Re: Interpretation of Coefficients in VAR Model

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alim
Posts: 20
Joined: Mon Jun 25, 2012 8:05 am

Re: Interpretation of Coefficients in VAR Model

Unread post by alim »

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
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TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: Interpretation of Coefficients in VAR Model

Unread post by TomDoan »

You don't, at least not directly. VAR's are analyzed based upon their impulse responses, not their lag coefficients.
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