VAR Model with different integration order I am trying to create a VAR model with 4 variables. 3 of them need 2 differences in order to be stationary, while 1 needs only 1.
When I take differences I loose one row of data, so there is one variable with one row more than the others. Should I take another difference in this variable? Or I should eliminate the first/last row of this variable.
I think it is a very basic question, but I haven´t been able to find the answer. Thanks to all in advance

You should eliminate the oldest observation of the I(1) variable. You should not difference it more than once.
