Good day scholars,
I'm working on the impact of some macroeconomics variables on stock prices. I have done the differences of all variables and they are all stationary at First difference and also test for the arch and Garch effect for the stock prices. I'm lost on how to do the cointegration test, I'm I supposed to do cointegration of the variables directly or the one I difference?
Raffaele Mattera
Cointegration is assessed by looking at not stationary data, so work with level time series
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Bhaskar Sinha
look at the link https://www.econometrics-with-r.org/16-3-cointegration.html
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Sitara Karim
Hi, you can find help from this source:
https://www.youtube.com/watch?v=VjMLj7crVkw
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