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HI all, i have this problem that I'm runnig VAR with four variables and when I change the order of input of endogenous variables, my impulse responses change and yields into conflicting results, e.g. response of A to B was significant in order of variables A B C D, but insignificant when I changed t...

Hi, I read many posts here, also some other sources but I'm still quite confused because of the mixed recommendations. So I ask directly: "Do I have to difference I(1) series (price indices) in order to estimate VECM? (All of my variables are I(1) ). For what I understand, VECM is supposed to c...

hey all, i know that when dealt with price indices we take a natural logs before estimating a model. But I'm wondering if we should log the price indices ALSO before testing for unit roots. I used all three major tests (ADF, PP, KPSS) and some of the results are different before and after taking log...

Hey, I think using impulse response function for the VECM is of no use, as equations entering VECM should be non-stationary, thus having an infinite impulse response. You should use IRF for stationary VAR instead.