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st: VAR model and significance of coefficients


From   "Sabina Kummer" <sabina.noo@postmail.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: VAR model and significance of coefficients
Date   Wed, 13 Mar 2013 18:10:59 +0100 (CET)

Dear all,

I have a question regarding the interpretation of the coefficients of a VAR/VEC specification.

In a VAR/VEC model, the coefficients are all endogenous and dependant from each other (multicollinear). This implies that the t-statistics (Student statistics) of the various coefficients are biased. Thus, I would like to know how to interpret the significance of the coefficients and how to be sure that the choice of the explanatory variables is adequate.
Should I consider the F-test for the “global significance” of the model (i.e. the significance of all the coefficients altogether)?
Or should I consider the t-stat but only as a "soft indication" about the significance of the coefficients?

Thank you very much for your help and your consideration.

Best regards,

Sabina


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