Standard Errors of forecast error variance decomposition
Posted: Mon Aug 15, 2011 1:59 am
Hi,
I just want to clarify if it is unusual to have high standard errors (e.g. in the range 2-10) for the forecast error variance decompositions when estimating a VAR model with a small sample of about 60 observations.
Thanks!
I just want to clarify if it is unusual to have high standard errors (e.g. in the range 2-10) for the forecast error variance decompositions when estimating a VAR model with a small sample of about 60 observations.
Thanks!