Equation (1)

Dependent variable: $Y_t$

Coefficient ${\widehat{\alpha }}_{i,j}$

Estimated value

Standard error

t ratio

p-value

${\widehat{\alpha }}_{1,1}$

−0.000176402

0.000336741

−0.5239

0.6016

${\widehat{\alpha }}_{1,2}$

0.888290

0.0409553

21.69

5.51e−039***

${\widehat{\alpha }}_{1,3}$

0.000186208

0.000348802

0.5338

0.5947

${\widehat{\alpha }}_{1,4}$

0.000907855

0.000628893

1.444

0.1521

${\widehat{\alpha }}_{1,5}$

−0.000260441

0.00573977

−0.9870

0.3261

${\widehat{\alpha }}_{1,6}$

0.00369258

0.00541278

0.6822

0.4967

Equation (2)

Dependent variable: $M_{3_t}$

Coefficient

Estimated value

Standard error

t ratio

p-value

${\widehat{\alpha }}_{2,1}$

−14.9188

28.4791

−0.5239

−0.5239

${\widehat{\alpha }}_{2,2}$

−37.7497

27.7456

−1.361

0.1768

${\widehat{\alpha }}_{2,3}$

1.03527

0.00345112

300.0

9.23e−146***

${\widehat{\alpha }}_{2,4}$

0.0535138

0.184640

0.2898

0.7726

${\widehat{\alpha }}_{2,5}$

−0.00710380

0.195867

−0.03627

0.9711

${\widehat{\alpha }}_{2,6}$

−4.47423

1.61860

−2.764

0.0068***

${\widehat{\alpha }}_{2,7}$

3.03196

1.54936

1.957

0.0532*