Results of VECM
| Parameters | CointEq1 |
|---|---|
| Long-run coefficients from the VECM cointegration equation | |
| BCI(−1) | 1.000000 |
| PP(−1) | −0.149451 |
| (0.02838) | |
| [−5.26532] | |
| GDP(−1) | 0.152089 |
| (0.21344) | |
| [ 0.71257] | |
| PPI__OTHER_MATERIALS_(−1) | −1.664077 |
| (0.20320) | |
| [−8.18934] | |
| PPI__STEEL_(−1) | −0.043404 |
| (0.04007) | |
| [−1.08324] | |
| PPI__ELECTRICAL_(−1) | 0.405031 |
| (0.10723) | |
| [ 3.77726] | |
| C | 31.74269 |
| Parameters | CointEq1 |
|---|---|
| BCI(−1) | 1.000000 |
| PP(−1) | −0.149451 |
| (0.02838) | |
| [−5.26532] | |
| GDP(−1) | 0.152089 |
| (0.21344) | |
| [ 0.71257] | |
| PPI__OTHER_MATERIALS_(−1) | −1.664077 |
| (0.20320) | |
| [−8.18934] | |
| PPI__STEEL_(−1) | −0.043404 |
| (0.04007) | |
| [−1.08324] | |
| PPI__ELECTRICAL_(−1) | 0.405031 |
| (0.10723) | |
| [ 3.77726] | |
| C | 31.74269 |
| Short-run coefficients and adjustment terms from the VECM | |||||
|---|---|---|---|---|---|
| Parameters | Coefficient | Std. error | t-statistic | Prob. | |
| CointEq1 | C(1) | 0.025692 | 0.033126 | 0.775582 | 0.4409 |
| D(BCI(−1)) | C(2) | 0.626100 | 0.131251 | 4.770234 | 0.0000 |
| D(BCI(−2)) | C(3) | 0.122525 | 0.156938 | 0.780722 | 0.4379 |
| D(BCI(−3)) | C(4) | 0.062580 | 0.143548 | 0.435952 | 0.6644 |
| D(PP(−1)) | C(5) | 0.114233 | 0.093985 | 1.215444 | 0.2288 |
| D(PP(−2)) | C(6) | −0.184924 | 0.097998 | −1.887018 | 0.0638 |
| D(PP(−3)) | C(7) | −0.032006 | 0.095435 | −0.335367 | 0.7385 |
| D(GDP(−1)) | C(8) | 0.005308 | 0.006988 | 0.759648 | 0.4503 |
| D(GDP(−2)) | C(9) | −0.012265 | 0.007165 | −1.711789 | 0.0919 |
| D(GDP(−3)) | C(10) | 0.004202 | 0.007491 | 0.560904 | 0.5769 |
| D(PPI__OTHER_MATERIALS_(−1)) | C(11) | 0.050684 | 0.030430 | 1.665567 | 0.1008 |
| D(PPI__OTHER_MATERIALS_(−2)) | C(12) | −0.016066 | 0.032042 | −0.501402 | 0.6179 |
| D(PPI__OTHER_MATERIALS_(−3)) | C(13) | −0.033028 | 0.033041 | −0.999606 | 0.3214 |
| D(PPI__STEEL_(−1)) | C(14) | −0.177731 | 0.096614 | −1.839593 | 0.0706 |
| D(PPI__STEEL_(−2)) | C(15) | 0.000338 | 0.101362 | 0.003334 | 0.9974 |
| D(PPI__STEEL_(−3)) | C(16) | 0.088169 | 0.091008 | 0.968808 | 0.3364 |
| D(PPI__ELECTRICAL_(−1)) | C(17) | −0.056700 | 0.024282 | −2.335016 | 0.0228 |
| D(PPI__ELECTRICAL_(−2)) | C(18) | 0.037898 | 0.029754 | 1.273693 | 0.2075 |
| D(PPI__ELECTRICAL_(−3)) | C(19) | −0.027490 | 0.023437 | −1.172933 | 0.2453 |
| Constant | C(20) | 0.240933 | 0.135195 | 1.782110 | 0.0796 |
| Parameters | Coefficient | Std. error | Prob. | ||
| CointEq1 | C(1) | 0.025692 | 0.033126 | 0.775582 | 0.4409 |
| D(BCI(−1)) | C(2) | 0.626100 | 0.131251 | 4.770234 | 0.0000 |
| D(BCI(−2)) | C(3) | 0.122525 | 0.156938 | 0.780722 | 0.4379 |
| D(BCI(−3)) | C(4) | 0.062580 | 0.143548 | 0.435952 | 0.6644 |
| D(PP(−1)) | C(5) | 0.114233 | 0.093985 | 1.215444 | 0.2288 |
| D(PP(−2)) | C(6) | −0.184924 | 0.097998 | −1.887018 | 0.0638 |
| D(PP(−3)) | C(7) | −0.032006 | 0.095435 | −0.335367 | 0.7385 |
| D(GDP(−1)) | C(8) | 0.005308 | 0.006988 | 0.759648 | 0.4503 |
| D(GDP(−2)) | C(9) | −0.012265 | 0.007165 | −1.711789 | 0.0919 |
| D(GDP(−3)) | C(10) | 0.004202 | 0.007491 | 0.560904 | 0.5769 |
| D(PPI__OTHER_MATERIALS_(−1)) | C(11) | 0.050684 | 0.030430 | 1.665567 | 0.1008 |
| D(PPI__OTHER_MATERIALS_(−2)) | C(12) | −0.016066 | 0.032042 | −0.501402 | 0.6179 |
| D(PPI__OTHER_MATERIALS_(−3)) | C(13) | −0.033028 | 0.033041 | −0.999606 | 0.3214 |
| D(PPI__STEEL_(−1)) | C(14) | −0.177731 | 0.096614 | −1.839593 | 0.0706 |
| D(PPI__STEEL_(−2)) | C(15) | 0.000338 | 0.101362 | 0.003334 | 0.9974 |
| D(PPI__STEEL_(−3)) | C(16) | 0.088169 | 0.091008 | 0.968808 | 0.3364 |
| D(PPI__ELECTRICAL_(−1)) | C(17) | −0.056700 | 0.024282 | −2.335016 | 0.0228 |
| D(PPI__ELECTRICAL_(−2)) | C(18) | 0.037898 | 0.029754 | 1.273693 | 0.2075 |
| D(PPI__ELECTRICAL_(−3)) | C(19) | −0.027490 | 0.023437 | −1.172933 | 0.2453 |
| Constant | C(20) | 0.240933 | 0.135195 | 1.782110 | 0.0796 |
Standard errors in (); t-statistics in []; lag = 3
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