Search found 3 matches
- Thu Sep 29, 2022 4:49 am
- Forum: Econometric Discussions
- Topic: Interpretation of cross-section random effect in two ways random effect model
- Replies: 1
- Views: 4225
Re: Interpretation of cross-section random effect in two ways random effect model
The Random Effects model assigns a separate component to every cross-sectional unit or time period. Since you estimated a two-way random effects model, your model includes a separate component for each cross-sectional unit as well as each time period. This random component is added to the intercept ...
- Fri Sep 23, 2022 12:10 am
- Forum: Econometric Discussions
- Topic: Significance of impulse response VAR
- Replies: 9
- Views: 25120
Re: Significance of impulse response VAR
As requested, this link contains information on the estimation and interpretation of IRFs (Impulse Responses) for both VAR and VECM: https://spureconomics.com/impulse-response-functions-after-var-and-vecm/ The interpretation is quite straightforward, although it does depend on how the IRFs are compu...
- Thu Sep 22, 2022 11:58 pm
- Forum: Econometric Discussions
- Topic: Cointegration test
- Replies: 1
- Views: 4075
Re: Cointegration test
This means that your variables may be stationary (the cointegration test is at least reading them as stationary) because the Cointegration rank is equal to the number of variables. If the variables are stationary, there can't be any cointegration. Usually, cointegration exists in I(1) variables impl...