Take the 2-minute tour ×
Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It's 100% free, no registration required.

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

share|improve this question
    
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
1  
Probably more informative to look at the impulse response function of the VAR. –  Jase Jan 11 '13 at 12:01

1 Answer 1

It's often pretty hard interpret the coefficients of a VAR, specially if it includes many variables and lags. As one lag of a variable says one thing and another the opposite, there are no clear dynamics between the variables you wish to investigate, usually a VAR is accompanied with tools like the impulse response function and forecast error variance decomposition.

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.