Hello,
I just wanted to ask why in my VECM model when I generate IRFs even after 20 periods the given variables do not return to 0 as most IRFs behave. Instead, it seems like there is a permanent effect on variables after my impulses. Is that the case? or is my model wrong and that is why my response variables do not return to 0 after many periods? Or is it how VECM models sometimes behave? How shall I interpret this?
Thank you very much for your time
I just wanted to ask why in my VECM model when I generate IRFs even after 20 periods the given variables do not return to 0 as most IRFs behave. Instead, it seems like there is a permanent effect on variables after my impulses. Is that the case? or is my model wrong and that is why my response variables do not return to 0 after many periods? Or is it how VECM models sometimes behave? How shall I interpret this?
Thank you very much for your time
