Note that it has altering signs. By changing the construction of y k + 1, t ( in the second bullet point) you can get whatever loadings you like ( positive or negative) in the error. ECT should be in negative number and if positive value means explosive and not reasonable. coefficient is - 0. 87 ( The estimated coefficient indicates that about 87 per cent of this disequilibrium is corrected between 1 year. If the coefficient on the error correction term is negative and statistically significant, is consistent. with error correcting behavior. The bigger the ( negative). Positive greater than 1 values may indicate autocorrelation. The coefficient of is. In the case of EG methodology ECT( - 1) is expected to be negative and less than one, how about in the vecm? return would be positive ( the negative coefficient when the reverse regression is applied to determine the cointegrating relation). I am estimating an ECM and found that the coefficient of the EC term is more than zero. Theoretically it is expected to be between - 1 and 0. For instance if I am analysing the link between market demand and prices, does a positive coefficient.

Video:Term correction error

If we found 4 co- integrations in the Johansen test and then we continue testing VECM then we found four error correction term in one regression and among those four we found some negative and significant and some positive but significant as well. Continuing the example in W. Enders' s book ( not paper), which I cited in my previous comment, the coefficients of the ECT ew_ t- 1 = W_ t- 1 - constant. error correction term between zero and - 2. In macroeconomic analysis the coefficient of ECT is generally low, because of the long memory of time series variable, government intervention,. Problem with Error correction coefficient? How to interpret the speed of adjustment which is positive but significant? Of course a fully specified equilibrium model may well include more variables, and the equilibrium relationship need not. income, then, due to the positive error- correction coefficient, there will be a tendency for spending to adjust towards the. Here is an example of where two positive and one negative loading on the error correction term makes intuitive sense.

This can be trivially extended to m > 2 positive loadings and one negative loading, so it fits your case of six. I estimated the VECM with one co- integrating vector. The alpha coefficient with x1 equation came out positive and significant, which is my main interest along with beta coefficients. The alpha coefficients on x2, and x4 are also positive and the.