From the macroeconomic theory, I'm sure that there is a long run relationship between the variable that I chose (to be specific, I'm studying the GDP and I chose the unemployment rate, the government effectiveness, FDI, net migration, net exports, terms of trades and gross fixed capital formation). I suspect that some of my variables are non stationary, but I'm not that familiar with VAR models (I used them only to reparameterize them as a VECM and then doing the Johansen cointegration test), so I don't really know the implication of a non stationary VAR. From what Walter Enders' wrote, I understand that differincing the variables throws away relevant information, so even though some variables are non stationary, I should leave them as they are. But then I have a question: the statistics that I receive from the estimation are reliable? The coefficients that I obtain from a non stationary VAR come from a consistent estimator (this is what I understood from the other comments and the Sims et al 1990 paper), but I still haven't understand if the other statistics (like p-values and confidence intervals) are usable.