Linked Questions

1
vote
0answers
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,...
1
vote
0answers
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. ...
1
vote
0answers
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}...
0
votes
0answers
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 ...
4
votes
1answer
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 ...
3
votes
1answer
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 ...
3
votes
1answer
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 ...
0
votes
1answer
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) ...
2
votes
1answer
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 ...
2
votes
2answers
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 ...
1
vote
1answer
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) ...
0
votes
0answers
96 views

VAR with stationary and non-stationary in R

I'm working on using Granger causality of some variables and I have 4 stationary time series (X1, X2, X3, X4) and one that is not (X5). I've seen here that If (A) then first-difference each of the ...
0
votes
0answers
13 views

VAR or VECM model- 4 variables

I have a model consisting 4 variables, two of which are stationary at level and two that are I1 stationary. There seems to be a cointegration relationship between the two I1 variables after running ...