I am doing a VAR model on real oil price shock's effect on real GDP-growth. I have 5 different countries, and also Include the variables: Inflation, short-term rate, long-term rate, Real effective exchange rate and real wages.
As I am running my VAR, I am not able to get significant t-statistics, and my some of my coefficients are above absolute value of 1. As I have learned this is not a good fit then, and the results will be wrong.
I have tested for unit roots, and take first difference of the ones that are non stationary.
I check for optimal lag length every time, and try out several different lags.
Still, it doesn't become significant.
I have tried several different ways of transforming the data: log or log growth of real oil prices, real wages, real gdp and reer.
I have also tried to test them all in level growth rate.
As for the data, I download them from OECD and IFS.
The Oil price is deflated by the US PPI.
Real wages is deflated by individual CPI
If anyone has any ideas, please help
For econometric discussions not necessarily related to EViews.
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