VAR of Different order of integration
Posted: Sat Mar 30, 2013 8:12 am
dear fellows i want to estimate IRF through a VAR but the problem is that three variables are I(1) stationary while one is I(0) stationary. Can i run this model by taking the first difference of first three variables and use the last variable at level? e.g. d(y) d(y1) d(y2) x