Panel VAR model

Questions related to panel (pooled cross-section time series) data.

Panel VAR model

Unread postby tyzellar » Mon Jul 04, 2022 2:54 pm

Dear Tom, one last question. How should I decide whether to put the variables in levels or in log differences for a Panel VAR model? I already did the panel unit root tests and only one variable is stationary in levels, namely the interest rate. The others are not stationary. Should I do additionally a cointegration Pedroni test? Thank you very much in advance!
tyzellar
 
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