Hello, everyone
Thank you for reading my post. I have a question related to the result of the Bayesian VAR.
The bayestest showed that I should use the model with 5 lags, however, when looking at the result of the BVAR, the Equal-tailed [95% cred. interval] of almost all the individual coefficients lie between negative value and positive value, for example: in the Equation of Dhousechange, the Equal-tailed [95% cred. interval] of the lags of Dstock are all lying between negative value and positive value, does it mean that the individual coefficients of the lags of Dstock for the equation of Dhousechange are not statistically significant? If it is the case, why should we still keeping 5 lags?
Thank you very much.
Thank you for reading my post. I have a question related to the result of the Bayesian VAR.
The bayestest showed that I should use the model with 5 lags, however, when looking at the result of the BVAR, the Equal-tailed [95% cred. interval] of almost all the individual coefficients lie between negative value and positive value, for example: in the Equation of Dhousechange, the Equal-tailed [95% cred. interval] of the lags of Dstock are all lying between negative value and positive value, does it mean that the individual coefficients of the lags of Dstock for the equation of Dhousechange are not statistically significant? If it is the case, why should we still keeping 5 lags?
Thank you very much.
