Impulse response
Posted: Tue Aug 18, 2009 11:54 am
Hi
I am doing impulse response and I have encountered two problems:
1. My data are I(1) and I have done cointegration and granger causality with VECM. I wonder if I should also use VECM instead of VAR for impulse response?
2. I tried to run impulse response with VECM, but I have difficulty understanding the results, please help.
My guess was that .. the non zero figures indicate the presence of an response to the variable. and the period refers to the lag????
Please let me know if I am correct or not. I would also like to know if there is anything more I can get from the results.
Many thanks
Graph result:
Table result:
Regards
Kalec
I am doing impulse response and I have encountered two problems:
1. My data are I(1) and I have done cointegration and granger causality with VECM. I wonder if I should also use VECM instead of VAR for impulse response?
2. I tried to run impulse response with VECM, but I have difficulty understanding the results, please help.
My guess was that .. the non zero figures indicate the presence of an response to the variable. and the period refers to the lag????
Please let me know if I am correct or not. I would also like to know if there is anything more I can get from the results.
Many thanks
Graph result:
- ScreenHunter_01 Aug. 18 19.46.jpg (95.8 KiB) Viewed 8746 times
- ScreenHunter_02 Aug. 18 19.52.jpg (96.73 KiB) Viewed 8741 times
Kalec