Vector Error Correction Estimates

Date: 12/28/19 Time: 09:27

Sample (adjusted): 2012M05 2019M09

Included observations: 89 after adjustments

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

Cointegrating Eq:

CointEq1

L_N10(−1)

1.000000

L_RGDP15(−1)

−6.355025

(1.99651)

[−3.18307]

R_3REV(−1)

6.201132

(2.61422)

[2.37208]

L_BLACKREV(−1)

−1.771687

(0.95581)

[−1.85360]

L_MOBVREV(−1)

1.597664

(0.27034)

[5.90977]

L_NEERREV(−1)

1.452689

(0.60993)

[2.38171]

L_CPI(−1)

−4.568381

(2.10781)

[−2.16736]

@TREND(12M01)

0.045043

C

3.174367

Error Correction:

D(L_N10)

D(L_RGDP15)

D(R_3REV)

D(L_BLACKREV)

D(L_MOBVREV)

D(L_NEERREV)

D(L_CPI)

CointEq1

−0.206758

(0.10166)

[−2.03373]

−0.044892

(0.01072)

[−4.18820]

−0.007557

(0.00626)

[−1.20756]

−0.034352

(0.02584)

[−1.32947]

−0.268141

(0.06315)

[−4.24592]

−0.011569

(0.02073)

[−0.55814]

−0.000367

(0.00374)

[−0.09823]

D(L_N10(−1))

−0.032618

(0.09004)

[−0.36227]

−0.279800

(0.05798)

[−4.82545]

0.032211

(0.03385)

[0.95148]

−0.093771

(0.13978)

[−0.67085]

0.838982

(0.34163)

[2.45581]

0.044278

(0.11213)

[0.39489]

−0.059760

(0.02024)

[−2.95319]

D(L_N10(−2))

−0.127083

(0.11676)

[−1.08838]

−0.031288

(0.07520)

[−0.41608]

0.017605

(0.04390)

[0.40100]

0.068926

(0.18127)

[0.38023]

0.292635

(0.44304)

[0.66051]

0.150872

(0.14541)

[1.03756]

−0.028480

(0.02624)

[−1.08527]