| ECM | Y1 |
| Y2 |
| Y3 |
| Y4 |
| EC | 0.937 (0.519) |
| −0.384 (0.114) |
| −0.523 (0.124) |
| 0.060 (0.035) |
| Y1 (−1) | −1.972 (0.765) | Y2 (−1) | −0.664 (0.204) | Y3 (−1) | −0.390 (0.179) | Y4 (−1) | 0.113 ( 0.262) |
| Y1 (−2) | −1.868 (0.732) | Y2 (−2) | −0.689 (0.232) | Y3 (−2) | −0.510 (0.227) | Y4 (−2) | 0.124 (0.257) |
| Y1 (−3) | −1.610 (0.834) | Y2 (−3) | −0.297 (0.275) | Y3 (−3) | −0.375 (0.206) | Y4 (−3) | −0.313 (0.254) |
| Y1 (−4) | −1.312 (0.758) | Y2 (−4) | −0.224 (0.224) | Y3 (−4) | −0.109 (0.158) | Y4 (−4) | −0.166 (0.187) |
| Y1 (−5) | −1.085 (0.584) | Y2 (−5) | −0.269 (0.205) | Y3 (−5) | −0.005 (0.158) | Y4 (−5) | −0.113 (0.196) |
| Y1 (−6) | −0.196 (0.400) |
|
|
|
|
|
|
| X21 (−1) | 0.213 (0.653) |
| −0.367 (0.217) |
| 0.007 (0.010) |
| 0.016 (0.020) |
| X21 (−2) | 0.491 (0.700) |
| −0.397 (0.192) |
| −0.005 (0.011) |
| 0.021 (0.018) |
| X21 (−3) | 0.248 (0.641) |
| −0.015 (0.201) |
| −0.013 (0.012) |
| −0.029 (0.019) |
| X21 (−4) | 0.250 (0.665) |
| −0.390 (0.215) |
| −0.023 (0.012) |
| 0.016 (0.023) |
| X21 (−5) | −1.402 (0.733) |
| −0.290 (0.224) |
| −0.021 (0.014) |
| 0.014 (0.024) |
| X21 (−6) | −0.278 (1.065) |
|
|
|
|
|
|
| X22 (−1) | −1.589 (0.727) |
| 0.202 (0.110) |
| −0.019 (0.006) |
| −0.008 (0.008) |
| X22 (−2) | −0.998 (0.729) |
| 0.348 (0.105) |
| −0.012 (0.005) |
| −0.019 (0.009) |
| X22 (−3) | −0.804 (0.532) |
| 0.282 (0.101) |
| −0.005 (0.004) |
| −0.007 (0.008) |
| X22 (−4) | −0.509 (0.477) |
| 0.345 (0.098) |
| −0.006 (0.004) |
| −0.011 (0.008) |
| X22 (−5) | −0.204 (0.388) |
| 0.169 (0.097) |
| −0.004 (0.004) |
| −0.008 (0.008) |
| X22 (−6) | −0.096 (0.277) |
|
|
|
|
|
|
| X23 (−1) | 1.603 (0.959) |
| −0.224 (0.165) |
| 0.027 (0.009) |
| −0.006 (0.014) |
| X23 (−2) | 0.891 (0.772) |
| −0.279 (0.153) |
| 0.031 (0.008) |
| 0.024 (0.014) |
| X23 (−3) | 0.645 (0.578) |
| −0.327 (0.138) |
| 0.025 (0.008) |
| 0.009 (0.013) |
| X23 (−4) | 0.278 (0.420) |
| −0.453 (0.146) |
| 0.026 (0.009) |
| 0.023 (0.013) |
| X23 (−5) | 0.055 (0.372) |
| −0.230 (0.131) |
| 0.015 (0.007) |
| 0.018 (0.014) |
| X23 (−6) | −0.084 (0.319) |
|
|
|
|
|
|
| C | 0.129 (0.069) |
| 0.038 (0.020) |
| 0.003 (0.001) |
|
|
| R-squared | 0.739 |
| 0.798 |
| 0.722 |
| 0.566 |
| Adj. R-squared | 0.235 |
| 0.563 |
| 0.398 |
| 0.109 |
| Sum sq. resids | 1.051 |
| 0.169 |
| 0.001 |
| 0.002 |
| S.E. equation | 0.284 |
| 0.097 |
| 0.005 |
| 0.009 |
| F-statistic | 1.468 |
| 3.396 |
| 2.225 |
| 1.238 |
| Log likelihood | 15.133 |
| 52.547 |
| 169.768 |
| 144.772 |
| Akaike AIC | 0.557 |
| −1.527 |
| −7.388 |
| −6.189 |
| Schwarz SC | 1.666 |
| −0.598 |
| −6.460 |
| −5.302 |
| Mean dependent | 0.004 |
| 0.006 |
| 0.001 |
| 0.002 |
| S.D. dependent | 0.325 |
| 0.147 |
| 0.007 |
| 0.010 |