### 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.