ECM Regression Case 3: Unrestricted Constant and No Trend | ||||
Variable | Coefficient | Std. Error | t-Statistic | Prob. |
C | 0.518620 | 0.086906 | 5.967601 | 0.0000 |
D (INFL) | −0.000837 | 0.000671 | −1.247021 | 0.2261 |
D (UNMPL) | −0.005526 | 0.001272 | −4.343791 | 0.0003 |
D (UNMPL (−1)) | 0.004377 | 0.001425 | 3.072117 | 0.0058 |
CointEq (−1)* | −0.555860 | 0.093225 | −5.962535 | 0.0000 |
R-squared | 0.660763 | Mean dependent var | 0.000633 | |
Adjusted R-squared | 0.606485 | S.D. dependent var | 0.001991 | |
S.E. of regression | 0.001249 | Akaike info criterion | −10.38191 | |
Sum squared resid | 3.90E−05 | Schwarz criterion | −10.14838 | |
Log likelihood | 160.7287 | Hannan-Quinn criter. | −10.30720 | |
F-statistic | 12.17370 | Durbin-Watson stat | 2.395218 | |
Prob (F-statistic) | 0.000013 |
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F-Bounds Test | Null Hypothesis: No levels relationship | |||
Test Statistic | Value | Signif. | I (0) | I (1) |
F-statistic | 5.972706 | 10% | 2.45 | 3.52 |
k | 4 | 5% | 2.86 | 4.01 |
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| 2.5% | 3.25 | 4.49 |
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| 1% | 3.74 | 5.06 |