138 views

### VAR or VECM for a system of I(0) and I(1) variables? [duplicate]

I have 4 variables (time series). All the variables depend on each other. Two of them are non - stationary and the others are stationary . If I apply log transformation in the non-stationary variables,...
62 views

### VAR/VEC and stationarity [duplicate]

Do VAR and VEC require no unit-roots? I have three variables where two are difference-stationary (unit roots) and one is trend-stationary (no unit root). The three of them are cointegrated. ...
51 views

### Co-integration relationships mixed with stationary variables. Correct specification? [duplicate]

Suppose we have three variables $y_t$, $x_{1t}$, $x_{2t}$. $y_t$ and $x_{1t}$ are co-integrated. $x_{2t}$ is stationary. Now, is the regression model \Delta y_t = C + \beta_0(y_{t-1}-\alpha x_{1,t-1}...
23 views

### How to apply VAR model for a I(1) and other I(0) variable? Objective is to forecast [duplicate]

I am modeling liquidity variable, real money growth with real asset price returns. The former is I(1) and the latter is I(0). The objective is to see the predictive power and forecast. However, can we ...
2k views

### Constructing a VECM with a mix of I(0) and I(1) variables

I've been using the Johansen Procedure to check and correct for cointegration in my model, by estimating a VECM instead of VAR. But now I want to estimate a new model, in which I expect the same ...
1k views

### Vector autoregression for mix of stationary and nonstationary variables

I am currently investigating the impact of certain indicators such as GDP and inflation on the stock market. However some of my variables are non-stationary and some stationary in levels. All ...
968 views

### VAR for Non Stationary series using R

Are there any suggested approaches for using non-stationary series in a VAR model? As per otexts.org: If the series are non-stationary we take differences to make them stationary and then we fit a ...
315 views

### Cointegration with stationary series at first difference

I have seven series with two of them stationary at level; and the other five non-stationary at level. However, all of them are stationary at first difference. I have the following questions: (A) ...
471 views

### Modelling stationary and integrated time series in one system

I am currently investigating commodities and their impact on the oil price. I have 8 variables of different stationarities $y$ = dependent variable (oil price) is non-stationary I(1); three ...
222 views

### Regression results contradict economic theory (GDP analysis)

I am currently doing a thesis on the impacts of oil prices on the macroeconomy. The literature suggests that there is a negative relationship between the oil price and the GDP. After running a basic ...
217 views

### Are the following steps correct to approach stationarity and cointegration?

Say for 4 companies' close prices time-series with 500 observations each, I first estimate the Vector Autoregression of lagged order p, VAR(p). I achieved this by using Ordinary Linear Squares (OLS) ...