I am checking thhe long-term relationship between unemployment and labor force participation rate. I have a integration order I(1) and I want to run VAR. As far as I understand I need to use first differences in VAR cause they are stationary. Should I perform tests for heteroskedasticity, normality and autocorrelation on them or variables on levels?
Testing for heteroskedasticity,normality and autocorrelation is done on residuals. They are applied retrospectively to the finished estimate model (in first differences). Note that normality is not needed for a consistent irf -> Here