ECM

D(LNM0)

D(LNM1)

D(LNM2)

EC

−0.086

−0.036

−0.005

(0.027)

(0.007)

(0.001)

D(LNM0 (−1))

−0.110

D(LNM1 (−1))

−0.287

D(LNM2 (−1))

−0.096

(0.066)

(0.063)

(0.068)

D(LNM1 (−2))

−0.185

D(LNM2 (−2))

0.052

(0.063)

(0.065)

D(LNM2 (−3))

0.315

(0.064)

D(LNM2 (−4))

−0.149

(0.067)

D(LNCI (−1))

0.071

0.021

(0.176)

(0.024)

D(LNCI (−2))

0.016

(0.024)

D(LNCI (−3))

−0.015

(0.025)

D(LNCI (−4))

−0.027

(0.024)

D(LNMCI (−1))

−0.126

−0.025

(0.160)

(0.022)

D(LNMCI (−2))

−0.027

(0.022)

D(LNMCI (−3))

−0.011

(0.022)

D(LNMCI (−4))

0.030

(0.022)

D(LNGCI (−1))

0.045

(0.047)

D(LNGCI (−2))

0.007

(0.047)

D(LNSCI (−1))

0.016

(0.030)

D(LNSCI (−2))

0.098

(0.030)

C

0.009

0.013

(0.004)

(0.002)

R-squared

0.071

0.192

0.249

Adj. R-squared

0.055

0.166

0.207

Sum sq. resids

0.912

0.092

0.017

S.E. equation

0.063

0.020

0.009

F-statistic

4.334

7.558

5.964

Log likelihood

313.309

576.442

763.732

Akaike AIC

−2.658

−4.922

−6.557

Schwarz SC

−2.584

−4.802

−6.362

Mean dependent

0.007

0.009

0.011

S.D. dependent

0.065

0.022

0.010