Thanks.... I'm trying to resolve if this model is conceptually sound. Based on an autoregressive p= 1, the Johansen trace test results in cointegration existing between at least 2 of the 3 covariates and when I test for weak exogeneity and Granger causality tests, the model structure results in one dependendent variable (sales) and the other two being independent (gdp and hpi). The end result is a ECMX (1,0) model due to nonstationarity and cointegration with gdp and hpi explaining sales. I was informed that this model structure is conceptually unsound since there is no long run equilibrium for the variables to correct cointegration.
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