Cointegrating Equation: | SPOT_PRICE (−1) | FUTURE_PRICE (−1) | TREND (4/1/15) | C | ||
Long run | 1 | −1.559049 −0.41762 [−3.73315] | 0.124068 −0.0866 [1.43271] | 169.16 | ||
Error Correction: Short run | ||||||
Error Correction: | D (SPOT_PRICE) | D (FUTURE_ PRICE) | ||||
Coint Equation (1) | −0.01397 −0.00354 [−3.94668]** | 0.00735 −0.00431 [1.70614] | ||||
D (SPOT_PRICE (−1)) | −0.121486 −0.03318 [−3.66140]** | −0.065332 −0.04038 [−1.61782] | ||||
D (SPOT_PRICE (−2)) | −0.003901 −0.03289 [−0.11859] | −0.02099 −0.04004 [−0.52428] | ||||
D (FUTURE_PRICE (−1)) | −0.017509 −0.02937 [−0.59615] | 0.002894 −0.03575 [0.08095] | ||||
D (FUTURE_PRICE (−2)) | −5.01E−02 −0.02936 [−1.70825] | 0.054278 −0.03573 [1.51914] | ||||
C | −0.084828 −0.17702 [−0.47920] | 0.311561 −0.21545 [1.44610] | ||||
Adj. R-squared | 0.030656 | 2.98E−03 | ||||
S.E. equation | 5.018262 | 6.107632 | ||||
F-statistic | 6.104307 | 1.482425 | ||||
*Standard errors in ( ) & t-statistics in [ ] | ||||||