有关变量在VAR模型中的平稳性的问题。

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我对VAR中变量的平稳性感到非常困惑。似乎不同的计量经济学研究者对此问题有不同的看法。有人说VAR中的所有变量都应该是平稳的（传统时间序列分析），有人说VAR中的所有变量都应该是I（1）过程（讲授计量经济学的YouTuber Crunch Econometrix），而其他人说，如果我们不在乎点估计，VAR中的变量也可以单整性不同！（即完全不考虑平稳性和单整性）他们甚至不要求变量具有相同的单整性！ （Sims，Stock and Watson 1990和Walter Enders在他的教科书中）

答案到底是什么？总的来说（我是说，是最常见的情况下），在构建VAR模型之前，是否应该对所有变量进行平稳性测试？或者我们可以直接在Stata中直接输入var x y z ....，而无需考虑平稳性？还是至少应确保所有变量都单整性相同？-------------------------------------------------------------------------------------------------------------------------------------------------------------
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Questions about components' stationarity in VAR model.[color=rgb(106, 106, 106) !important]Today, 06:37



I am very confused about the stationarity of variables in VAR. It seems that different econometrics researchers give different opinions of this issue. Some say all variables in VAR should be stationary (traditional time series analysis), some say all varibles in VAR should be I(1) process (a youtuber called Crunch Econometrix who teaches econometrics), while others say it is ok even variables in VAR are integrated of different orders if we don't care the point estimation! (i.e. regardless of stationarity and order of integrated) They even dont require variables are of the same integrated order! (Sims, Stock and Watson 1990 and Walter Enders in his textbook)

What on earth is the answer? In general (I mean, the most common case), should we take stationary tests for all variables before constructing a VAR model? Or we can just directly input var x y z.... in Stata without any consideration of stationarity? Or should we at least make sure all variables are integrated of the same order?

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关键词：VAR模型 AR模型 平稳性 VaR stationarity