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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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.