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I am performing a multivariate time series analysis. My variables are stationary at level. Whenever I want to make a VEC model, but EViews will difference the data authomatically. What can I do about it so that my model won't be differenced?

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  • $\begingroup$ How is the progress? Was the answer helpful? $\endgroup$ – Richard Hardy Mar 19 '18 at 20:34
  • $\begingroup$ I am wondering if the answer is satisfactory or whether it needs some elaboration. FYI, satisfactory answers may be accepted by clicking on the tick mark to the left; this is how Cross Validated works. $\endgroup$ – Richard Hardy Jun 1 '18 at 20:09
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If your variables are stationary at level, then VECM is not an appropriate model for them. VECM should be used for integrated variables that are cointegrated. For stationary data, use a VAR model instead.

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