The Vector Autoregression or VAR model is an essential tool in time series analysis. It is an extension of the univariate autoregressive models and can incorporate multiple time series variables,…
The VAR-VECM Goodness of fit can be analyzed using similar methods. After estimating Vector Autoregressive (VAR) or Vector Error Correction Mechanism (VECM), it is essential to assess how well the…
The Vector Error Correction Mechanism (VECM) is estimated in the presence of cointegration among the system of variables. It allows us to estimate short-run as well as long-run coefficients. Using…
Vector Error Correction Mechanism (VECM) models are a special application of VAR or Vector Autoregressive Models. The specification of VECM models involves the introduction of error correction terms into the…
Impulse Response Functions or IRFs are used to study the effects of shocks or impulses in a VAR or VECM system. It traces out one unit or one standard deviation…
