[R-SIG-Finance] Cointegration

[Arun.stat]

Just to add the answers of your direct questions:

what do i do for the variables which dont pass the ADF test for unit root ?

By definition if some variables are of order "d" and some are of "d1" (d1 <
d) then still the system will have order "d". Therefore you can put all your
variables into Rank test

what is the purpose of the ADF test at all? 

http://en.wikipedia.org/wiki/Augmented_Dickey%E2%80%93Fuller_test

HTH

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