I am confused about how to proceed about testing for cointegration. I am interested in testing for cointegration between 3 stock indices.
I was instructed to use returns and not prices. So my question is how do I proceed about identifying a cointegrating relationship since the definition is finding a combination of I(1) variables that is I(0). Since returns are I(0) because they are the first differences, can I still use the Johansen test?