1
$\begingroup$

So I have set up a six variable VAR model in the hope of explain natural gas prices and performed forecast error variance decomposition, however the response variable (natural gas prices) explains itself.

Does this mean that the model is incorrectly specified and that an alternative approach is necessary.

My results are as follows,

enter image description here

where each variable respresents an impulse and the response variable is natural gas prices.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.