Econometrics Toolbox VAR Model Case Study - which data for model specification?

Hi all,

I have a question related to the VAR Model Case Study in the Matlab help file. After transforming the input data for stationarity by taking the difference of the logarithms the models in the case study are fitted with the original data regardless of their non stationairy behaviour. I don't get that. Shouldn't one actually use the transformed time series for the model specification?

Cheers Johann

Answer 1

[Oleg Komarov]

Discrepancy in the documentation as proved by the graph

which is generated with differenced data.

I would report this discrepancy to TMW if I were you.