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I am trying to create a VAR model with 4 variables. 3 of them need 2 differences in order to be stationary, while 1 needs only 1.

When I take differences I loose one row of data, so there is one variable with one row more than the others. Should I take another difference in this variable? Or I should eliminate the first/last row of this variable.

I think it is a very basic question, but I haven´t been able to find the answer. Thanks to all in advance

Richard Hardy
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Ignacio Zamanillo
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1 Answers1

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You should eliminate the oldest observation of the I(1) variable. You should not difference it more than once.

Richard Hardy
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