Table 11 VECM for logs of butter prices...

Table 11

VECM for logs of butter prices

Cointegrating Eq	CointEq1
GDT_BUTIER_CP2(-1)	1
EU_BUTTER(-1)	0.130
OCEANIA_BUTTER(-1)	−1.201
U S_BUTTER(-1)	−0.070
C	1.189

Error correction	ΔGDT_BUTTER_CP2	ΔBU_BUTTER	ΔOCEANIA_BUTTER	ΔUS_BUTTER
CointEq1	−0.189*(−0.114)	0.057(−0.046)	0.303***(−0.071)	0.115(−0.103)
ΔEU_BUTTER(-1)	0.209*(−0.119)	−0.049(−0.048)	0.119(−0.074)	−0.178*(−0.108)
ΔOCEAN1A_BUTTER(-1)	0.323*(−0.168)	0.515***(−0.067)	0.186*(−0.104)	0.027(−0.152)
ΔUS_BUTTER(-1)	0.121(−0.144)	0.137**(−0.058)	0.108(−0.089)	0.089(−0.130)
ΔGDT_BUTTER_CP2(-1)	−0.078(−0.086)	0.076**(−0.035)	0.040(−0.054)	0.185**(−0.078)
R-squared	0.098	0.379	0.330	0.050

Error correction	ΔGDT_BUTTER_CP2	ΔBU_BUTTER	ΔOCEANIA_BUTTER	ΔUS_BUTTER
CointEq1	−0.189*(−0.114)	0.057(−0.046)	0.303***(−0.071)	0.115(−0.103)
ΔEU_BUTTER(-1)	0.209*(−0.119)	−0.049(−0.048)	0.119(−0.074)	−0.178*(−0.108)
ΔOCEAN1A_BUTTER(-1)	0.323*(−0.168)	0.515***(−0.067)	0.186*(−0.104)	0.027(−0.152)
ΔUS_BUTTER(-1)	0.121(−0.144)	0.137**(−0.058)	0.108(−0.089)	0.089(−0.130)
ΔGDT_BUTTER_CP2(-1)	−0.078(−0.086)	0.076**(−0.035)	0.040(−0.054)	0.185**(−0.078)
R-squared	0.098	0.379	0.330	0.050

	Statistic	p-value
LM(1)	17.351	0.363
LM(12)	11.085	0.745
LM(24)	36.412	0.003***
J-B	593.229	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