Estimating VAR in 1. difference
Posted: Wed Jun 05, 2013 2:33 am
Hi,
I have a beginner question: my 2 data sets are not stationary in level but stationary in the first difference. I have no cointegration (Johansen test). How do I estimate this as a VAR in 1. difference and what does that mean?
Thank you!
I have a beginner question: my 2 data sets are not stationary in level but stationary in the first difference. I have no cointegration (Johansen test). How do I estimate this as a VAR in 1. difference and what does that mean?
Thank you!