When using autoregressive distributed lag models (ARDL), I usually get a counter-intuitive result for the selected lag.
For example, when examining the relationship between GDP and Foreign Direct Investment (FDI), I don't get consistency in the sign.
What does this really mean? Does this mean that I have a wrong model specification although lags are determined according to information criteria (using a quarterly frequency) or what? There is no serial correlation and the model passed the CUSUM test and CUSUM square test. This indicates stability in the estimation.
I want to add that I did not use the log of FDI flows as there are negative values in the time series.
Below is a snapshot of the estimation results.
variable Coefficient Std. Error t-Statistic Prob.* LOGGDP 20945.17 31683.81 0.661068 0.5107 LOGGDP(-1) -74547.39 39648.45 -1.880210 0.0641 LOGGDP(-2) 89724.73 33119.12 2.709152 0.0084 LOGGDP(-3) -12340.11 35873.61 -0.343989 0.7319 LOGGDP(-4) -55895.03 32666.16 -1.711099 0.0914 LOGGDP(-5) 50435.01 21241.29 2.374385 0.0202