Co-integrating regression
| Dependent variable: TAXREV | ||||
| Method: fully modified least squares (FMOLS) | ||||
| Date: October 1, 2017 Time: 14:28 | ||||
| Sample (adjusted): 2001 2015 | ||||
| Included observations: 15 after adjustments | ||||
| Co-integrating equation deterministic: C | ||||
| Long-run covariance estimate (Bartlett kernel, Newey-West fixed bandwidth = 3.0000) | ||||
| Variable | Coefficient | SE | t-Statistic | Prob. |
| FIDAUD | 0.530454 | 0.148673 | 3.567927 | 0.0044 |
| DEKAUD | 0.774450 | 0.242015 | 3.200011 | 0.0085 |
| BAKAUD | 1.244317 | 0.216079 | 5.758629 | 0.0001 |
| C | 7.213312 | 0.765173 | 9.427037 | 0.0000 |
| R2 | 0.983576 | Mean dependent var | 25.27918 | |
| Adjusted R2 | 0.979097 | SD dependent var | 1.052338 | |
| SE of regression | 0.152146 | Sum squared resid | 0.254632 | |
| Durbin–Watson stat | 1.839378 | Long-run variance | 0.012033 | |
| Dependent variable: TAXREV | ||||
| Method: fully modified least squares (FMOLS) | ||||
| Date: October 1, 2017 Time: 14:28 | ||||
| Sample (adjusted): 2001 2015 | ||||
| Included observations: 15 after adjustments | ||||
| Co-integrating equation deterministic: C | ||||
| Long-run covariance estimate (Bartlett kernel, Newey-West fixed bandwidth = 3.0000) | ||||
| Variable | Coefficient | SE | Prob. | |
| FIDAUD | 0.530454 | 0.148673 | 3.567927 | 0.0044 |
| DEKAUD | 0.774450 | 0.242015 | 3.200011 | 0.0085 |
| BAKAUD | 1.244317 | 0.216079 | 5.758629 | 0.0001 |
| C | 7.213312 | 0.765173 | 9.427037 | 0.0000 |
| 0.983576 | Mean dependent var | 25.27918 | ||
| Adjusted | 0.979097 | SD dependent var | 1.052338 | |
| SE of regression | 0.152146 | Sum squared resid | 0.254632 | |
| Durbin–Watson stat | 1.839378 | Long-run variance | 0.012033 | |
Note: Author’s Computation, 2017