(a)

Variable

Coefficient

Std. Error

t-statistic

Prob

$D\left(\ln x_1\right)$

0.318800

0.038797

8.217101

0.0000

$D\left(\ln x_1\left(-1\right)\right)$

0.172293

0.043278

3.981128

0.0001

$D\left(\ln x_1\left(-2\right)\right)$

0.089559

0.042981

2.083665

0.0394

$D\left(\ln x_1\left(-3\right)\right)$

0.332373

0.039125

8.495103

0.0000

$D\left(\ln x_2\right)$

0.328854

0.052381

6.278175

0.0000

AR (1)

−0.999

0.009

−114.373

0.000

MA (1)

−0.243

0.074

−3.303

0.001

MA (2)

0.739

0.074

10.022

0.000

(b)

R²

0.999

Adjusted-R²

0.998

Predicted-R²

0.999

Std. error of regression

0.0014

F-statistic

42957

Critical value

2.71