Dear,
I want help with the output coefficient signals of my VEC model.
In the first part of the cointegration equation, we have some coefficientes with signals, but when I put them on a paper for analysis and discussion, the signals will be exchanged, correct?
VEC Estimation Output from Eviews:
Vector Error Correction Estimates
Date: 12/04/18 Time: 11:56
Sample (adjusted): 2001M09 2009M12
Included observations: 100 after adjustments
Standard errors in ( ) & tstatistics in [ ]
Cointegrating Eq: CointEq1
LPE(1) 1.000000
LPG(1) 1.217436
(0.19909)
[6.11487]
LPS(1) 0.206260
(0.04987)
[4.13582]
C 1.193296
Error Correction: D(LPE) D(LPG) D(LPS)
CointEq1 0.402196 0.018656 0.187457
(0.07665) (0.03805) (0.14247)
[5.24747] [0.49027] [1.31576]
D(LPE(1)) 0.442810 0.022982 0.169454
(0.09965) (0.04948) (0.18524)
[ 4.44349] [ 0.46450] [0.91479]
D(LPG(1)) 0.267557 0.219323 0.697048
(0.23841) (0.11837) (0.44316)
[1.12227] [ 1.85292] [ 1.57292]
D(LPS(1)) 0.033195 0.029062 0.168786
(0.05993) (0.02976) (0.11141)
[ 0.55385] [ 0.97664] [ 1.51503]
C 0.000375 0.001082 0.003117
(0.00454) (0.00225) (0.00843)
[0.08266] [0.48050] [ 0.36963]
Rsquared 0.374921 0.090392 0.106385
Adj. Rsquared 0.348602 0.052092 0.068759
Sum sq. resids 0.194794 0.048017 0.673053
S.E. equation 0.045282 0.022482 0.084171
Fstatistic 14.24518 2.360139 2.827429
Log likelihood 170.1554 240.1751 108.1612
Akaike AIC 3.303108 4.703503 2.063224
Schwarz SC 3.172850 4.573244 1.932966
Mean dependent 0.000161 0.001329 0.002472
S.D. dependent 0.056105 0.023091 0.087223
Determinant resid covariance (dof adj.) 5.23E09
Determinant resid covariance 4.49E09
Log likelihood 535.4082
Akaike information criterion 10.34816
Schwarz criterion 9.879234
Let me explain: the negative signal of the LPG coefficient is actually positive, correct? The negative signal of the LPS coefficient is actually positive and the positive signal of the constant will actually be negative, correct?
The true signals are the opposite, correct?
Example: VEC Output
LPG(1) 1.217436 , the true value is 1.217436?
LPS(1) 0.206260, the true value is 0.206260?
c 1.193296, the true value is 1.193296?
Best Regards, José.
Informations about Signal Coefficients on a VEC Output
Moderators: EViews Gareth, EViews Moderator

 Posts: 49
 Joined: Sat Apr 22, 2017 8:23 pm
Re: Informations about Signal Coefficients on a VEC Output
If your underlying question is what is the actual cointegrating relationship, then yes, the signs are in fact reversed. Thus, in your case, the cointegrating relationship is
Code: Select all
LPE(1) = 1.217436*LPG(1) + 0.206260*LPS(1)  1.193296
Re: Informations about Signal Coefficients on a VEC Output
Thanks a lot, Mirza.
And the signals from the Error Correction equation stay the same as we see at the Eviews, correct?
Error Correction: D(LPE) D(LPG) D(LPS)
CointEq1 0.402196 0.018656 0.187457
(0.07665) (0.03805) (0.14247)
[5.24747] [0.49027] [1.31576]
D(LPE(1)) 0.442810 0.022982 0.169454
(0.09965) (0.04948) (0.18524)
[ 4.44349] [ 0.46450] [0.91479]
D(LPG(1)) 0.267557 0.219323 0.697048
(0.23841) (0.11837) (0.44316)
[1.12227] [ 1.85292] [ 1.57292]
D(LPS(1)) 0.033195 0.029062 0.168786
(0.05993) (0.02976) (0.11141)
[ 0.55385] [ 0.97664] [ 1.51503]
C 0.000375 0.001082 0.003117
(0.00454) (0.00225) (0.00843)
[0.08266] [0.48050] [ 0.36963]
Best Regards, José.
And the signals from the Error Correction equation stay the same as we see at the Eviews, correct?
Error Correction: D(LPE) D(LPG) D(LPS)
CointEq1 0.402196 0.018656 0.187457
(0.07665) (0.03805) (0.14247)
[5.24747] [0.49027] [1.31576]
D(LPE(1)) 0.442810 0.022982 0.169454
(0.09965) (0.04948) (0.18524)
[ 4.44349] [ 0.46450] [0.91479]
D(LPG(1)) 0.267557 0.219323 0.697048
(0.23841) (0.11837) (0.44316)
[1.12227] [ 1.85292] [ 1.57292]
D(LPS(1)) 0.033195 0.029062 0.168786
(0.05993) (0.02976) (0.11141)
[ 0.55385] [ 0.97664] [ 1.51503]
C 0.000375 0.001082 0.003117
(0.00454) (0.00225) (0.00843)
[0.08266] [0.48050] [ 0.36963]
Best Regards, José.

 Posts: 49
 Joined: Sat Apr 22, 2017 8:23 pm
Re: Informations about Signal Coefficients on a VEC Output
Indeed. In fact, if you go to View and then Representations, and search among that output, you'll see that the VEC equation for your cointegrating relationship is in fact:
Code: Select all
D(LPE)=0.402196*(LPE(1)1.217436*LPG(1)0.206260*LPS(1)+1.193296)+0.442810*D(LPE(1))0.267557*D(LPG(1)) ... etc
Re: Informations about Signal Coefficients on a VEC Output
Thanks a lot, Mizra.
Now a new doubt has arisen, Would the value of the longterm coefficient of lpg (1) be the multiplication of the coefficient of cointegration 0.402196 by the coefficient of lpg (1) within the parentheses (1.217436)?
Best Regards, José.
Now a new doubt has arisen, Would the value of the longterm coefficient of lpg (1) be the multiplication of the coefficient of cointegration 0.402196 by the coefficient of lpg (1) within the parentheses (1.217436)?
Best Regards, José.

 Posts: 49
 Joined: Sat Apr 22, 2017 8:23 pm
Re: Informations about Signal Coefficients on a VEC Output
If I understand your question correctly, you are wondering about the alpha*beta' partialization of the cointegrating matrix? If this indeed the case, then the answer is no since alpha*beta' = 0.402196 for this cointegrating relationship. In other words,1.217436 is an element of beta, which is the cointegrating vector (matrix).
Re: Informations about Signal Coefficients on a VEC Output
Thanks a lot, Mizra!
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