I'm asking myself the following question. I want to build a VAR-Model with 6 time series A, B, C, D, E and F. I analysed every series univariate and I found out that A, D, E and F are stationary and B has a linear and C a quadratic deterministic trend. Analyzing the VAR seems like I need 2 Lags to include. Now I allow for estimating a linear trend for B and a quadratic trend for C in the VAR model, too - that makes sense for me. But I'm wondering if it is ok to build the following model (to allow only these specific trend terms for the associated variable, t-values are shown):
... or if I allow a quadratic trend for series C and since every series is effecting the other ones in a VAR-model do I then have to allow quadratic trends for ALL the other veriables, too? I think no, because if I would let the model estimate a deterministic trend for every series it will be significant for several series even if they don't have a quadratic (or linear) trend in fact.
Would be glad if someone can help me discussing this...