Vector Error Correction Estimates

Date: 12/24/19 Time: 09:00

Sample (adjusted): 2012M05 2019M09

Included observations: 89 after adjustments

Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq:

CointEq1

L_N1(−1)

1.000000

L_RGDP15(−1)

−4.075214

(1.62532)

[−2.50732]

R_3REV(−1)

2.524685

(2.62603)

[0.96141]

L_BLACKREV(−1)

−1.896839

(0.89224)

[−2.12593]

L_MOBVREV(−1)

1.565916

(0.26851)

[5.83197]

L_NEERREV(−1)

0.608786

(0.61012)

[0.99781]

L_CPI(−1)

−7.460982

(2.07218)

[−3.60054]

@TREND(12M01)

0.043732

(0.01381)

[3.16594]

C

62.55448

Error Correction:

D(L_N1)

D(L_RGDP15)

D(R_3REV)

D(L_BLACKREV)

D(L_MOBVREV)

D(L_NEERREV)

D(L_CPI)

CointEq1

−0.109879

(0.05179)

[−2.12162]

−0.047380

(0.01126)

[−4.20767]

−0.008218

(0.00597)

[−1.37657]

−0.037826

(0.02534)

[−1.49262]

−0.304640

(0.06236)

[−4.88531]

−0.008169

(0.02000)

[−0.40847]

−0.001792

(0.00377)

[−0.47534]

D(L_N1(−1))

0.021119

(0.11537)

[0.18305]

−0.121552

(0.04657)

[−2.61012]

0.006977

(0.02469)

[0.28258]

−0.081234

(0.10481)

[−0.77508]

0.478608

(0.25789)

[1.85583]

0.029658

(0.08271)

[0.35858]

−0.034482

(0.01559)

[−2.21142]