Hello all,

I am using the -itsa- command for a time series regression with covariates. My time series are a mixture of I(0) and I(1), i.e. some are stationary in levels forms and others are stationary in first differences. I have not been able to see from anywhere that how should I include both types of time series in the -itsa- command. The Stata Journal article of this command does not explain how to deal with such a situation either.
So should I write only the original variables and the -itsa- command will automatically do calculations based on at which levels the time series are stationary? Or should I include a mixed model with some variables in levels forms and others in first differences?

Any help would be appreciated.

Regards,
Mujahid