ECM | D(LNDRR) | D(NCS) | D(LNIBOR) |
| D(LNER) | ||
EC | −0.011 | −1.512 | 0.010 |
| −0.002 | ||
(0.002) | (0.196) | (0.019) |
| (0.003) | |||
D(LNDRR (−1)) | 0.039 | D( NCS (−1)) | 0.423 | D(LNIBOR(−1)) | −0.344 | D(LNER (−1)) | 0.300 |
(0.066) | (0.173) | (0.067) |
| (0.068) | |||
D(LNDRR (−2)) | 0.056 | D( NCS (−2)) | 0.185 | D(LNIBOR(−2)) | −0.251 | D(LNER (−2)) | −0.026 |
(0.062) | (0.143) | (0.065) |
| (0.068) | |||
D( NCS (−3)) | 0.100 |
|
| ||||
(0.105) |
|
| |||||
D( NCS (−4)) | 0.095 |
|
| ||||
(0.073) |
|
| |||||
D(LNCI (−1)) | −0.015 | 0.274 |
| −0.012 | |||
(0.052) | (0.536) |
| (0.016) | ||||
D(LNCI (−2)) | 0.065 | −0.564 |
| 0.005 | |||
(0.052) | (0.534) |
| (0.016) | ||||
D(LNECI (−1)) | 0.056 |
|
| ||||
(0.018) |
|
| |||||
D(LNECI (−2)) | 0.024 |
|
| ||||
(0.018) |
|
| |||||
D(LNCCI (−1)) | 0.051 |
| 0.010 | ||||
(0.020) |
| (0.013) | |||||
D(LNCCI (−2)) | −0.006 |
| −0.009 | ||||
(0.021) |
| (0.012) | |||||
D(LNMCI (−1)) | −0.054 | 0.162 |
|
| |||
(0.040) | (0.485) |
|
| ||||
D(LNMCI (−2)) | −0.040 | 0.927 |
|
| |||
(0.041) | (0.488) |
|
| ||||
D(LNGCI (−1)) | −5991.706 |
|
| ||||
(7900.700) |
|
| |||||
D(LNGCI (−2)) | 6622.177 |
|
| ||||
(7986.440) |
|
| |||||
D(LNGCI (−3)) | −2910.899 |
|
| ||||
(8003.320) |
|
| |||||
D(LNGCI (−4)) | −10737.380 |
|
| ||||
(7914.770) |
|
| |||||
C | 0.002 | −11.395 | −0.005 |
| −0.000 | ||
(0.001) | (239.243) | (0.013) |
| (0.001) | |||
R-squared | 0.395 | 0.564 | 0.159 |
| 0.088 | ||
Adj. R-squared | 0.365 |
| 0.546 |
| 0.132 |
| 0.060 |
Sum sq. resids | 0.056 | 2.86E+09 | 8.926 |
| 0.023 | ||
S.E. equation | 0.016 | 3615.151 | 0.200 |
| 0.010 | ||
F-statistic | 13.001 | 31.503 | 6.018 |
| 3.082 | ||
Log likelihood | 633.371 | −2195.996 | 47.993 |
| 734.441 | ||
Akaike AIC | −5.380 | 19.266 | −0.346 |
| −6.290 | ||
Schwarz SC | −5.201 | 19.416 | −0.227 |
| −6.170 | ||
Mean dependent | 0.001 | 17.687 | −0.001 |
| −0.001 | ||
S.D. dependent | 0.020 | 5367.112 | 0.215 |
| 0.011 |