I have two variables non stationary at level and non stationary at first difference, so i transform the data to first difference, and they became stationary at level. Can I perform VECM model with those two variables. Thank you.
You must do cointegration tests for your variables before performing the VECM model, such as EG-ADF test and Johansen test.
I have done it, and my two variables are coeintegrated? With stationary data at level after transformation, and cointegrated variables, wich model should I shoose? VAR or VECM? Thank u
O.k, the answer to the question you make is no; It does not make sense (You question is: Can we perform VECM model with two variables which are stationary at level?.) If you have variables stationary in levels u must to perform VAR.
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