In this technical question I asked how to build a VAR model after differencing.
I have a conceptual question regarding differencing and VAR models.
When I apply the 1st order differencing, my ACF plots look like this
My tests tell me that the process is stationary.
I decided to apply the 2nd order and now my first variable looks better, but the second looks worse on ACF plots.
Is it possible/appropriate to use different levels of differencing for different variables in VAR model?
Appreciate any tips!