Stationarity - differencing - Vector autoregression
Posted: Thu Aug 02, 2012 12:36 pm
Hi all,
I am a bit confused. I was under the impression that inorder to estimate a VAR all the series need to be stationary. In my case all except one are stationary only after differencing. My question is that when I estimate the VAR do i use all series as differenced or do I still estimate the VAR at level?
Hopefully my question makes sense
I am a bit confused. I was under the impression that inorder to estimate a VAR all the series need to be stationary. In my case all except one are stationary only after differencing. My question is that when I estimate the VAR do i use all series as differenced or do I still estimate the VAR at level?
Hopefully my question makes sense