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What is the difference in terms of inference? Does Instantaneous captures the short term cause and effects?

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  • $\begingroup$ Some related threads can be found here, though perhaps they are of limited relevance. $\endgroup$ – Richard Hardy Apr 20 at 17:08
  • $\begingroup$ Thanks @RichardHardy. I have another question if u could help regarding the use of VAR with 2 variables being I0 and 2 I1, with the latter having cointegration. Can i still use VAR for short term analysis and Granger Causality? $\endgroup$ – Constantinos Rousos Apr 20 at 17:14
  • $\begingroup$ There are a number of similar questions on this site, try searching for them. I personally have answered a couple, I think. If you fail to find them, let me know. $\endgroup$ – Richard Hardy Apr 20 at 17:18
  • $\begingroup$ @RichardHardy believe me I’ve read all of them😕. The problem is that I don’t know how to ‘mix’ the cointegrated vector with the two stationary variables, in terms of R coding, or worse if I can create such an equation? $\endgroup$ – Constantinos Rousos Apr 20 at 17:31
  • $\begingroup$ R coding happens to be off topic here, while the question of whether you can create such an equation is addressed in the posts I mentioned, is it not? $\endgroup$ – Richard Hardy Apr 20 at 18:12

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