VAR, test for normality, autocorrelation and heteroskedasticity- should I use stationary first differences for these tests?

Question

I am checking thhe long-term relationship between unemployment and labor force participation rate. I have a integration order I(1) and I want to run VAR. As far as I understand I need to use first differences in VAR cause they are stationary. Should I perform tests for heteroskedasticity, normality and autocorrelation on them or variables on levels?

Answer 1

Testing for heteroskedasticity, normality and autocorrelation is done on residuals. They are applied retrospectively to the finished estimate model (in first differences). Note that normality is not needed for a consistent irf -> Here