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Orders of Integration

Posted: Wed Apr 30, 2014 9:17 am
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?

Re: Orders of Integration

Posted: Wed Apr 30, 2014 9:20 am
by TomDoan
If Y is trend stationary, then X and Y can't be cointegrated, since Y isn't integrated in the first place.

Re: Orders of Integration

Posted: Wed Apr 30, 2014 10:34 am
by TVolscho-286
Thanks!