# Why is Banque de France using BVAR with different orders of integration?

Don't all the variables used have to be of the same order of integration in VAR models ? In this paper Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area Gergely Ganics and Florens Odendah are using $$\Delta$$loglevel, loglevel and level data as we can see on page 28 (31).

Thank you in advance for the clarification !

• That does not automatically mean the transformations of variables that are used are not integrated of the same order. Aug 28 '20 at 10:52
• I’m voting to close this question because it is not about Quantitative Finance and would better fit on Cross Validated or Economics SE. Aug 28 '20 at 10:54
• Ok thanks for your first answer, but I don't see how log level oil price would be integrated of the same order... I posted it there because I want to use BVAR to forecast some sectoral indices, but fair enough to close it if you think it doesn't fit there.
– Jur
Aug 28 '20 at 11:17
• My points is, without knowing what variables there are and what their orders of integration (before any transformations) are it is impossible to tell whether their transformations as used in the BVAR are integrated of the same order. This is just a technical point. But in the concrete application you have in mind, your concern may be relevant; more information is needed to tell that. Aug 28 '20 at 11:22
• "The column Transformation indicates which variable entered the model in levels, log-levels or in log-differences", it's quite clear that they used datas from different integration orders to me, and I checked the data on AWS they are on level. Anyway I was just curious, I don't think I will use data from different order of integration.
– Jur
Aug 28 '20 at 11:26