One last follow-up. You said:
> Oh, that was the situation almost two years ago. I was
> referring to the situation in which some people sum up some beta's
> as sort of percent signal change by ignoring the one at both
> ends. This is not an optimal solution from the current
> perspective.
I'm worried that I might be making this mistake. What I'm doing right now is actually averaging the betas from the lags I'm most interested in from the tent model, and thus getting a number that indicates the average level of activity over those lags. Is this approach susceptible to the problem of negative betas, or were you talking about something else entirely?