Hi,
any tips on how to deal with inverted AR roots of VAR lying outside the unit circle in the
multivariate VAR (specifically, it is the application of Toda-Yamamoto procedure, i.e. the
VAR is estimated with I(1) variables in levels)?
I tried to vary the number of lags (both add and remove) but to no avail. I was hoping I
could resolve the problem with higher number of lags, however I have run out of available
degrees of freedom in the model before the AR roots problem was solved.
It does not seem there is a structural break in the series.
Any tips?
Vladimir