Variable

Model 1

Variable

Model 2

Coef.

Prob.*

Coef.

Prob.*

D(LRE(−1))

0.2365**

0.0411

D(LTC(−1))

0.0985

0.3276

(0.100965)

(0.095156)

D(LRE(−2))

0.3536**

0.0180

D(LTC(−2))

0.0675

0.4794

(0.125231)

(0.091561)

D(LRE(−3))

−0.2638**

0.0118

D(LTC(−3))

−0.3205***

0.0029

(0.085934)

(0.079158)

D(LPIBH_C)

0.0046

0.5380

D(LPIBH_C)

−0.0877***

0.0006

(0.007313)

(0.016851)

D(LFBCFC)

0.0619***

0.0000

D(LPIBH_C(−1))

0.0498**

0.0305

(0.008608)

(0.019441)

D(LFBCFC(−1))

−0.1376***

0.0000

D(LFBCFC)

−0.0885***

0.0004

(0.015197)

(0.016006)

D(LFBCFC(−2))

−0.1089***

0.0000

D(LFBCFC(−1))

0.2496***

0.0000

(0.011078)

(0.023979)

D(LFBCFC(−3))

−0.0572***

0.0002

D(LFBCFC(−2))

0.1823***

0.0000

(0.009754)

(0.018694)

D(LM)

−0.0791***

0.0001

D(LFBCFC(−3))

0.1017***

0.0006

(0.012455)

(0.019714)

D(LM(−1))

0.0842***

0.0000

D(LM)

0.1430***

0.0003

(0.011997)

(0.025555)

CointEq(−1)

−0.9948***

0.0000

D(LM(−1))

−0.1702***

0.0000

(0.099574)

(0.022099)

CointEq(−1)

−0.7184***

0.0000

(0.065705)