Dear members,


In the case of DCCE estimator (xtdcce2), I got two unclear things:

1. one of the independent variables became stationary after its second difference, I(2). Does this variable characteristic affect the estimator?

2. which one of the commands is appropriate to handle the non-stationary characteristic of the variables?

xtdcce2 lrgdpna L.lrgdpna lhc lrnna lemp, noconstant cr(lrgdpna lhc lrnna lemp) cr_lags(3)

xtdcce2 dlrgdpna L.dlrgdpna ddlhc dlrnna dlemp, reportc cr(dlrgdpna ddlhc dlrnna dlemp) cr_lags(3)

could you suggest to me?