VAR & MULTICOLLINEARITY. MULTICOLLINEARITY IN MULTIVARIATE TIME SERIES MODEL

[Gynendra Bhandari]

Hello & Greetings to all, I am running VAR model because all four variables are related to one another, i cant exactly list dep and ind var so i thought of proceeding with VAR but got stuck due to multicollinearity issue. Stata says to remove 2 variables but if i remove 2 variables my model will be incomplete. please suggest for remedy/alternate methodology for same prob. Thankyou

[Carlo Lazzaro]

Gynedra:
please post queries like this one on the General forum, as this one is for practising purposes only (as per FAQ). Thanks.