Informations about Signal Coefficients on a VEC Output
Posted: Tue Dec 04, 2018 7:11 am
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 ( ) & t-statistics 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]
R-squared 0.374921 0.090392 0.106385
Adj. R-squared 0.348602 0.052092 0.068759
Sum sq. resids 0.194794 0.048017 0.673053
S.E. equation 0.045282 0.022482 0.084171
F-statistic 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.) 5.23E-09
Determinant resid covariance 4.49E-09
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.
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 ( ) & t-statistics 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]
R-squared 0.374921 0.090392 0.106385
Adj. R-squared 0.348602 0.052092 0.068759
Sum sq. resids 0.194794 0.048017 0.673053
S.E. equation 0.045282 0.022482 0.084171
F-statistic 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.) 5.23E-09
Determinant resid covariance 4.49E-09
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.