VEC coefficients' sign change for a particular lag
Posted: Thu Mar 29, 2012 8:57 am
Hi everyone,
I have run a VEC using different lags specifications. For most of them, I get consistent results: VEC coefficients have the same sign and are significant. However, there is only one particular lag that in which ALL of the coefficients' signs change (whatever was negative becomes positive and vice versa).
I wonder if this could be related to any specific EViews parameterization process. If that's the case:
Would it be ok to manually change the signs?
I mean: the information expressed by the equation is the same if all of the coefficients change consistently...
Thanks!
GM
I have run a VEC using different lags specifications. For most of them, I get consistent results: VEC coefficients have the same sign and are significant. However, there is only one particular lag that in which ALL of the coefficients' signs change (whatever was negative becomes positive and vice versa).
I wonder if this could be related to any specific EViews parameterization process. If that's the case:
Would it be ok to manually change the signs?
I mean: the information expressed by the equation is the same if all of the coefficients change consistently...
Thanks!
GM