I was wondering whether I should worry about the fact that I have one unit root in my exogenous variable. I think based on what I understand that I should first difference the variable with unit root, before using it in my VAR. Can someone verify whether this is correct?
Second, I was also wondering, suppose I have multiple unit roots, but they are all in my exogenous variables, I guess I should then test for cointegration. However if I find them to be cointegrated, should I then switch to a vector error correction model? Or do I just difference them and then add them to my VAR?
In addition, I was also wondering, suppose I have one exogenous variable that has a unit root and an endogenous variable that has a unit root, should I then test both of them for cointegration? If yes, and I find cointegration, what should I do?
Hopefully someone can shine some light upon this, because I am having difficulties figuring this out.