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Can I interpret the coefficients in a VAR model in the same way as I do in a normal OLS regression?

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answer by a prof from my department (University of Leicester): "Yes you can interpret the coefficients in exactly the same way" – Johannes Jul 30 '12 at 13:06
Probably more informative to look at the impulse response function of the VAR. – Jase Jan 11 at 12:01

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The equations in a VAR are OLS regressions, and yes, you can, indeed, interpret them in the usual way. However, sometimes the coefficients are difficult to interpret and for this reason, you should estimate impulse response functions (IRFs) and interpret them. Interpreting IRFs is at the heart of VAR analysis. See Chapter 22 in Gujarati (2009) for more details.

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