ECM Regression

Case 3: Unrestricted Constant and No Trend

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.518620

0.086906

5.967601

0.0000

D (INFL)

−0.000837

0.000671

−1.247021

0.2261

D (UNMPL)

−0.005526

0.001272

−4.343791

0.0003

D (UNMPL (−1))

0.004377

0.001425

3.072117

0.0058

CointEq (−1)*

−0.555860

0.093225

−5.962535

0.0000

R-squared

0.660763

Mean dependent var

0.000633

Adjusted R-squared

0.606485

S.D. dependent var

0.001991

S.E. of regression

0.001249

Akaike info criterion

−10.38191

Sum squared resid

3.90E−05

Schwarz criterion

−10.14838

Log likelihood

160.7287

Hannan-Quinn criter.

−10.30720

F-statistic

12.17370

Durbin-Watson stat

2.395218

Prob (F-statistic)

0.000013

F-Bounds Test

Null Hypothesis: No levels relationship

Test Statistic

Value

Signif.

I (0)

I (1)

F-statistic

5.972706

10%

2.45

3.52

k

4

5%

2.86

4.01

2.5%

3.25

4.49

1%

3.74

5.06