VAR nonstationary series

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VAR nonstationary series

Postby zhanghuifd » Wed Jul 05, 2017 4:48 am

I have a question. If some series are nonstationary, can they be included into a VAR model?

EViews Mirza
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Re: VAR nonstationary series

Postby EViews Mirza » Tue Jul 11, 2017 5:17 pm

Yes, they can.

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Re: VAR nonstationary series

Postby harek » Wed Jul 26, 2017 4:13 pm

but dont you then have to take the first difference to include them?

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