Timeline for Modelling VAR or VECM [duplicate]
Current License: CC BY-SA 4.0
11 events
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| Feb 27, 2021 at 21:19 | comment | added | Richard Hardy | Series that are I(0) cannot be cointegrated. If a bunch of series are I(1) and not cointegrated, they cannot be cointegrated in first differences for that reason; check the definition of cointegration which requires the constituents to be integrated, never I(0). | |
| Feb 27, 2021 at 21:15 | history | closed |
Richard Hardy kjetil b halvorsen♦ |
Duplicate of VAR or VECM for a mix of stationary and nonstationary variables? | |
| Feb 27, 2021 at 19:13 | comment | added | RoutoCharles | @RichardHardy and For the non-stationarity series they not cointegrated in level, but cointegrated in first differences. What should I do? I didn't understand how to do "If (C) then build a model where..." this | |
| Feb 27, 2021 at 19:04 | comment | added | RoutoCharles | HI Richard, i saw your answer and i have a question: I changed my variables and now I have 3 OF THEN ARE STATIONARY (x1, x2 and x3) and 2 are NOT. -Test each pair of the nonstationary series (x1 and x2; x1 and x3; x2 and x3) for cointegration using the Johansen or the Engle-Granger test . i did this for the stationary the series cointegrated using Engle-Granger and then using Johansen Trace test indicated 3 cointegrating. | |
| Feb 27, 2021 at 18:55 | review | Close votes | |||
| Feb 27, 2021 at 21:15 | |||||
| Feb 27, 2021 at 18:37 | comment | added | Richard Hardy | Does this answer your question? VAR or VECM for a mix of stationary and nonstationary variables | |
| Feb 27, 2021 at 18:35 | comment | added | Richard Hardy | See these threads. Your question is likely a duplicate of one of these. | |
| Feb 27, 2021 at 18:34 | comment | added | Richard Hardy | Cross posted at Economics SE. | |
| Feb 27, 2021 at 17:26 | history | edited | RoutoCharles | CC BY-SA 4.0 |
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| Feb 27, 2021 at 16:50 | review | First posts | |||
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| Feb 27, 2021 at 16:44 | history | asked | RoutoCharles | CC BY-SA 4.0 |