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- Tue Feb 14, 2012 8:21 am
- Forum: Econometric Discussions
- Topic: Estimation of VAR - I(0) and I(1) processes
- Replies: 1
- Views: 2553
Estimation of VAR - I(0) and I(1) processes
Hi All, I am completing an econometrics topic, estimating a VAR. I am looking for some advice/confirmation on my method. I have an information set combining of four I(1) process and one I(0). I am estimating a VAR model, and when first testing for cointegration (Johansen LR Test) I enter all I(1) pr...