Estimating VAR in 1. difference

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Alaska21
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Joined: Tue May 21, 2013 8:42 am

Estimating VAR in 1. difference

Postby Alaska21 » Wed Jun 05, 2013 2:33 am

Hi,

I have a beginner question: my 2 data sets are not stationary in level but stationary in the first difference. I have no cointegration (Johansen test). How do I estimate this as a VAR in 1. difference and what does that mean?

Thank you!
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trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Estimating VAR in 1. difference

Postby trubador » Fri Jun 07, 2013 3:18 am

The following discussions might be of help:
http://forums.eviews.com/viewtopic.php? ... 5267&hilit
http://forums.eviews.com/viewtopic.php? ... ilit#p2922
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