Stationarity of time series and VAR model
Posted: 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.
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.