Residuals:

Min

1Q

Median

3Q

Max

−1.79919

−0.00717

0.00029

0.00785

1.77885

Coefficients:

Estimate

Std. error

T-value

Pr (>|t|)

(Intercept)

−0.0309821

0.0208969

−1.483

0.1382

EMU_record

0.0023005

0.0009372

2.455

0.0141*

Y_lag1

0.8253796

0.0127071

64.954

<2 × 10⁻¹⁶***

Y_lag2

0.1648958

0.0127068

12.977

<2 × 10⁻¹⁶***

EMI_lag1

0.0013750

0.0018957

0.725

0.4683

EMI_lag2

0.0021268

0.0018942

1.123

0.2616

EMU_lag1

0.0024833

0.0010215

2.431

0.0151*

EMU_lag2

0.0011841

0.0009590

1.235

0.2170

EPU_lag1

0.0024583

0.0015840

1.552

0.1207

EPU_lag2

0.0019109

0.0015582

1.226

0.2201