Vector Error Correction Estimates |
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Date: 12/28/19 Time: 09:27 |
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Sample (adjusted): 2012M05 2019M09 |
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Included observations: 89 after adjustments |
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Standard errors in ( ) & t-statistics in [ ] |
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Cointegrating Eq: | CointEq1 |
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L_N10(−1) | 1.000000 |
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L_RGDP15(−1) | −6.355025 (1.99651) [−3.18307] |
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R_3REV(−1) | 6.201132 (2.61422) [2.37208] |
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L_BLACKREV(−1) | −1.771687 (0.95581) [−1.85360] |
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L_MOBVREV(−1) | 1.597664 (0.27034) [5.90977] |
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L_NEERREV(−1) | 1.452689 (0.60993) [2.38171] |
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L_CPI(−1) | −4.568381 (2.10781) [−2.16736] |
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@TREND(12M01) | 0.045043 |
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C | 3.174367 |
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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] |