Auto-series in BVAR modelling

[Mattdered]

Hello,

I notice that we cannot use auto-series (e.g. log(x/y) if x and y are series) in BVARs, as I get this error when trying to simulate the IRFs.

Is there something fundamental that Eviews cannot handle about auto-series in the estimation of BVARs? Since if I estimate the BVAR using the auto-series and then the same BVAR method to estimate one with the equivalent series without auto-series (e.g x_l = log(x)), the coefficient/std error estimates are different in the two models?

(This is true in both EV9.5 and EV11).

Thanks.

[Mattdered]

Apologies, forget about this. Issue was the way I was setting the sample before generating the series so estimation ended up with less observations.