Stationarity of time series and VAR model

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Bablowski
Posts: 18
Joined: Tue Aug 25, 2015 1:08 am

Stationarity of time series and VAR model

Postby Bablowski » Mon Jun 20, 2016 3:56 am

Hello,

I have two variables, one is stationary I(0) and one is non-stationary I(1). Is it possible to make VAR model for these two variables if the non-stationary variable will be differenced to obtain stationary process I(0)?

Thank you for any responses.
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dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: Stationarity of time series and VAR model

Postby dakila » Mon Jun 20, 2016 4:03 am

Yes.
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