- I have 5 series, I did ADF on my series and found that 3 series have unit roots(x1, x2, and x3) and 2 don't(x4 and x5). Still using the level variables I did Engle e Granger test and Johansen test( Trace test indicates 2 cointegrating) and found that there is cointegration between the series.

- how should I proceed with this? Can I mix differentiate with non differentiate variables? Should I do a VAR for the first differences in the series or a VECM?