Static regression or VAR

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Bablowski
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Joined: Tue Aug 25, 2015 1:08 am

Static regression or VAR

Postby Bablowski » Wed Nov 18, 2015 12:02 am

Hello,

excuse me for my, maybe, silly question but I´m not sure about it. I have two stationary variables I(0). Is there any way how to know when I should use static regression and when I should use VAR model?
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trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: Static regression or VAR

Postby trubador » Wed Nov 18, 2015 1:27 am

There is no such thing. Choosing the appropriate method depends on your research question. And the conditionality of your decision is just the other way around. If you are going to build a regression or an ARIMA model, then your variables should be (made) stationary. For the case of VAR, please see the following discussion: http://forums.eviews.com/viewtopic.php? ... 275#p39564
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