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

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