[VAR, Johansen] Using level or first difference.
Posted: Sun Jan 08, 2017 11:48 am
Hi everyone,
I have two stock prices series, which I transformed into log, those two log series are non stationary in level but are stationnary in first difference.
So for my VAR model I used the log series in first difference, I think that's the way to do it.
But what about the Johansen testing (and VECM), I understand that I need to use the series in log level, but not in log-difference.
Can you help me, please.
Thanks in advance !
I have two stock prices series, which I transformed into log, those two log series are non stationary in level but are stationnary in first difference.
So for my VAR model I used the log series in first difference, I think that's the way to do it.
But what about the Johansen testing (and VECM), I understand that I need to use the series in log level, but not in log-difference.
Can you help me, please.
Thanks in advance !