'Taking the difference of stationary time series
I working on the relationship between financial development, Economic growth and Domestic credit using a VAR technique.
Meanwhile, one of my variables is non-stationary(Domestic credit), instead of differencing the non-stationary time series, I took the first difference of all the variables which is found to be stationary.
Therefore, I write to inquire, if there are any implications on this (that's taking the difference of stationary time series with a non-stationary time series and analysing with a VAR model).
Look forward to hearing your responses.
Best regards,
Sources
This article follows the attribution requirements of Stack Overflow and is licensed under CC BY-SA 3.0.
Source: Stack Overflow
| Solution | Source |
|---|