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Results tagged with vector-error-correction-model
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user 132115
VECM stands for Vector Error Correction Model. It is used with cointegrated time series and panel data in finance and macroeconometrics. VECM offers a convenient representation of a cointegrated VAR model as it distinguishes between short-run and long-run (equilibrium) effects.
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Comparing Impulse Response Functions
I am estimating a structural VAR Model in levels with $p=3$ and plot orthogonalised impulse response functions.
A structural VAR with p lags (sometimes abbreviated SVAR) is
$B_0 y_t = c_0 + B_1 y_{ …
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