Timeline for Why Are Impulse Responses in VECM Permanent?
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| Jan 28, 2021 at 3:00 | history | tweeted | twitter.com/StackStats/status/1354625481149186048 | ||
| Jan 23, 2021 at 23:39 | answer | added | Ben Ogorek | timeline score: 6 | |
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| Sep 9, 2016 at 14:06 | comment | added | Vladmir Putin | For a cointegrated process, we may find that the VECM stabilized in a non-zero region whereas the VAR will decline steadily decline towards zero. However, this is contrary to what is expected given the data-generating process. That is, as the VECM has an implied long run matrix that has unit-roots - given by the number of cointegrating vectors - the impulse responses converge to non-zero constants. | |
| May 26, 2016 at 14:32 | review | First posts | |||
| May 26, 2016 at 14:38 | |||||
| May 26, 2016 at 14:26 | history | asked | Antony Cube | CC BY-SA 3.0 |