Vector Error Correction Estimates

Date: 12/24/19 Time: 15:59

Sample (adjusted): 2012M06 2019M09

Included observations: 88 after adjustments

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

Cointegrating Eq:

CointEq1

L_N2(−1)

1.000000

L_RGDP15(−1)

−1.679107

(0.81512)

[−2.05996]

R_3REV(−1)

−2.710499

(2.05181)

[−1.32103]

L_BLACKREV(−1)

−2.750164

(0.62099)

[−4.42865]

L_MOBVREV(−1)

0.427459

(0.22477)

[1.90600]

L_NEERREV(−1)

0.740581

(0.70464)

[1.05100]

L_CPI(−1)

−5.537725

(1.70496)

[−3.24801]

Error Correction:

D(L_N2)

D(L_RGDP15)

D(R_3REV)

D(L_BLACKREV)

D(L_MOBVREV)

D(L_NEERREV)

D(L_CPI)

CointEq1

−0.063725

(0.03442)

[−1.85129]

−0.043956

(0.00767)

[−5.72893]

−0.000158

(0.00573)

[−0.02764]

−0.015076

(0.00387)

[−3.89560]

−0.173924

(0.07012)

[−2.48029]

−0.017907

(0.01997)

[−0.89689]

−0.020196

(0.00366)

[−5.51803]

D(L_N2(−1))

0.153215

(0.12599)

[1.21612]

−0.000443

(0.02808)

[−0.01576]

−0.007882

(0.02099)

[−0.37559]

0.043256

(0.08738)

[0.49504]

0.088734

(0.25665)

[0.34573]

−0.007603

(0.07307)

[−0.10404]

0.008077

(0.01339)

[0.60324]