Orders of Integration

Questions and discussions on Time Series Analysis
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TVolscho-286
Posts: 25
Joined: Thu May 03, 2012 6:50 pm

Orders of Integration

Unread post by TVolscho-286 »

Hi everyone,

I have a question about testing for cointegration between two series X and Y. If X is difference stationary and Y is trend stationary is it valid to test for cointegration? If so, is the EG test fine or would one use a different test?
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: Orders of Integration

Unread post by TomDoan »

If Y is trend stationary, then X and Y can't be cointegrated, since Y isn't integrated in the first place.
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TVolscho-286
Posts: 25
Joined: Thu May 03, 2012 6:50 pm

Re: Orders of Integration

Unread post by TVolscho-286 »

Thanks!
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