Vector Error Correction Estimates

Date: 12/28/19 Time: 09:52

Sample (adjusted): 2012M05 2019M09

Included observations: 89 after adjustments

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

Cointegrating Eq:

CointEq1

L_CC(−1)

1.000000

L_RGDP15(−1)

−3.934100

(1.47289)

[−2.67101]

R_3REV(−1)

4.037858

(1.97204)

[2.04755]

L_BLACKREV(−1)

−1.246119

(0.69920)

[−1.78221]

L_MOBVREV(−1)

1.126389

(0.20365)

[5.53111]

L_NEERREV(−1)

0.998208

(0.46707)

[2.13719]

L_CPI(−1)

−4.376856

(1.57833)

[−2.77310]

@TREND(12M01)

0.032403

(0.01103)

[2.93821]

C

4.981307

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]