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Just ignore t statistics and coefficients . That does not make sense usually. Researcher never report VAR equation results but some test such autocorrelation and lag length. You should care about impulse response function and variance decomposition. I you wanna test granger causailty, use F statisti...
- Sun Mar 13, 2016 10:04 pm
- Forum: Estimation
- Topic: VECM: Dummy in cointegrating relationship
- Replies: 2
- Views: 1000
read this blog http://davegiles.blogspot.com/2011/05/c ... -hips.html
1. Why did you use randomly generated data?. There is an example data in the tvsvar folder if you want to test this add-in. I don't know why you getting this error. I guess this is because of your computer. 2. The tvsvar estimates time varying structural VARs. So you can get impulse response functio...
Hi kkotarac, Thanks for your comment. Actually it is good point. To ensure orthogonality of structural shocks, some people suggest to use QR decomposition for a rejection method. However I couldn't find the difference. So for identification of multiple shocks, just do it again for other shocks. For ...