Search found 3 matches

by virenrehal
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 ...
by virenrehal
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...
by virenrehal
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...

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