Short run dynamics
| Dependent Variable: Nifty variable | Coefficient | Standard error | t-statistics | p-value |
|---|---|---|---|---|
| D(WACR(−2)) | 0.214363 | 0.057962 | 3.698319 | 0.0003 |
| D(WPI(−1)) | −1.286072 | 0.608026 | −2.115161 | 0.0361 |
| D(EXE) | −1.215701 | 0.182241 | −6.670835 | 0.0000 |
| D(DUMMY2) | 0.088354 | 0.042857 | 2.061602 | 0.0410 |
| D(DUMMY2(−1)) | 0.090268 | 0.042861 | 2.106073 | 0.0369 |
| D(DUMMY2(−3)) | 0.103509 | 0.043083 | 2.402541 | 0.0175 |
| D(DUMMY3) | −0.255279 | 0.044245 | −5.769609 | 0.0000 |
| D(DUMMY3(−1)) | 0.091662 | 0.045409 | 2.018594 | 0.0454 |
| CointEq(−1)* | −0.360140 | 0.044976 | −8.007327 | 0.0000 |
| Dependent | Coefficient | Standard error | ||
|---|---|---|---|---|
| D(WACR(−2)) | 0.214363 | 0.057962 | 3.698319 | 0.0003 |
| D(WPI(−1)) | −1.286072 | 0.608026 | −2.115161 | 0.0361 |
| D(EXE) | −1.215701 | 0.182241 | −6.670835 | 0.0000 |
| D(DUMMY2) | 0.088354 | 0.042857 | 2.061602 | 0.0410 |
| D(DUMMY2(−1)) | 0.090268 | 0.042861 | 2.106073 | 0.0369 |
| D(DUMMY2(−3)) | 0.103509 | 0.043083 | 2.402541 | 0.0175 |
| D(DUMMY3) | −0.255279 | 0.044245 | −5.769609 | 0.0000 |
| D(DUMMY3(−1)) | 0.091662 | 0.045409 | 2.018594 | 0.0454 |
| CointEq(−1)* | −0.360140 | 0.044976 | −8.007327 | 0.0000 |
Source(s): Authors