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VAR Modelling
2 messages · Khalid Iqbal, Stefan Grosse
These questions suspiciously look like homework questions of an introductionary econometrics class and there quite some good books to answer them. Even a little use of google should answer them... Please use the list if you have problems with the software. On Tue, 5 May 2009 15:05:12 +0530 Khalid Iqbal
<mdkhalidiqbal at gmail.com> wrote:
KI> 1) I calculated impulse response function keeping one series as KI> impulse and other as response. I know the KI> theoretical interpretation of IRF but how to infer anything KI> from the "irf" plot. Tell me as to how can I read the graph. KI> KI> 2) What should we do if the model fails multivariate normality KI> tests like JB-test? KI> KI> 3) Would it be good if we take difference of two series (after KI> adjusting them to be comparable on a common scale) KI> and then model the series using univariate techniques. KI> KI> 4) Would it be better if I take log(Pt / Pt-1) and then compare the KI> 2 series.