Suppose you had dala on stock price indices (X and Y in two ofteren countries. You are interested in causality issues and want to find od whether movements in stock prices in one country affed stock prices in another You would test for cointegration if both prices are stationary. In case you find cointegration you would use a VAR model. If both variables are stationary you would use a VEC model -8 You would test for cointegration if both prices are non-stationary. In case you find cointegration you would use a VEC model. If both variables are non-stationary and not cointegrated you can't model the dynamic relation between indices