Table 5 VECM system Beta (cointegrating... | Emerald Publishing

Table 5

VECM system

	Beta (cointegrating vectors standard errors in parentheses)			Alpha (adjustment vectors)
d_GDP	1.0000		(0.00000)	−0.0017288
d_IS	−88.420		(166.32)	0.00055033
d_OS	−341.40		(66.103)	0.0038695
Equation (1): d_d_GDP	Coefficient		Std. Error	t-ratio		p-value
Const	−21670.0		17434.0	−1.243		0.2358
EC1	−0.00172882		0.00103975	−1.663		0.1203
R² 0.175373	Adjusted R² 0.111940			DW 1.635717
Equation (2): d_d_IS	Coefficient		Std. Error	t-ratio	p-value
Const	5348.96		7390.76	0.7237	0.4820
EC1	0.000550327		0.000440778	1.249	0.2339
R² 0.107072	Adjusted R² 0.038385			DW 2.927567
Equation (3): d_d_OS	Coefficient	Std. Error		t-ratio	p-value
Const	44722.9	11987.9		3.731	0.0025***
EC1	0.00386950	0.000714948		5.412	0.0001***
R² 0.692619	Adjusted R² 0.668975			DW 2.141991

	Beta (cointegrating vectors standard errors in parentheses)			Alpha (adjustment vectors)
d_GDP	1.0000		(0.00000)	−0.0017288
d_IS	−88.420		(166.32)	0.00055033
d_OS	−341.40		(66.103)	0.0038695
Equation (1): d_d_GDP	Coefficient		Std. Error	t-ratio		p-value
Const	−21670.0		17434.0	−1.243		0.2358
EC1	−0.00172882		0.00103975	−1.663		0.1203
R² 0.175373	Adjusted R² 0.111940			DW 1.635717
Equation (2): d_d_IS	Coefficient		Std. Error	t-ratio	p-value
Const	5348.96		7390.76	0.7237	0.4820
EC1	0.000550327		0.000440778	1.249	0.2339
R² 0.107072	Adjusted R² 0.038385			DW 2.927567
Equation (3): d_d_OS	Coefficient	Std. Error		t-ratio	p-value
Const	44722.9	11987.9		3.731	0.0025***
EC1	0.00386950	0.000714948		5.412	0.0001***
R² 0.692619	Adjusted R² 0.668975			DW 2.141991

Note(s): Lag order 1, 2006–2020 (T = 15), cointegration rank = 1; *p < 0.1, **p < 0.05, ***p < 0.01