ECM

D(LNDRR)

D(NCS)

D(LNIBOR)

D(LNER)

EC

−0.011

−1.512

0.010

−0.002

(0.002)

(0.196)

(0.019)

(0.003)

D(LNDRR (−1))

0.039

D( NCS (−1))

0.423

D(LNIBOR(−1))

−0.344

D(LNER (−1))

0.300

(0.066)

(0.173)

(0.067)

(0.068)

D(LNDRR (−2))

0.056

D( NCS (−2))

0.185

D(LNIBOR(−2))

−0.251

D(LNER (−2))

−0.026

(0.062)

(0.143)

(0.065)

(0.068)

D( NCS (−3))

0.100

(0.105)

D( NCS (−4))

0.095

(0.073)

D(LNCI (−1))

−0.015

0.274

−0.012

(0.052)

(0.536)

(0.016)

D(LNCI (−2))

0.065

−0.564

0.005

(0.052)

(0.534)

(0.016)

D(LNECI (−1))

0.056

(0.018)

D(LNECI (−2))

0.024

(0.018)

D(LNCCI (−1))

0.051

0.010

(0.020)

(0.013)

D(LNCCI (−2))

−0.006

−0.009

(0.021)

(0.012)

D(LNMCI (−1))

−0.054

0.162

(0.040)

(0.485)

D(LNMCI (−2))

−0.040

0.927

(0.041)

(0.488)

D(LNGCI (−1))

−5991.706

(7900.700)

D(LNGCI (−2))

6622.177

(7986.440)

D(LNGCI (−3))

−2910.899

(8003.320)

D(LNGCI (−4))

−10737.380

(7914.770)

C

0.002

−11.395

−0.005

−0.000

(0.001)

(239.243)

(0.013)

(0.001)

R-squared

0.395

0.564

0.159

0.088

Adj. R-squared

0.365

0.546

0.132

0.060

Sum sq. resids

0.056

2.86E+09

8.926

0.023

S.E. equation

0.016

3615.151

0.200

0.010

F-statistic

13.001

31.503

6.018

3.082

Log likelihood

633.371

−2195.996

47.993

734.441

Akaike AIC

−5.380

19.266

−0.346

−6.290

Schwarz SC

−5.201

19.416

−0.227

−6.170

Mean dependent

0.001

17.687

−0.001

−0.001

S.D. dependent

0.020

5367.112

0.215

0.011