Table 7. Vector error correction model coefficientsa and diagnostic tests
|
Cointegrating |
CointEq 1 |
CointEq2 |
CointEq3 | |
|
lnPPIt-ι |
1.000000 |
0.000000 |
0.000000 | |
|
lnIPIt-ι |
0.000000 |
1.000000 |
0.000000 | |
|
lnXREUROt-1 |
0.000000 |
0.000000 |
1.000000 | |
|
lnM1At-ι |
0.100722 [ 0.24636]b |
0.432500 [ 3.36114] |
-0.648281 [-4.99590] | |
|
TREND |
0.000237 [ 0.04329] |
-0.003577 [-2.07654] |
0.008627 [ 4.96603] | |
|
C |
-5.465342 |
-7.872801 |
-0.869331 | |
|
Error Correction: |
∆lnPPIt |
∆lnIPIt |
∆lnXREUROt |
∆lnM1At |
|
Coint.Eq1 |
-0.479967 [-3.09890] |
0.013393 [ 0.43138] |
-0.086666 [-1.96655] |
0.047808 [ 0.69695] |
|
CointEq2 |
0.906589 [ 1.72319] |
-0.121941 [-1.15627] |
0.435903 [ 2.91188] |
-0.180480 [-0.77456] |
|
CointEq3 |
0.093395 [ 0.41178] |
-0.020625 [-0.45366] |
-0.298322 [-4.62266] |
-0.171357 [-1.70589] |
|
∆lnPPIt-1 |
-0.113174 [-0.72505] |
-0.025751 [-0.82301] |
0.037446 [ 0.84312] |
0.042338 [ 0.61243] |
|
∆lnPPIt-2 |
0.200775 [ 1.46324] |
-0.023857 [-0.86737] |
-0.028477 [-0.72940] |
0.053514 [ 0.88060] |
|
∆lnPPIt-3 |
0.331507 [ 2.60738] |
0.017568 [ 0.68931] |
0.018086 [ 0.49994] |
0.050697 [ 0.90032] |
|
∆lnIPIt-1 |
0.011583 [ 0.01520] |
0.448452 [ 2.93546] |
0.010429 [ 0.04809] |
-0.409869 [-1.21430] |
|
∆lnIPIt-2 |
-0.113043 [-0.16562] |
-0.003211 [-0.02347] |
-0.468083 [-2.41025] |
-0.293916 [-0.97231] |
|
∆lnIPIt-3 |
-0.036470 [-0.05327] |
0.019099 [ 0.13916] |
0.105485 [ 0.54147] |
0.299201 [ 0.98670] |
|
∆lnXREUROt-1 |
-0.521604 [-1.18082] |
-0.172611 [-1.94938] |
0.162462 [ 1.29258] |
0.257264 [ 1.31500] |
13