta y$ should have an additional term reflecting that $x$ and $y$ can't drift too far apart in levels (because they share the same unit root). – Matthew Gunn Jun 6 '18 at 16:37