title: VAR in differences
body: <p>can any one help me?if i have a multivariate time series consisting of 4 time series out of which one is non stationery and needs to be differenced one to make it stationery, while others are already stationery. what type of VAR model should i use? VAR in levels or VAR in differences? if i difference the whole multivariate time series once and fit some VAR(p), and find some forecasts, how to get back to the forecasts of original levels instead of forecasts of differenced series.
  Also how can i check for cointegration? i am working in R. Any help in R is appritiated.
  thanks</p>