Help with VAR and Granger Causality
Posted: Sun Aug 01, 2010 7:38 pm
If I have I(2), I(1) and I(0) variables as my VAR variables, I second
difference I(2) variable and difference I(1) variable and use these
differenced and I(0)
variables in my VAR.
1) To make interpretations of VARGRANGER, can I refer to the original
variables as if differencing is not an issue, or do I have to take
precautions in interpretations?
2) Do I have to check for possible cointegration between the differenced and
I(0) variables?
I read many books and articles about these questions. I think I know the
answers, but I want to make sure that I am doing right.
If possible please point to references that may shed more light on my
questions.
Thanks in advance,
Herbo
difference I(2) variable and difference I(1) variable and use these
differenced and I(0)
variables in my VAR.
1) To make interpretations of VARGRANGER, can I refer to the original
variables as if differencing is not an issue, or do I have to take
precautions in interpretations?
2) Do I have to check for possible cointegration between the differenced and
I(0) variables?
I read many books and articles about these questions. I think I know the
answers, but I want to make sure that I am doing right.
If possible please point to references that may shed more light on my
questions.
Thanks in advance,
Herbo