VAR or VECM with I(1) and I(0) series

sx26

New Member
#1
Hello,
I am trying to estimate macroeconomic data with VAR. I have a system of 5 equations. 3 of the series are I(1) while 2 are I(0).
I have a few questions in estimation:
i) can I estimate a VAR with first differences of the three integrated series, and levels of the other two which have no unit roots?
ii) should I take differences of the series with no unit roots as well, so I'll have first differenced all the 5 time series and run a VAR on this?
iii) should I fit a VECM model instead? although since two of the series are I(0), don't think I can do this ?

I would very much appreciate any help you can provide as I'm really stuck and my project is due very soon.

Thank you