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- Wed Feb 02, 2011 2:42 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: levels versus first difference
- Replies: 13
- Views: 19522
levels versus first difference
I am estimating a three variable VAR. Two variables are I(1) and one variable is I(0). Isn't it the case that all variables in the VAR should be included in stationary form to avoid spurious results?