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Im a total novice and i need to estimate some kind of relation-proof model(Granger test results, correl matrix are already provide some evidence) with following dataset: 20 observations (2001-2021), 4 variables, one dependent. Some of them are non-stationary, which method should i use and why (ARIMA, VAR, VECM, BVAR etc)?

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  • $\begingroup$ Can you provide a few more details? F.e. what is your target variable (dependent variable), what are your features (or exogeneous variable) and what is a relation-proof model? In general all your variables need to be stationary, which could be achieved by differencing. What $\endgroup$
    – bayes2021
    Nov 15 at 20:26

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