I am building a VAR model with two variables.
When I used it with non-stationary data with strong trend and seasonality, the correlation between variables was
I did the first order differencing and one variable looks stationary now (the second looks stationary after the 2nd order differencing), but the correlation dropped to
Interestingly enough, when I did the differencing of the second order, the correlation decreased slightly - from
Cannot find anything about it. What is the intuition behind? Thanks