Signs of impact effects in time series regression models

Mohammad Pesaran and Ronald Smith

Economics Letters, 2014, vol. 122, issue 2, 150-153

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.

Keywords: Regression coefficients; Impact effects; Estimating signs (search for similar items in EconPapers)
JEL-codes: C1 C5 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (23)

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Working Paper: Signs of Impact Effects in Time Series Regression Models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:122:y:2014:i:2:p:150-153

DOI: 10.1016/j.econlet.2013.11.015

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