Table 13 VECM for logs of cheddar prices...

Table 13

VECM for logs of cheddar prices

Cointegrating Eq	CointEq1	CointEq2
EU_CHEDDAR(-1)	0.567	0
OCEANIA_CH EDDAR(-1)	0	−4.764
US_CHEDDAR(-1)	−3.115	7.675
GDT_CHEDDAR_CP2(-1)	1	1
C	12.733	−32.051

Error correction	ΔEU_CHEDDAR	ΔOCEANIA_CHEDDAR	ΔUS_CHEDDAR	ΔGDT_CHEDDAR_CP2
CointEq1	0.035***(−0.012)	0.058* *(−0.025)	0.062* *(−0.024)	−0.131***(−0.039)
CointEq2	0.012**(−0.005)	0.027* **(−0.011)	0.008(−0.010)	−0.057***(−0.016)
ΔEU_CHEDDAR(-1)	0.144*(−0.074)	0.241(−0.150)	−0.109(−0.149)	0.535**(−0.235)
ΔOCEANIA_CHEDDAR(-1)	0.059(−0.040)	−0.105(−0.081)	−0.008(−0.081)	0.000(−0.127)
ΔUS_CHEDDAR(-1)	0.044(−0.034)	0.082(−0.068)	0.385***(−0.068)	0.228*(−0.107)
ΔGDT_CHEDDAR_CP2(-1)	−0.012(−0.026)	0.015(−0.052)	0.019(−0.052)	0.087(−0.081)
R-squared	0.119	0.095	0.221	0.090

Error correction	ΔEU_CHEDDAR	ΔOCEANIA_CHEDDAR	ΔUS_CHEDDAR	ΔGDT_CHEDDAR_CP2
CointEq1	0.035***(−0.012)	0.058* *(−0.025)	0.062* *(−0.024)	−0.131***(−0.039)
CointEq2	0.012**(−0.005)	0.027* **(−0.011)	0.008(−0.010)	−0.057***(−0.016)
ΔEU_CHEDDAR(-1)	0.144*(−0.074)	0.241(−0.150)	−0.109(−0.149)	0.535**(−0.235)
ΔOCEANIA_CHEDDAR(-1)	0.059(−0.040)	−0.105(−0.081)	−0.008(−0.081)	0.000(−0.127)
ΔUS_CHEDDAR(-1)	0.044(−0.034)	0.082(−0.068)	0.385***(−0.068)	0.228*(−0.107)
ΔGDT_CHEDDAR_CP2(-1)	−0.012(−0.026)	0.015(−0.052)	0.019(−0.052)	0.087(−0.081)
R-squared	0.119	0.095	0.221	0.090

	Statistic	p-value
LM(1)	18.16358	0.314
LM(12)	22.04748	0.142
IM(2A)	18.3412	0.304
J-B	984.4377	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

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