All variables are stationary , and the system can again be estimated
by least squares. The VAR model is a general framework to describe the dynamic
interrelationship between stationary variables. If and are stationary variables,
the system will be used. But if they are not cointegrated, the interrelation between
them using a VAR framework differences. If they are non-stationary and
cointegrated, we need to modify the system of equation to allow for the cointegrated
relationship between the variables