Differencing Variables VECM

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shyam0612
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Joined: Wed May 09, 2012 2:54 pm

Differencing Variables VECM

Postby shyam0612 » Wed May 09, 2012 2:59 pm

I am conducting some timeseries analysis. i know you have to use stationary variables but the VECM seems to difference the variables automatically (the d in brackets at the top) does that mean you dont have to put in the differenced variables initially or do you still have to input the differenced variables to start with anyway.

when i found out my variables were I(1) i created a differenced version of them. Are they the ones to use in the vecm? or the the ones at level

thanks

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