stationarity test

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lisa
Posts: 38
Joined: Thu Jul 28, 2011 3:27 pm

stationarity test

Postby lisa » Sun Dec 13, 2020 1:24 pm

Hi,
I will estimate a VAR model with 3 variables in logarithms (log(gdp), log(inflation rate) , log(interest rate)).
My question is do I have to test the stationarity of variables (gdp , inflation rate and interest rate) or the stationarity of the logarithms of variables (log(gdp) , log(inflation rate) and log(interest rate).
Thank you for your help.

JuanNicolasDamico
Posts: 5
Joined: Mon Dec 14, 2020 9:26 am

Re: stationarity test

Postby JuanNicolasDamico » Thu Dec 17, 2020 11:54 am

Hi Lisa, you have to perform the test in the log transformation.
There is a paper for example written by ender and Lee that I can recall now where they do unit root testing on the variables in logs.
If you need help with performing unit root tests you can check my video: https://www.youtube.com/watch?v=65g6D4bICQY
Feel free to ask further questions, Also: here is a step by step how to estimate VAR models in Eviews and do variance decompositions, IRF, granger causality test, etc. https://youtu.be/dWiITAmSP5k
Regards,

lisa
Posts: 38
Joined: Thu Jul 28, 2011 3:27 pm

Re: stationarity test

Postby lisa » Fri Feb 19, 2021 8:35 am

Thank you for your reply.
But the last video is not available.


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