## Vector Error Correction and Vector Autoregressive Models: Introduction to Macroeconometrics

The vector autoregression model is a general framework used to describe the dynamic interrelationship between stationary variables. So, the first step in your analysis should be to determine whether the levels of your data are stationary. If not, take the first differences of your data and try again. Usually, if the levels (or log-levels) of your time-series are not stationary, the first differences will be.

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