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hello,

i want to estimate VAR model with the following variables using time series data= oil price, stock price, inflation and exchange rates.
I heard that series should be deflated but i dont know which ones apart from oil prices and how to deflate them.
Also, how do i get inflation from cpi? what do i get if i use lig differences?

Thank you

I would prefer to work in log levels, since all these variables can be considered as price indices of some sort. I think, ordering of the variables is of crucial importance here. Other than that, if you have EViews at your fingertips, I suggest you to try all alternative specifications in your mind (e.g. differencing) and see it for yourself...

Thanks for that. I figured out ho to get monthly year-on-year inflation, however there are negative
values in the series so i can;t use log levels. also , about the ordering, i read in a paper that you can
use FEV and IRF instead of normalize the model and use reduced form (or orthogonalize residuals and
use triangular matrix for coefficients on exogenous variables). cant this be done in eviews?