Cointegrating Eq: | CointEq1 |
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M2(−1) | 1.000000 |
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COCOA(−1) | 0.574882 |
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| (1.01312) |
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| [0.56744] |
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CRUDE(−1) | −10.39535 |
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| (28.4606) |
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| [−0.36525] |
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GOLD(−1) | −11.81135 |
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| (1.91877) |
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| [−6.15570] |
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C | 14080.46 |
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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 |
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Determinant resid covariance | 2.08E+19 |
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Log likelihood | −7788.861 |
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Akaike information criterion | 56.03485 |
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Schwarz criterion | 56.39927 |
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Number of coefficients | 28 |
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