I'm designing a quant model, and wondering whether it is possible to contain two cointegration tests? The design of the quant trading model is:
Test the stationarity through Augmented Dickey Fuller test,
1) just leave a time series (price data of a stock) if it is I(0) process, and because it is stationary, then test this through Augmented Dickey Fuller Cointegration test, or
2) If a time series is I(1) process, which means non-stationary, then put it through the Engle Granger test (which tests two combination of non-stationary time series)
if any of my logic is incorrect or wrong, please let me know. I am in a desperate need.
Thanks in advance :-)