I am working in a VAR model for an economic research. I have been reading about this but there is something i still don't get. Based in the books I have read:
1) if I have 2 time series, both are stationary in level, I can use VAR
2) if I have 2 time series with trend but they are co integrated I can use VECM with this series.
3) if I have 2 time series with trend but they are not co integrated, then I must use VAR with differences
This is based in:
Loría, E. (2007). Econometría con aplicaciones. Editorial Pearson Prentice Hall. México.
Gujarati, D. N. D. N. (1992). Econometría. McGraw-Hill,.
You can also see that in this book: here
This was so far what i knew, before i start to use some software to fit my model. Every book i have been reading about VAR never tell nothing about the inclusion of a "trend" or when to include it, and then i found this
This site tell me that de-trend a series is not longer necessary, you can fit a VAR with no stationary time series inside the model, using the "trend" argument you can find in some software.
my questions are: How to use the trend inside a VAR model? Using a VAR with trend, when i have co integration, is better than a VECM?