VAR nonstationary series

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zhanghuifd
Posts: 6
Joined: Wed May 10, 2017 4:22 pm

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
Posts: 27
Joined: Sat Apr 22, 2017 8:23 pm

Re: VAR nonstationary series

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

Yes, they can.

harek
Posts: 2
Joined: Mon Jul 24, 2017 12:10 pm

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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