Dear TomDoan
I appreciate your help all the times. I am facing new problems of Interpretation of Coefficients in VAR models. Suppose I have two variables (one dependent and one independent variables). 4 lag lengths are appropriate for this analysis. After analysis, I got 16 coefficients. Please tell me how do I interpret these coefficients?
Thanking you
With Regards
Ali
Re: Interpretation of Coefficients in VAR Model
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Re: Interpretation of Coefficients in VAR Model
by alim » Tue Oct 16, 2012 7:11 am
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Re: Interpretation of Coefficients in VAR Model
by TomDoan » Tue Oct 16, 2012 10:29 am
You don't, at least not directly. VAR's are analyzed based upon their impulse responses, not their lag coefficients.
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