1. VAR model

Hi ,

i need a help

i conducted a VAR model using e-view program
after choosing the suitable lag length i re estimate the VAR ,so i got
estimated coefficient
Standard error
t-statistic

the q is : how can i determinate which (estimated coefficient) is a significant ?

2. Re: VAR model

You can look at t-statistic. Roughly if it is less than -2 or greater than 2 then it is significant.
i.e. significant if |t-statisitc| >2.

3. Re: VAR model

Thanks Vinux
but actually i don't believe this is a true,
1- i think you mean 2%
2- i want to test if it is significant at 1% and 5%..
so do you have any good idea about how to conduct that ?
regards ...

4. Re: VAR model

also i believe that the df of the sample play a role in the test ? don't you ?

5. Re: VAR model

Originally Posted by Elie
Thanks Vinux
but actually i don't believe this is a true,
1- i think you mean 2%
2- i want to test if it is significant at 1% and 5%..
so do you have any good idea about how to conduct that ?
regards ...
Strictly speaking under null hypothesis t-statistics follows student's t distribution with error df ( this is depending on the number of parameters involved in the model.
But for a large sample t-statistics is almost same as z statistics. So you can compare t-statistic with z critical values. For example for 5%, z critical value is 1.96 ( approximately 2).

6. The Following User Says Thank You to vinux For This Useful Post:

Elie (06-12-2012)

7. Re: VAR model

that's OK , so what is the critical value for 1%
and i'm sorry but i have a big gap in the econometric ,but 1.96 in % or just 1.96 ??

8. Re: VAR model

It should be 2.326 , but that 's actually confusing me,

In an old study, it considered the 0.0009 for example significant at 1% ? why ?
if there is any guide in this forum help me with the VAR issue ,i will appreciate that

9. Re: VAR model

It is not %

P[|Z| >1.96] = 0.05 # So 1.96 corresponds to 5% (you need to take the both tails)
which is same as P[Z>1.96] = 0.025
and
P[|Z| >2.56] = 0.01 # So 2.56 corresponds to 1%

Usually the alternative hypothesis is not equal to, this lead to two tail test.

10. Re: VAR model

Originally Posted by vinux
which is same as P[Z>1.96] = 0.025
mmm i didn't get this point

lol i know now you are saying

but why in the old study it ,the researcher considered 0.0009 as significant at 1%

11. Re: VAR model

Dears, if there is any threads about Vector Autogressive model in the forum i appreciate if you tell me about it?

12. Re: VAR model

Originally Posted by Elie
mmm i didn't get this point

lol i know now you are saying

but why in the old study it ,the researcher considered 0.0009 as significant at 1%
Regarding the calculation, i hope you know Z ( standard normal) is a symmetric distribution.
P[|Z|<1.96] =0.95. => P[-1.96 <Z<1.96] = 2*P[0<Z<1.96] = 0.95
P[0<Z<1.96] = 0.95/2 & P[Z>0]=0.5 => P[Z>1.96] = 0.025.

This would be easy if you can visualize the area of the tails.

Originally Posted by Elie
but why in the old study it ,the researcher considered 0.0009 as significant at 1%
I don't understand this part. What is 0.0009 value?

13. Re: VAR model

My guess is that the p-value was .0009 - not the t-statistic.

14. Re: VAR model

first of all i really appreciate your help and patient

Originally Posted by vinux
Regarding the calculation, i hope you know Z ( standard normal) is a symmetric distribution.
P[|Z|<1.96] =0.95. => P[-1.96 <Z<1.96] = 2*P[0<Z<1.96] = 0.95
P[0<Z<1.96] = 0.95/2 & P[Z>0]=0.5 => P[Z>1.96] = 0.025.

This would be easy if you can visualize the area of the tails.
OK so i have to compare t-stat with the value 1.96 if the |t-stat|>1.96 => the estimated coefficient is significant in 5% ,is it right ?
when i tried this in the example in Gujarti the results make a sense ,but Gujarti make it significant at 10% (p851)
and he accepted a lower value such as 1.87699 ,is there any explanation ?

15. Re: VAR model

Originally Posted by Dason
My guess is that the p-value was .0009 - not the t-statistic.
actually it is the t -statistic

the results is as below :
Standard errors in () & t-statistics in [].
3.09E−05
(0.03198)
[0.00097]***

*VAR system has been estimated with 4 lags according to Akaike Information Selection Criterion with oil as an essential reference.
*** indicates significance at 1% level

so ????

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