[Gretl-users] VECM and IRF interpretation
Hi! I have a question regarding VECM and IRF interpretation in Gretl.
According to the speed of adjustment coefficient in the VEC, the target
variable adjusts at a speed of 15,5% per year to equilibrium. But the IRF
says that the cumulative change in the target variable is only 2% from year
four trough the time horizon of the IRF, which is nine years. How can I
interpret this?
Best regards,
Lars
Attachments:
- attachment.html (text/html — 456 bytes)
- IRF.png (image/png — 14.1 KB)
- VECM.xlsx (application/vnd.openxmlformats-officedocument.spreadsheetml.sheet — 26.6 KB)
