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I have multiple variables that I am trying to perform a VAR model with, but all my variables are non-stationary at levels as they fail the Augmented Dickey Fuller test. Having taken the first difference, they do all become stationary at I(1). I was wondering, do I perform the Johansen cointegration test on the I(0) variables or the I(1) variables.

Thanks in advance

(I also have a couple other questions, please do answer this as well if you know the answer: 1) I am right in thinking I should perform the VAR regressions on the I(1) variables, right? 2) If I have cointegration present, and my I(0) variables are non-stationary, I should switch to a VECM model? )

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You do the cointegration analysis/test on I(1) variables, because no cointegration is possible among I(0) variables. (This is textbook material; try some of these.)

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