In single equation ECMs the stability condition on the loading is
obviously pretty simple. But in VECM the condition for
stability/convergence to the long-run equilibria are more complex. In
particular, I imagine we might occasionally encounter models where the
estimated loading(s) in an ECM equation in the VECM has the "wrong" ie
positive sign (when the level corresponding to the lhs variable is
normalised with a positive coefficient), but the system is still stable.
Does anyone know any papers that discuss this?
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