VECM result
| Cointegrating eq: | CointEq1 | |||
|---|---|---|---|---|
| EMP(−1) | 1 | |||
| PGR(−1) | −7.985803 (−0.85835) | |||
| EYS(−1) | 0.646576 (−0.06263) | |||
| MW(−1) | 3.56E−05 (−7.50E−06) | |||
| C | −37.8422 | |||
| Error correction: | D(EMP) | D(PGR) | D(EYS) | D(MW) |
| CointEq1 | −0.384569 (−0.20735) | 0.016437 (−0.00325) | −1.114332 (−0.69929) | 1615.89 (−6874.31) |
| D(EMP(−1)) | 0.586824 (−0.2312) | −0.018602 (−0.00362) | −0.388394 (−0.77974) | 4798.513 (−7665.16) |
| D(PGR(−1)) | 16.35335 (−5.33388) | 1.622397 (−0.08353) | 26.5987 (−17.989) | −214993.1 (−176838) |
| D(EYS(−1)) | 0.008181 (−0.11752) | −0.008142 (−0.00184) | 0.086455 (−0.39634) | −2002.705 (−3896.16) |
| D(MW(−1)) | 4.71E−06 (−1.10E−05) | −2.90E−08 (−1.80E−07) | 2.75E−06 (−3.80E−05) | −0.3811 (−0.37304) |
| C | −0.119065 (−0.03124) | −0.000891 (−0.00049) | 0.089153 (−0.10535) | 1839.735 (−1035.58) |
| R2 | 0.734664 | 0.991079 | 0.39607 | 0.252979 |
| Adj. R2 | 0.585413 | 0.986061 | 0.056359 | −0.167221 |
| Sum sq. resids | 0.195066 | 4.78E−05 | 2.218746 | 2.14E + 08 |
| S.E. equation | 0.110416 | 0.001729 | 0.372386 | 3660.697 |
| F-statistic | 4.922326 | 197.5103 | 1.165903 | 0.602045 |
| Log-likelihood | 26.71027 | 134.7831 | −4.897397 | −243.9214 |
| Akaike AIC | −1.285406 | −9.598701 | 1.145954 | 19.53242 |
| Schwarz SC | −0.801522 | −9.114818 | 1.629837 | 20.0163 |
| Mean dependent | −0.073885 | 0.0025 | 0.115385 | 1144.231 |
| S.D. dependent | 0.171484 | 0.014646 | 0.383346 | 3388.343 |
| Determinant resid covariance (dof adj.) | 0.042855 | |||
| Determinant resid covariance | 0.006146 | |||
| Log-likelihood | −81.37407 | |||
| Akaike information criterion | 9.64416 | |||
| Schwarz criterion | 11.77325 | |||
| Cointegrating eq: | CointEq1 | |||
|---|---|---|---|---|
| EMP(−1) | 1 | |||
| PGR(−1) | −7.985803 (−0.85835) | |||
| EYS(−1) | 0.646576 (−0.06263) | |||
| MW(−1) | 3.56E−05 (−7.50E−06) | |||
| C | −37.8422 | |||
| Error correction: | D(EMP) | D(PGR) | D(EYS) | D(MW) |
| CointEq1 | −0.384569 (−0.20735) | 0.016437 (−0.00325) | −1.114332 (−0.69929) | 1615.89 (−6874.31) |
| D(EMP(−1)) | 0.586824 (−0.2312) | −0.018602 (−0.00362) | −0.388394 (−0.77974) | 4798.513 (−7665.16) |
| D(PGR(−1)) | 16.35335 (−5.33388) | 1.622397 (−0.08353) | 26.5987 (−17.989) | −214993.1 (−176838) |
| D(EYS(−1)) | 0.008181 (−0.11752) | −0.008142 (−0.00184) | 0.086455 (−0.39634) | −2002.705 (−3896.16) |
| D(MW(−1)) | 4.71E−06 (−1.10E−05) | −2.90E−08 (−1.80E−07) | 2.75E−06 (−3.80E−05) | −0.3811 (−0.37304) |
| C | −0.119065 (−0.03124) | −0.000891 (−0.00049) | 0.089153 (−0.10535) | 1839.735 (−1035.58) |
| 0.734664 | 0.991079 | 0.39607 | 0.252979 | |
| Adj. | 0.585413 | 0.986061 | 0.056359 | −0.167221 |
| Sum sq. resids | 0.195066 | 4.78E−05 | 2.218746 | 2.14E + 08 |
| S.E. equation | 0.110416 | 0.001729 | 0.372386 | 3660.697 |
| 4.922326 | 197.5103 | 1.165903 | 0.602045 | |
| Log-likelihood | 26.71027 | 134.7831 | −4.897397 | −243.9214 |
| Akaike AIC | −1.285406 | −9.598701 | 1.145954 | 19.53242 |
| Schwarz SC | −0.801522 | −9.114818 | 1.629837 | 20.0163 |
| Mean dependent | −0.073885 | 0.0025 | 0.115385 | 1144.231 |
| S.D. dependent | 0.171484 | 0.014646 | 0.383346 | 3388.343 |
| Determinant resid | 0.042855 | |||
| Determinant resid covariance | 0.006146 | |||
| Log-likelihood | −81.37407 | |||
| Akaike information criterion | 9.64416 | |||
| Schwarz criterion | 11.77325 | |||
Note:
Standard errors are in ()
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