Vector Error Correction Estimates |
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Date: 04/18/20 Time: 18:52 |
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Sample (adjusted): 2002Q2 2019Q4 |
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Included observations: 71 after adjustments |
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Standard errors in ( ) & t-statistics in [ ] |
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Cointegrating Eq: | CointEq1 |
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LTBAL(−1) | 1.000000 |
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LREER(−1) | −1.115485 |
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| (0.65059) |
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| [−1.71458] |
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LM2(−1) | 1.569845 |
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| (0.57332) |
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| [2.73819] |
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LFY(−1) | −6.420455 |
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| (2.50730) |
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| [−2.56071] |
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C | 45.35606 |
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Error Correction: | D(LTBAL) | D(LREER) | D(LM2) | D(LFY) |
CointEq1 | −0.734949 | 0.021449 | 0.004850 | 0.009431 |
| (0.14252) | (0.01454) | (0.01234) | (0.00454) |
| [−5.15680] | [1.47497] | [0.39306] | [2.07895] |
D(LTBAL(−1)) | −0.005552 | −0.008769 | −0.005252 | 0.002223 |
| (0.12567) | (0.01282) | (0.01088) | (0.00400) |
| [−0.04418] | [−0.68386] | [−0.48279] | [0.55574] |
D(LREER(−1)) | −2.383506 | 0.191148 | −0.046135 | −0.065171 |
| (1.14966) | (0.11730) | (0.09953) | (0.03659) |
| [−2.07323] | [1.62953] | [−0.46354] | [−1.78089] |
D(LM2(−1)) | 1.457197 | −0.053368 | −0.294281 | 0.195558 |
| (1.44071) | (0.14700) | (0.12472) | (0.04586) |
| [1.01144] | [−0.36305] | [−2.35948] | [4.26433] |
D(LFY(−1)) | −3.629796 | 0.538029 | −0.448152 | −0.140672 |
| (3.11178) | (0.31750) | (0.26939) | (0.09905) |
| [−1.16647] | [1.69456] | [−1.66359] | [−1.42021] |
C | −0.847607 | 0.000963 | 0.097349 | 0.009099 |
| (0.27539) | (0.02810) | (0.02384) | (0.00877) |
| [−3.07787] | [0.03428] | [4.08336] | [1.03801] |
LDY | 0.825731 | −0.008294 | −0.031722 | −0.007411 |
| (0.22778) | (0.02324) | (0.01972) | (0.00725) |
| [3.62519] | [−0.35687] | [−1.60873] | [−1.02210] |
DUM_REER | −0.180804 | 0.146502 | 0.046250 | −0.003802 |
| (0.49496) | (0.05050) | (0.04285) | (0.01575) |
| [−0.36529] | [2.90093] | [1.07939] | [−0.24132] |
R-squared | 0.409672 | 0.221476 | 0.156812 | 0.430971 |
Adj. R-squared | 0.344080 | 0.134974 | 0.063124 | 0.367746 |
Sum sq. resids | 14.68048 | 0.152833 | 0.110022 | 0.014874 |
S.E. equation | 0.482725 | 0.049254 | 0.041790 | 0.015366 |
F-statistic | 6.245759 | 2.560344 | 1.673772 | 6.816425 |
Log likelihood | −44.79092 | 117.2639 | 128.9316 | 199.9688 |
Akaike AIC | 1.487068 | −3.077857 | −3.406523 | −5.407573 |
Schwarz SC | 1.742018 | −2.822907 | −3.151573 | −5.152623 |
Mean dependent | 0.029317 | −0.003109 | 0.047438 | 0.009481 |
S.D. dependent | 0.596039 | 0.052957 | 0.043175 | 0.019324 |
Determinant resid covariance (dof adj.) | 2.18E−10 |
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Determinant resid covariance | 1.35E−10 |
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Log likelihood | 403.8270 |
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Akaike information criterion | −10.36132 |
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Schwarz criterion | −9.214048 |
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