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If I have I(2), I(1) and I(0) variables as my VAR variables, I second difference I(2) variable and difference I(1) variable and use these differenced and I(0) variables in my VAR. 1) To make interpretations of VARGRANGER, can I refer to the original variables as if differencing is not an issue, or d...

Hello Student123 To convince you the previous replies are valid, I am pasting parts of page 190 from Kit Baum's Econometrics book. This should assure you that you cannot pick different variables as instruments for each endogenous variable. The Stata commands are not particularly relevant here. In a ...

Hello, I am totally confused. I read many, many journal papers trying to understand the exact interpretation of " Exluded ALL" p-value. If the p-value, for example, is .5 does that mean that variable can be removed from VAR and it can be used as X in VARX model? Related question: Consider ...