For a VAR model estimated using two variables X and Y, lags of Y are jointly significant in the equation for X but lags of X are jointly insignificant in the equation for Y. What can you conclude from this?
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UGC-NET 2023 Question 7: Binary-choice and time-series models
Answer and worked solution
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Binary-choice and time-series models has come up 14 times in 2 exams since 2023.
What this question tests
This question is on AR, MA and VAR models, part of Binary-choice and time-series models in Econometrics.
Time-series models built from a series' own past and from several series together.
TestStop has 2 past-paper questions on this subtopic.
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Question from the UGC-NET 2023 paper. Solutions are TestStop's own. Not affiliated with or endorsed by any examination authority.