Vector Error Correction Estimates

Date: 12/28/19 Time: 08:49

Sample (adjusted): 2012M05 2019M09

Included observations: 89 after adjustments

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

Cointegrating Eq:

CointEq1

L_N5(−1)

1.000000

L_RGDP15(−1)

−0.928992

(0.41385)

[−2.24475]

R_3REV(−1)

2.081407

(0.94942)

[2.19229]

L_BLACKREV(−1)

−0.120738

(0.06460)

[−1.86900]

L_MOBVREV(−1)

0.074653

(0.02212)

[3.37490]

L_NEERREV(−1)

−0.613001

(0.35186)

[−1.74217]

L_CPI(−1)

−0.130652

(0.03701)

[−3.53018]

@TREND(12M01)

0.026627

(0.00714)

[3.72730]

C

1.276332

Error Correction:

D(L_N5)

D(L_RGDP15)

D(R_3REV)

D(L_BLACKREV)

D(L_MOBVREV)

D(L_NEERREV)

D(L_CPI)

CointEq1

−0.223119

(0.06482)

[−3.44233]

−0.092353

(0.02055)

[4.49331]

−0.024056

(0.01197)

[2.00958]

0.094927

(0.05123)

[1.85293]

−0.209170

(0.14180)

[1.47508]

−0.058430

(0.04125)

[−1.41639]

−0.024434

(0.00739)

[3.30667]

D(L_N5(−1))

0.330899

(0.08843)

[3.74204]

−0.177826

(0.02804)

[−6.34171]

0.003366

(0.01633)

[0.20611]

−0.153002

(0.06989)

[−2.18909]

0.522664

(0.19346)

[2.70169]

0.038704

(0.05628)

[0.68771]

−0.025553

(0.01008)

[−2.53477]