Thursday, December 20, 2012

Time series question

I haven't had time series for seven years, so I'm trying to make a little sense of how to interpret a VAR.

So let's say we're looking at differenced log GDP. Since that's differenced already we're looking at percentage change already, right? So are the coefficients in a VAR interpreted as the impact on the acceleration or deceleration of real GDP? In other words, if I'm looking at a negative impact on the change in log GDP am I looking at a negative impact on GDP or a decelerating impact?

I'm not sure I trust the interpretation of the authors on this, but I don't really trust myself either.

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