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I have time-series of different interest rates. Graphs of all series show existence of trend. For some of these series ADF-test with constant rejects null hypothesis. For others, null hypothesis is rejected with "constant, linear trend" specification.

  1. Are all of these times series truly stationary, i.e. I(0)?
  2. If they are not stationary should I difference them for VAR or somehow include trend in VAR for TS-series?
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If you have a trend you can not be i[0] regardless of what your test tells you.

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