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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.
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?