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VAR/VEC

Posted: Sat Aug 25, 2012 4:33 am
by haraldweber
Hello,
I have the following question with regard to the EViews output of the impulse response function and the variance decomposition in the VAR model in table form. If I choose the following order for the variables I am using for my analysis (QMT OIL VALUE EXRA RGDP), then I get the following results for period one:
Impulse Response Function:
Period QMT OIL VALUE EXRA RGDP


1 27544.40 0.000000 0.000000 0.000000 0.000000

Variance Decomposition:
Period S.E. QMT OIL VALUE EXRA RGDP


1 27544.40 100.0000 0.000000 0.000000 0.000000 0.000000


However, if I change the ordering of variables (OIL QMT VALUE EXRA RGDP), that is, if I change the position of QMT and OIL in the ordering, then I get the following output:
Impulse Response Function:
Period OIL QMT VALUE RGDP EXRA


1 1579.629 27499.07 0.000000 0.000000 0.000000

Variance Decomposition:
Period S.E. OIL QMT VALUE RGDP EXRA


1 3.649357 0.328885 99.67112 0.000000 0.000000 0.000000


In the latter case, in the impulse response output, there is the value 1579.629 instead of a zero value and in the variance decomposition output, there is the value 0.328885 instead of a zero value. Are those values problematic, or shall I simply ignore them in my analysis?
Can anybody help me with that matter? Thank you very much in advance!
Kind regards