| ECM | Y5 |
| Y6 |
| Y7 |
| Y8 |
| EC | 0.591 (1.483) |
| −1.021 (0.226) |
| −0.074 (0.080) |
| −0.034 (0.665) |
| Y5 (−1) | −1.691 (1.388) | Y6 (−1) | −0.150 (0.172) | Y7 (−1) | 0.085 (0.176) | Y8 (−1) | −0.828 (0.710) |
| Y5 (−2) | −1.630 (1.171) | Y6 (−2) | −0.083 (0.164) | Y7 (−2) | −0.204 (0.193) | Y8 (−2) | −0.749 (0.806) |
| Y5 (−3) | −0.807 (0.874) | Y6 (−3) | 0.120 (0.167) | Y7 (−3) | 0.024 (0.185) | Y8 (−3) | −0.503 (0.788) |
| Y5 (−4) | −0.131 (0.510) | Y6 (−4) | −0.107 (0.137) | Y7 (−4) | 0.224 (0.169) | Y8 (−4) | 0.286 (0.708) |
| Y5 (−5) | 0.193 (0.319) |
|
|
|
| Y8 (−5) | 0.270 (0.575) |
| Y5 (−6) | 0.226 (0.194) |
|
|
|
| Y8 (−6) | 0.294 (0.376) |
|
|
|
|
|
|
| Y8 (−7) | 0.082 (0.278) |
| X1 (−1) | 0.484 (1.586) |
| −0.903 (0.360) |
| −0.005 (0.049) |
| −0.231 (0.421) |
| X1 (−2) | 1.673 (1.915) |
| −1.274 (0.450) |
| −0.083 (0.051) |
| 0.935 (0.464) |
| X1 (−3) | 0.858 (1.196) |
| −0.676 (0.417) |
| −0.068 (0.052) |
| 0.230 (0.602) |
| X1 (−4) | 1.392 (1.340) |
| 0.541 (0.368) |
| −0.186 (0.051) |
| 0.339 (0.506) |
| X1 (−5) | −0.401 (0.698) |
|
|
|
|
| −0.111 (0.484) |
| X1 (−6) | 0.057 (0.633) |
|
|
|
|
| 0.114 (0.389) |
| X1 (−7) |
|
|
|
|
|
| 0.443 (0.344) |
| X2 (−1) | −0.251 (0.549) |
| 0.773 (0.194) |
| 0.010 (0.018) |
| −0.021 (0.098) |
| X2 (−2) | −0.122 (0.478) |
| 0.585 (0.178) |
| 0.017 (0.015) |
| 0.180 (0.095) |
| X2 (−3) | −0.238 (0.436) |
| 0.688 (0.157) |
| 0.042 (0.015) |
| 0.084 (0.100) |
| X2 (−4) | −0.200 (0.358) |
| 0.399 (0.145) |
| 0.019 (0.015) |
| −0.124 (0.111) |
| X2 (−5) | −0.238 (0.258) |
|
|
|
|
| −0.065 (0.123) |
| X2 (−6) | −0.136 (0.232) |
|
|
|
|
| −0.177 (0.106) |
| X2 (−7) |
|
|
|
|
|
| −0.112 (0.112) |
| X3 (−1) | 0.654 (0.744) |
| −0.693 (0.198) |
| −0.045 (0.023) |
| 0.3422 (0.240) |
| X3 (−2) | 0.612 (0.647) |
| −0.568 (0.190) |
| −0.012 (0.022) |
| 0.192 (0.254) |
| X3 (−3) | 0.447 (0.575) |
| −0.510 (0.183) |
| −0.061 (0.020) |
| 0.086 (0.291) |
| X3 (−4) | 0.051 (0.387) |
| −0.529 (0.170) |
| −0.024 (0.020) |
| 0.223 (0.263) |
| X3 (−5) | −0.031 (0.251) |
|
|
|
|
| 0.081 (0.216) |
| X3 (−6) | −0.213 (0.220) |
|
|
|
|
| 0.070 (0.165) |
| X3 (−7) |
|
|
|
|
|
| 0.127 (0.126) |
| C | 0.093 (0.066) |
| 0.051 (0.031) |
| 0.020 (0.007) |
|
|
| R-squared | 0.815 |
| 0.812 |
| 0.657 |
| 0.883 |
| Adj. R-squared | 0.506 |
| 0.685 |
| 0.423 |
| 0.584 |
| Sum sq. resids | 0.755 |
| 0.879 |
| 0.012 |
| 0.176 |
| S.E. equation | 0.224 |
| 0.187 |
| 0.021 |
| 0.126 |
| F-statistic | 2.640 |
| 6.362 |
| 2.811 |
| 2.953 |
| Log likelihood | 23.718 |
| 22.634 |
| 115.760 |
| 51.772 |
| Akaike AIC | 0.111 |
| −0.216 |
| −4.547 |
| −1.139 |
| Schwarz SC | 1.198 |
| 0.522 |
| −3.810 |
| 0.086 |
| Mean dependent | 0.015 |
| 0.017 |
| 0.019 |
| −0.002 |
| S.D. dependent | 0.319 |
| 0.334 |
| 0.028 |
| 0.196 |