Vector Error Correction Estimates

Date: 04/18/20 Time: 18:52

Sample (adjusted): 2002Q2 2019Q4

Included observations: 71 after adjustments

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

Cointegrating Eq:

CointEq1

LTBAL(−1)

1.000000

LREER(−1)

−1.115485

(0.65059)

[−1.71458]

LM2(−1)

1.569845

(0.57332)

[2.73819]

LFY(−1)

−6.420455

(2.50730)

[−2.56071]

C

45.35606

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

Determinant resid covariance

1.35E−10

Log likelihood

403.8270

Akaike information criterion

−10.36132

Schwarz criterion

−9.214048