Get Vector Error Correction Model Impulse Response
Pictures. Vecm, vector error correction model. Running var using dierenced data if series are not cointegrated 2.
A vector error correction (vec) model is a restricted var that has cointegration restrictions built into the specification, so that it is designed for use with nonstationary series note that standard errors for the impulse response functions are not available for the vec.
Impulse response function (irf) has also been generated to explain the response to shock amongst the variables. Display combined graphs, with impulse responses of one variable to all shocks shown in one graph. When such a model is available, it can be used for analyzing the dynamic interactions between the variables. Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models.
