DNFDDomestic Non-Financial Debt
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However, when using undifferenced "log levels" of all four variables [with DNFD being I(2) unlike the other I(1) variables] in seasonally adjusted form, the study finds cointegration only at confidence levels somewhat greater than 5% if a time trend is not in the cointegrating equation.
When specifying a VEC model with the second difference of DNFD and the first difference of the other variables, under both trend assumptions; changes in Ml, real GDP, and the deflator Granger cause changes in the first difference of DNFD at the 10% level and generally at the 5% level.