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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