Re: [Gretl-users] VECM and IRF interpretation

Am 27.04.2018 um 20:28 schrieb lasses skola: > Hi! I have a question regarding VECM and IRF interpretation in Gretl. > Hi, to be clear, this is not about an interpretation _in Gretl_, it's a more generic question, there's nothing gretl specific here. Which -I presume- is why no answers have followed so far. 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? > This is a system there is no such thing as *the* target variable. Apart from that, the two magnitudes have very little in common. You could have a case where the first variable is not reacting/adjusting at all to disequilibria, and still you could get a long-run permanent effect because of the other dynamics. cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users