In which case should a VAR model be used rather than a VEC model?
A)the series are I(1)
B)all series are stationary
C)the series are not cointegrated
D)you have more than 2 series

Question

Quizplus · Accepted Answer

VAR models are suitable for modeling series that are not cointegrated, while VEC models should be used when the series are cointegrated. Therefore, if the series are not cointegrated, a VAR model would be more appropriate.

In Which Case Should a VAR Model Be Used Rather