Dear Tom,

I have 5 variables, the dependent (Y) is I(1), one independent (X1) is I(0), and the others (X2,X3,X4) are I(1). The result of CATS shows 2 cointegration vectors. Since each stationary variable is cointegrated with itself, there are some questions that i would be greatly appreciated if you answer.

1) Is it possible to estimate a long run relationship with a stationary variable?

2) If yes, how can i include the I(0) variable into "error correction" terms?

Thanks,