Hi!
Sorry, I understand if the following questions are basic, but I have been trying to do research, and don't have anywhere else to ask. I hope you can help me!
My question is about Impulse Response is:
(1) how do I interpret whether my impulse response is (in)significant?
(2) And how do I know if its at a 1% or % level?
(3) And how do I see whether it's a strong relationship or weak relationship?
(4) And how many periods is it generally accepted for a shortrun andmediumrun period?
In case of Granger:
(4) how do I interpret whether my Granger Causality result is (in)significant?
I have attached some examples on Impulse response functions and Granger causality results:
a) response of real stock return(RSR) on oil price shock (ROP)for Germany
b) response of (RSR) on (ROP)for Japan
c) response of (RSR) on (ROP)for UK
d) response of RSR on industrial production
e) Granger causality pvalue for each country
Thank you in advance!
How to interpret results for Impulse, Granger
Moderators: EViews Gareth, EViews Moderator
How to interpret results for Impulse, Granger
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Re: How to interpret results for Impulse, Granger
(1) how do I interpret whether my impulse response is (in)significant?
If zero is outside the reddashed band, it is statistically significant for a give confidence level.
(2) And how do I know if its at a 1% or % level?
It needs to be clear in the paper. If I recall the standard in Eviews is to show two standard error confidence bands (meanings it's slightly below 0.05).
(3) And how do I see whether it's a strong relationship or weak relationship?
That depends on the economic interpretation of responses. You can scale responses to be of a specific size.
(4) And how many periods is it generally accepted for a shortrun andmediumrun period?
Since we`re usually working with stationary variables when running VARs, we assume that over the long run shocks go to zero and variables revert to their means or trends. But whether they revert at a fast or slow pace will depend on how many periods it takes for the process to be completed and whether you`re working with monthly/quarterly/yearly data.
Re: How to interpret results for Impulse, Granger
cgoes wrote:(1) how do I interpret whether my impulse response is (in)significant?
If zero is outside the reddashed band, it is statistically significant for a give confidence level.(2) And how do I know if its at a 1% or % level?
It needs to be clear in the paper. If I recall the standard in Eviews is to show two standard error confidence bands (meanings it's slightly below 0.05).(3) And how do I see whether it's a strong relationship or weak relationship?
That depends on the economic interpretation of responses. You can scale responses to be of a specific size.(4) And how many periods is it generally accepted for a shortrun andmediumrun period?
Since we`re usually working with stationary variables when running VARs, we assume that over the long run shocks go to zero and variables revert to their means or trends. But whether they revert at a fast or slow pace will depend on how many periods it takes for the process to be completed and whether you`re working with monthly/quarterly/yearly data.
thank you for your response!
in regardings to (1), so if I understand it correctly, all the graphs a b c d are insignificant?
for (2) yes, it's 2 standard errors. So if all my results are significant, it means that they are all significant at a 5% level (for example, a and c, but not b and d?)
I thought that significance was read off the yaxis?
Re: How to interpret results for Impulse, Granger
Yes, only (d) is significant at periods 14.
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