Hi,
I will estimate a VAR model with 3 variables in logarithms (log(gdp), log(inflation rate) , log(interest rate)).
My question is do I have to test the stationarity of variables (gdp , inflation rate and interest rate) or the stationarity of the logarithms of variables (log(gdp) , log(inflation rate) and log(interest rate).
Thank you for your help.
stationarity test
Moderators: EViews Gareth, EViews Moderator
-
- Posts: 6
- Joined: Mon Dec 14, 2020 9:26 am
Re: stationarity test
Hi Lisa, you have to perform the test in the log transformation.
There is a paper for example written by ender and Lee that I can recall now where they do unit root testing on the variables in logs.
If you need help with performing unit root tests you can check my video: https://www.youtube.com/watch?v=65g6D4bICQY
Feel free to ask further questions, Also: here is a step by step how to estimate VAR models in Eviews and do variance decompositions, IRF, granger causality test, etc. https://youtu.be/dWiITAmSP5k
Regards,
There is a paper for example written by ender and Lee that I can recall now where they do unit root testing on the variables in logs.
If you need help with performing unit root tests you can check my video: https://www.youtube.com/watch?v=65g6D4bICQY
Feel free to ask further questions, Also: here is a step by step how to estimate VAR models in Eviews and do variance decompositions, IRF, granger causality test, etc. https://youtu.be/dWiITAmSP5k
Regards,
Re: stationarity test
Thank you for your reply.
But the last video is not available.
But the last video is not available.
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 34 guests