Help me! VAR/VEC model
Posted: Thu Mar 01, 2012 6:34 pm
Hi,
I want to make a research on the relations between default level (inad_privado), inflation expectation (infla), average salary income (rend), Selic rate (Taxa Selic) and GDP gap (hiato).
I thought about using a VAR model, but some series (taxa selic, inad_privado, infla) are non stationary. Could I use a VEC model if, for example, taxa selic, inad_privado and infla are non stationary I(1), and rend, hiato are stationary I(0)?
Could I do a multivariate cointegration test in this case?
If neither VAR nor VEC are recommendable, what you recommend me? What model should I use?
Please help me.
Sorry for my bad english.
I want to make a research on the relations between default level (inad_privado), inflation expectation (infla), average salary income (rend), Selic rate (Taxa Selic) and GDP gap (hiato).
I thought about using a VAR model, but some series (taxa selic, inad_privado, infla) are non stationary. Could I use a VEC model if, for example, taxa selic, inad_privado and infla are non stationary I(1), and rend, hiato are stationary I(0)?
Could I do a multivariate cointegration test in this case?
If neither VAR nor VEC are recommendable, what you recommend me? What model should I use?
Please help me.
Sorry for my bad english.