Cointegrating Eq:

CointEq1

M2(−1)

1.000000

COCOA(−1)

0.574882

(1.01312)

[0.56744]

CRUDE(−1)

−10.39535

(28.4606)

[−0.36525]

GOLD(−1)

−11.81135

(1.91877)

[−6.15570]

C

14080.46

Error Correction:

D(M2)

D(COCOA)

D(CRUDE)

D(GOLD)

CointEq1

−0.038958

−0.003653

−0.000141

−0.001368

(0.00501)

(0.00402)

(0.00018)

(0.00254)

[−7.77152]

[−0.90797]

[−0.77865]

[−0.53804]

D(M2(−1))

0.249914

0.080361

−0.001500

0.078183

(0.05736)

(0.04604)

(0.00207)

(0.02909)

[4.35662]

[1.74535]

[−0.72562]

[2.68724]

D(COCOA(−1))

0.136354

0.033708

−0.002994

−0.066563

(0.14234)

(0.11425)

(0.00513)

(0.07219)

[0.95795]

[0.29505]

[−0.58361]

[−0.92203]

D(CRUDE(−1))

−2.144315

2.607662

0.206720

2.829089

(2.54291)

(2.04105)

(0.09164)

(1.28972)

[−0.84325]

[1.27761]

[2.25588]

[2.19357]

D(GOLD(−1))

−0.184826

−0.199222

−0.016943

−0.125653

(0.23172)

(0.18599)

(0.00835)

(0.11752)

[−0.79763]

[−1.07116]

[−2.02907]

[−1.06918]

C

411.3472

74.25583

4.963978

44.62109

(67.5471)

(54.2161)

(2.43412)

(34.2586)

[6.08978]

[1.36963]

[2.03933]

[1.30248]

R−squared

0.438883

0.038976

0.036454

0.059681

Adj. R−squared

0.428607

0.021374

0.018806

0.042459

Sum sq. resids

2.66E+08

1.71E+08

345030.1

68346172

S.E. equation

986.5354

791.8344

35.55062

500.3522

F−statistic

42.70598

2.214376

2.065674

3.465409

Log likelihood

−2316.333

−2254.995

−1389.148

−2126.923

Akaike AIC

16.64755

16.20785

10.00106

15.28977

Schwarz SC

16.72564

16.28594

10.07915

15.36786

Mean dependent

537.9934

113.6340

3.213474

78.12186

S.D. dependent

1305.104

800.4350

35.88970

511.3251

Determinant resid covariance (dof adj.)

2.27E+19

Determinant resid covariance

2.08E+19

Log likelihood

−7788.861

Akaike information criterion

56.03485

Schwarz criterion

56.39927

Number of coefficients

28