I am facing the following problem. If any one know, please help me.
I have 12 variables in one equation. Three are stationary at level and nine are stationary first difference. I make the all 12 variables first difference (same order) and did Johansen co-integration test. I find that 7 are co-integrated and 5 are not co-integrated. How do I finish my estimation i.e., I will do Multiple Regressions to considering all variables at level or first difference.
Your help will be great appreciated.
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