Would I run a levels or first difference on variables who all have unit root in...
Would I run a levels or first difference on variables who all have unit root in a test for linear cointegration among these variables?
Homework Answers
Yes. If the variables have unit root, then it means the data on different variables is non-stationary. To run co-integration among variables, first we need to make the data on different variables stationary. Non-stationary data means the mean and variance keeps changing, it is not constant. To make the data stationary, we need to first difference each variable and then apply unit root test (augmented dickey fuller test) for the difference variable. Then, check as per the ADF test statistic, whether the data has changed to stationary or not. If the data is still non-stationary after first difference (presence of unit root, cannot reject the null hypothesis), then again second difference it and repeat the process. However, if the variables becomes stationary after first difference (the data does not contain unit root), then we can proceed with co-integration test among different variables.
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