Setting up a VECM model - studying long and short run dynamics.
In this session we will be covering VAR models, Cholesky Decomposition and Impulse Response Functions.
For attribution, please cite this work as
Katzke (2019, May 7). Time-Series Econometrics: Topic 4: VECM Modelling. Retrieved from https://www.ts.nfkatzke.com/posts/2019-05-07-topic-4-vecm-modelling/
BibTeX citation
@misc{katzke2019topic,
author = {Katzke, N.F.},
title = {Time-Series Econometrics: Topic 4: VECM Modelling},
url = {https://www.ts.nfkatzke.com/posts/2019-05-07-topic-4-vecm-modelling/},
year = {2019}
}