TH-cam recently changed the way my content will be monetised. My channel now needs 1,000 subscribers. So it would be amazing if you show your support by both watching my videos and subscribing to my channel if you haven’t done so already. Monetising my videos allows me to invest back into the channel with some new equipment so this small gesture from you will be extremely huge for me. Many thanks for your support….CrunchEconometrix loves to teach, support my Channel with your subscription and sharing my videos with your cohorts.
Hello, thank you for your videos, they've helped me a lot. I would like to know if the interpretations of the IRF are still relevantt if the coefficients of the VAR model aren't significant.
Hi Breno, it follows that IRF should be interpreted for the significant VAR coefficients...and yes, results are still valid if errors are not normally distributed.
Hi again Dr. Adeleye. Thank you for yet another very helpful video. Throughout your videos on VAR models you mention that a VAR model ran with first differences would be a misspecified model. However, is one not forced to run a VAR model with first differences if the variables are originally nonstationary? One could still run a VAR model with variables both in levels and first differences, no? I am aware this would basically make short run coefficients essentially meaningless, but one could still look at the signs on the short run coefficients and look at the long run impact of the variables?
Hi Gonzalo, I explained the different schools of thought on VAR specification in that video with references. You may need to watch that again. I follow the SoT that estimates VAR in level using the VAR algorithm. You can estimate in 1st difference too.
3:20 ok but, VAR models can be estimated with raw data in levels if the non-stationary data is also cointegrated because recent theoretical work proves that estimation with such data will yield consistent parameter estimates "Estimating VAR models under non-stationarity and cointegration: alternative approaches for forecasting cattle prices"
uppergroundec Absolutely, no question about that. Inasmuch as u're using either the raw or logged series and not the differenced series to estimate a VAR model using the VAR algorithm, then you're good-to-go.
Hello madam your videos are perfect to learn econometrics and its applications thank you so much. Currently I'm doing my graduation project and I have encountered a problem in analysis. I use stata and try to find the optimal lag using 'varsoc' and AIC shows me that 0 lags is optimal jointly. However I cannot run VAR model with 0 lags. Do you have any suggestions? Thanks again for the videos they were very helpful.
Hi Goksu, in this case you use 1 lag because as you have rightly said, VAR cannot be estimated as a static model (ie with 0 lag). Thanks for the kind words and positive feedback on my videos. Deeply appreciated! 💕 May I know from where (location) you are reaching me?
@@CrunchEconometrix Oh I see. Then I will run the analysis with 1 lags. I also read your blog and love how you teach. They are very enlightening. I'm from ITU, Turkey. Best wishes
@@gksgny Thanks for the encouraging feedback, Goksu...I will also appreciate if you spread the word about my YT to your friends and colleagues in Turkey...thanks!
TH-cam recently changed the way my content will be monetised. My channel now needs 1,000 subscribers. So it would be amazing if you show your support by both watching my videos and subscribing to my channel if you haven’t done so already. Monetising my videos allows me to invest back into the channel with some new equipment so this small gesture from you will be extremely huge for me. Many thanks for your support….CrunchEconometrix loves to teach, support my Channel with your subscription and sharing my videos with your cohorts.
Great job Ma. God bless you. I am learning a lot from your videos :)
Hi Dami, thanks for the encouragement girl! Appreciated!😍😘
you got me through my final year of Uni, thank you :)
Oh wow! Glad to hear this! 😍. Thanks for the encouraging feedback, deeply appreciated! 🥰🙏
Thank you very much for your videos. My question is how does one perform IRFs in VEC models. Do you have any videos on that please?
At the moment, I'm only familiar with IRFs from VAR models as shown in the video.
Hello, thank you for your videos, they've helped me a lot. I would like to know if the interpretations of the IRF are still relevantt if the coefficients of the VAR model aren't significant.
Also if the interpretations are relevant if the errors aren't normally distributed
Hi Breno, it follows that IRF should be interpreted for the significant VAR coefficients...and yes, results are still valid if errors are not normally distributed.
Ok, thank you so much!
Hi again Dr. Adeleye. Thank you for yet another very helpful video. Throughout your videos on VAR models you mention that a VAR model ran with first differences would be a misspecified model. However, is one not forced to run a VAR model with first differences if the variables are originally nonstationary? One could still run a VAR model with variables both in levels and first differences, no? I am aware this would basically make short run coefficients essentially meaningless, but one could still look at the signs on the short run coefficients and look at the long run impact of the variables?
Hi Gonzalo, I explained the different schools of thought on VAR specification in that video with references. You may need to watch that again. I follow the SoT that estimates VAR in level using the VAR algorithm. You can estimate in 1st difference too.
3:20 ok but, VAR models can be estimated with raw data in levels if the non-stationary data is also cointegrated because recent theoretical work proves that estimation with such data will yield consistent parameter estimates "Estimating VAR models under non-stationarity and cointegration: alternative approaches for forecasting cattle prices"
uppergroundec Absolutely, no question about that. Inasmuch as u're using either the raw or logged series and not the differenced series to estimate a VAR model using the VAR algorithm, then you're good-to-go.
Hello madam your videos are perfect to learn econometrics and its applications thank you so much. Currently I'm doing my graduation project and I have encountered a problem in analysis. I use stata and try to find the optimal lag using 'varsoc' and AIC shows me that 0 lags is optimal jointly. However I cannot run VAR model with 0 lags. Do you have any suggestions? Thanks again for the videos they were very helpful.
Hi Goksu, in this case you use 1 lag because as you have rightly said, VAR cannot be estimated as a static model (ie with 0 lag). Thanks for the kind words and positive feedback on my videos. Deeply appreciated! 💕 May I know from where (location) you are reaching me?
@@CrunchEconometrix Oh I see. Then I will run the analysis with 1 lags. I also read your blog and love how you teach. They are very enlightening. I'm from ITU, Turkey. Best wishes
@@gksgny Thanks for the encouraging feedback, Goksu...I will also appreciate if you spread the word about my YT to your friends and colleagues in Turkey...thanks!