Good morning everyone;

I want to perform a cointegration with the Error correction model.

Everything works fine. My data with optimal lags 1 and 2 are of the same order I(1).

They are stationary in the first difference.

However here is my code to determine if, in the first difference, they are stationary:

varsoc dloga
* Optimal lag = 2 by HQIC, SBIC, AIC
varsoc dlogb
* Optimal lag = 0 by HQIC, SBIC, AIC

As you can see the optimal lag for the first difference of the second variable b is 0 with all criteria. I wanted to know if this would be a problem later in the estimation of my coefficients for the error correction model.

Thanks in advance.

Pita