Table 9 VECM model for logs of SMP...

Table 9

VECM model for logs of SMP prices

Cointegrating Eq	CointEq1	CointEq2	CointEq3
EU_SMP(-1)	1	0	0
OCEANIA_SMP(-1)	0	1	0
US_SMP(-1)	0	0	1
GDT_SMP_CP2(-1)	−0.984	−0.999	−1.037
C	−0.086	−0.037	0.338

Error correction	ΔEU_SMP	ΔOCEANIA_SMP	ΔUS_SMP	ΔGDT_SMP_CP2
CointEq1	−0.061**(−0.026)	0.109**(−0.049)	0.112**(−0.046)	0.156**(−0.064)
CointEq2	−0.038(−0.040)	−0,367***(−0.075)	0.068(−0.070)	0.036(−0.098)
CointEq3	0.043*(−0.023)	0.009(−0.044)	−0.139***(−0.041)	0.041(−0.058)
ΔEU_SMP(-1)	0.364***(−0.064)	0.243**(−0.122)	−0.122(−0.114)	0.268*(−0.159)
ΔOCEANIA_SMP(-1)	−0.060(−0.043)	0.013(−0.081)	−0.007(−0.076)	0.061(−0.106)
ΔUS_SMP(-1)	0.210***(−0.044)	0.267***(-0.084)	0.601***(−0.078)	0.406***(−0.109)
ΔGDT_SMP_CP2(-1)	0.058(−0.040)	0.154**(−0.077)	0.003(−0.072)	0.045(−0.100)
R-squared	0.476	0.376	0.271	0.211

Error correction	ΔEU_SMP	ΔOCEANIA_SMP	ΔUS_SMP	ΔGDT_SMP_CP2
CointEq1	−0.061**(−0.026)	0.109**(−0.049)	0.112**(−0.046)	0.156**(−0.064)
CointEq2	−0.038(−0.040)	−0,367***(−0.075)	0.068(−0.070)	0.036(−0.098)
CointEq3	0.043*(−0.023)	0.009(−0.044)	−0.139***(−0.041)	0.041(−0.058)
ΔEU_SMP(-1)	0.364***(−0.064)	0.243**(−0.122)	−0.122(−0.114)	0.268*(−0.159)
ΔOCEANIA_SMP(-1)	−0.060(−0.043)	0.013(−0.081)	−0.007(−0.076)	0.061(−0.106)
ΔUS_SMP(-1)	0.210***(−0.044)	0.267***(-0.084)	0.601***(−0.078)	0.406***(−0.109)
ΔGDT_SMP_CP2(-1)	0.058(−0.040)	0.154**(−0.077)	0.003(−0.072)	0.045(−0.100)
R-squared	0.476	0.376	0.271	0.211

	Statistic	p-value
LM(1)	14.371	0.571
LM(12)	12.697	0.695
LM(24)	18.406	0.301
J-B	1,244.742	0.000***

Note(s): Lags and standard errors are in parentheses. ***, ** and*denote significance level of 1% 5% and 10%, respectively. Statistically significant price relationships shaded

Source(s): Own calculations

[ViewLarge]

Sharing Unavailable