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VAR for Non Stationary series using R

1 message · Lal Prasad

#
Hi All,


Is there any suggested approaches for using non-stationary series in VAR
model? As per otexts.org
<http://stats.stackexchange.com/questions/261876/var-for-non-stationary-series-using-r>,
there is something like "VAR in differences which could be used for such
series.

Are there any other approaches for creating a forecasting mode non
stationary series in a multi variate series?

Any leads on this would be helpful. I'm looking for implementing this model
in R.

Regards
Lal