Table II: Vector error correction estimates
|
Cointegrating Eq: |
CointEql | |
|
(У, - it - gt ) |
1.000 | |
|
ct |
0.92885 | |
|
============================ Error Correction: |
δ(yt -it - gt) |
======================= δ ct |
|
CointEql |
-2.389532 |
-0.981355 |
|
(0.54524) |
(0.30161) | |
|
[-4.38250] |
[-3.25376] | |
|
δ(yt-1 - it-1 - gt-1 ) |
1.020788 |
0.373852 |
|
(0.48236) |
(0.26682) | |
|
[2.11625] |
[1.40114] | |
|
δ(yt-2 - it-2 - gt-2 ) |
-0.015802 |
-0.013759 |
|
(0.50947) |
(0.28182) | |
|
[-0.03102] |
[-0.04882] | |
|
δ ct-1 |
-1.470476 |
-0.649994 |
|
(0.79101) |
(0.43756) | |
|
[-1.85897] |
[-1.48551] | |
|
δ ct-2 |
-0.065547 |
-0.075175 |
|
(0.86049) |
(0.47599) | |
|
[-0.07617] |
[-0.15793] | |
|
R-squared |
0.587589 |
0.507467 |
|
Adjusted R-squared |
0.550097 |
0.462692 |
|
Sum square residuals |
8.41E+08 |
2.57E+08 |
|
S.E. equation |
4372.412 |
2418.637 |
|
F-statistic |
15.67242 |
11.33354 |
|
============================ Determinant Residual Covariance |
======================= 9.98E+12 | |
|
Log Likelihood |
-872.3769 | |
|
Akaike Information Criteria |
36.09702 | |
|
Schwarz Criteria |
36.56032 |
( ) = standard errors
[ ] = t-statistics
22
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