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    Signs of impact effects in time series regression models

    Pesaran, M.H. and Smith, Ron P. (2014) Signs of impact effects in time series regression models. Economics Letters 122 (2), pp. 150-153. ISSN 0165-1765.

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    Abstract

    In this paper we consider the problem of interpreting the signs of the estimated coefficients in multivariate time series regressions where the regressors are correlated. Using a continuous time model, we argue that focusing on the signs of individual coefficients in such regressions could be misleading and argue in favour of allowing for the indirect effects that arise due to the historical correlations amongst the regressors. For estimation from discrete time data we show that the sign of the total impact, including the direct and indirect effects, of a regressor can be obtained using a simple regression that only includes the regressor of interest.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Regression coefficients, Impact effects, Estimating signs
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Administrator
    Date Deposited: 07 Apr 2014 15:02
    Last Modified: 07 Dec 2016 09:11
    URI: http://eprints.bbk.ac.uk/id/eprint/9554

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