Recent content by MetricsGuy

  1. M

    Can I use a VAR despite having co-integrated data?

    I have two variables. Both are I(1), so non-stationary in levels but stationary in first differences. However, having run some tests, I find that both are co-integrated. Based on my statistics classes, I'm led to believe I should then use an ECM. However, I want to instead use first differences...