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Hi, I'm working with data that have been proved to be correlated previously many times in literature. I'm running a VAR with some sort of money demand, inflation, interest rate and exchange rate. I think I'm getting a singular system as the residual covariance matrix is around 3.4e-19 (which is some...

Hi, I'm really stuck in this project so any help would be very much appreciated I have a couple of questions regarding the unit root testing for VAR of 5 variables. when I run the engle-granger two-step procedure I find that the residuals are non-stationary, hence I'd reject the cointegration. Howev...