Residuals:

Min

1Q

Median

3Q

Max

−1.80219

−0.00698

0.00034

0.00766

1.77779

Coefficients:

Estimate

Std. error

T-value

Pr (>|t|)

(Intercept)

−0.0218305

0.0221940

−0.984

0.3253

EPU_record

0.0016702

0.0016490

1.013

0.3112

Y_lag1

0.8246848

0.0127158

64.855

<2 × 10⁻¹⁶***

Y_lag2

0.1655712

0.0127156

13.021

<2 × 10⁻¹⁶***

EMI_lag1

0.0015907

0.0018951

0.839

0.4013

EMI_lag2

0.0021354

0.0018951

1.127

0.2599

EMU_lag1

0.0011359

0.0009247

1.228

0.2193

EMU_lag2

0.0004598

0.0009244

0.497

0.6189

EPU_lag1

0.0034340

0.0018187

1.888

0.0591

EPU_lag2

0.0023115

0.0016285

1.419

0.1558