Vector Error Correction Estimates

Date: 04/18/20 Time: 19:04

Sample (adjusted): 2002Q2 2019Q4

Included observations: 71 after adjustments

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

Cointegrating Eq:

CointEq1

LIMPORT(−1)

1.000000

LREER(−1)

−1.787913

(0.54289)

[−3.29331]

LDY(−1)

0.047492

(0.50101)

[0.09479]

LM2(−1)

−0.635238

(0.20508)

[−3.09749]

C

6.435702

Error Correction:

D(LIMPORT)

D(LREER)

D(LDY)

D(LM2)

CointEq1

−0.342010

0.035194

0.043874

0.040184

(0.10128)

(0.01707)

(0.01974)

(0.01366)

[−3.37682]

[2.06184]

[2.22282]

[2.94188]

D(LIMPORT(−1))

0.022802

0.006214

−0.023639

−0.032783

(0.13055)

(0.02200)

(0.02544)

(0.01761)

[0.17466]

[0.28243]

[−0.92917]

[−1.86201]

D(LREER(−1))

0.239305

0.213334

−0.031224

−0.092534

(0.68682)

(0.11575)

(0.13385)

(0.09263)

[0.34842]

[1.84304]

[−0.23328]

[−0.99897]

D(LDY(−1))

1.635357

0.055214

−0.110985

−0.167292

(0.58664)

(0.09887)

(0.11433)

(0.07912)

[2.78766]

[0.55846]

[−0.97077]

[−2.11447]

D(LM2(−1))

0.906753

−0.082699

0.416358

−0.271193

(0.85511)

(0.14411)

(0.16665)

(0.11532)

[1.06040]

[−0.57385]

[2.49846]

[−2.35157]

C

−0.051662

3.97E−05

0.000373

0.064258

(0.05703)

(0.00961)

(0.01112)

(0.00769)

[−0.90580]

[0.00413]

[0.03356]

[8.35382]

R-squared

0.223433

0.150004

0.175683

0.181064

Adj. R-squared

0.163698

0.084619

0.112274

0.118069

Sum sq. resids

5.874933

0.166864

0.223128

0.106858

S.E. equation

0.300639

0.050667

0.058590

0.040546

F-statistic

3.740356

2.294183

2.770640

2.874266

Log likelihood

−12.27916

114.1459

103.8309

129.9676

Akaike AIC

0.514906

−3.046362

−2.755799

−3.492046

Schwarz SC

0.706118

−2.855150

−2.564586

−3.300833

Mean dependent

0.022566

−0.003109

0.017167

0.047438

S.D. dependent

0.328748

0.052957

0.062184

0.043175

Determinant resid covariance (dof adj.)

1.25E−09

Determinant resid covariance

8.79E−10

Log likelihood

337.2759

Akaike information criterion

−8.711998

Schwarz criterion

−7.819674