Vector Error Correction Estimates |
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Date: 12/28/19 Time: 09:52 |
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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_CC(−1) | 1.000000 |
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L_RGDP15(−1) | −3.934100 (1.47289) [−2.67101] |
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R_3REV(−1) | 4.037858 (1.97204) [2.04755] |
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L_BLACKREV(−1) | −1.246119 (0.69920) [−1.78221] |
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L_MOBVREV(−1) | 1.126389 (0.20365) [5.53111] |
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L_NEERREV(−1) | 0.998208 (0.46707) [2.13719] |
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L_CPI(−1) | −4.376856 (1.57833) [−2.77310] |
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@TREND(12M01) | 0.032403 (0.01103) [2.93821] |
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C | 4.981307 |
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Error Correction: | D(L_CC) | D(L_RGDP15) | D(R_3REV) | D(L_BLACKREV) | D(L_MOBVREV) | D(L_NEERREV) | D(L_CPI) |
CointEq1 | −0.249118 (0.11336) [−2.19758] | −0.057475 (0.01432) [−4.01299] | −0.013097 (0.00839) [−1.56170] | −0.050996 (0.03534) [−1.44312] | −0.373187 (0.08852) [−4.21564] | −0.013818 (0.02837) [−0.48714] | −0.000356 (0.00532) [−0.06691] |
D(L_CC(−1)) | 0.011974 (0.08402) [0.14251] | −0.257758 (0.05151) [−5.00422] | 0.033662 (0.03016) [1.11614] | −0.169504 (0.12709) [−1.33377] | 0.793665 (0.31837) [2.49294] | 0.031692 (0.10202) [0.31066] | −0.042840 (0.01914) [−2.23806] |