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Results tagged with autocorrelation
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user 3136
Autocorrelation (serial correlation) is the correlation of a series of data with itself at some lag. This is an important topic in time series analysis.
4
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Accepted
Interpreting coefficients from a VECM (Vector Error Correction Model)
After much researching I the following reference was the most useful to me when trying to interpret the findings of a vecm:
Helmut Lütkepohl, Markus Krätzig
Structural Vector Autoregressive Modeling …
- 679
7
votes
2
answers
46k
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Interpreting coefficients from a VECM (Vector Error Correction Model)
I would like to ask a question about error correction terms from VECM if I may. I am currently working on a lot of time-series data and one of the questions I would like to address is whether there is …
- 679