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Signs of impact effects in time series regression models

Pesaran, M. Hashem; Smith, Ron P. - In: Economics Letters 122 (2014) 2, pp. 150-153

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...

Persistent link: https://www.econbiz.de/10010743709

Econometrics: A Bird’s Eye View

Geweke, John F.; Horowitz, Joel L.; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2006

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly … process; thus paving the way for establishing the foundation of "real time econometrics". This paper attempts to provide an …

Persistent link: https://www.econbiz.de/10005763931

Econometrics : A Bird's Eye View

Geweke, John - 2008

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly … process; thus paving the way for establishing the foundation of real time econometrics. This paper attempts to provide an …

Persistent link: https://www.econbiz.de/10012773713