Variance Decomposition
Posted: Thu May 19, 2011 4:18 am
1. when series are integrated at I(1)ie., at first difference.
for computing variance decomposition, series at levels or series at first differenced should be used?
2. in VECM or VAR output, how to find out that the 't' value is statistically significant?
thanks in advance
for computing variance decomposition, series at levels or series at first differenced should be used?
2. in VECM or VAR output, how to find out that the 't' value is statistically significant?
thanks in advance