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fn_slot
2008 Mar 20
1
Interpretation of Variance decomposition in VAR model
...post it here, because my hope is I could get help from great statisticians who are the very active member of this group.
My problem is to interpret Variance decomposition of VAR model in layman's language.
Using EViews I got following :
Variance Decomposition of LN_FU:
Period S.E. LN_SPOT LN_FU
1 0.024422 93.66959 6.330413
2 0.034838 94.36506 5.634938
3 0.042280 94.60712 5.392882
4 0.048540 94.30725 5.692747
5 0.054060 93.99039 6.009611
6 0.059042 93.67545 6.324554
7 0.063621 93.33405 6.665951
8 0.067885 92.99347 7.006529
9 0.071893 92.65966 7...