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- Thu Aug 02, 2012 12:36 pm
- Forum: Econometric Discussions
- Topic: Stationarity - differencing - Vector autoregression
- Replies: 0
- Views: 1440
Stationarity - differencing - Vector autoregression
Hi all, I am a bit confused. I was under the impression that inorder to estimate a VAR all the series need to be stationary. In my case all except one are stationary only after differencing. My question is that when I estimate the VAR do i use all series as differenced or do I still estimate the VAR...