ANNEXE 4
Date: 09/28/11 Time: 02:45
Sample (adjusted): 2000Q3 2010Q4
Included observations: 42 after adjustments
Trend assumption: Linear deterministic trend (restricted) Series:
IT ITR INF LOGY TCER
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
|
Hypothesized
No. of CE(s)
|
Eigenvalue
|
Trace
Statistic
|
0.05
Critical Value
|
Prob.**
|
|
None *
|
0.827781
|
146.6108
|
88.80380
|
0.0000
|
|
At most 1 *
|
0.566466
|
72.73321
|
63.87610
|
0.0075
|
|
At most 2
|
0.457565
|
37.63026
|
42.91525
|
0.1528
|
|
At most 3
|
0.174664
|
11.93943
|
25.87211
|
0.8162
|
|
At most 4
|
0.088175
|
3.876902
|
12.51798
|
0.7599
|
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level *
denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis
(1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
|
Hypothesized
No. of CE(s)
|
Eigenvalue
|
Max-Eigen
Statistic
|
0.05
Critical Value
|
Prob.**
|
|
None *
|
0.827781
|
73.87763
|
38.33101
|
0.0000
|
|
At most 1 *
|
0.566466
|
35.10295
|
32.11832
|
0.0209
|
|
At most 2
|
0.457565
|
25.69083
|
25.82321
|
0.0520
|
|
At most 3
|
0.174664
|
8.062527
|
19.38704
|
0.8159
|
|
At most 4
|
0.088175
|
3.876902
|
12.51798
|
0.7599
|
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05
level * denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by
b'*S11*b=I):
|
IT
|
ITR
|
INF
|
LOGY
|
TCER
|
@TREND(00Q2)
|
|
12.02349
|
-3.034937
|
0.479461
|
0.134360
|
0.019838
|
0.586582
|
|
-3.741970
|
1.683502
|
-0.952867
|
-0.113043
|
-0.026400
|
-0.089033
|
|
-3.455537
|
1.854994
|
-0.091676
|
0.098232
|
-0.078184
|
-0.092550
|
|
2.305633
|
0.608883
|
0.260950
|
-0.351331
|
-0.010953
|
0.155560
|
|
4.378348
|
5.122141
|
0.209943
|
0.004813
|
0.010072
|
0.705557
|
|
Unrestricted Adjustment Coefficients (alpha):
|
|
|
|
|
D(IT)
|
-0.058437
|
-0.021235
|
0.027852
|
0.019333
|
-0.009674
|
|
D(ITR)
|
-0.009228
|
-0.006488
|
0.038379
|
0.017556
|
-0.015015
|
|
D(INF)
|
-0.034300
|
0.361002
|
-0.001097
|
0.009291
|
-0.018586
|
|
D(LOGY)
|
-0.190759
|
0.032526
|
0.054728
|
0.551800
|
0.039670
|
|
D(TCER)
|
-0.480965
|
2.089133
|
6.244615
|
-0.756246
|
2.056763
|
1 Cointegrating Equation(s): Log likelihood -117.7613
Normalized cointegrating coefficients (standard error in
parentheses)
IT ITR INF LOGY TCER @TREND(00Q2)
1.000000 -0.252417 0.039877 0.011175 0.001650 0.048786
(0.05353) (0.00526) (0.00317) (0.00047) (0.00385)
Adjustment
coefficients (standard error in parentheses)
D(IT) -0.702614
(0.16263)
D(ITR) -0.110959
(0.17755)
D(INF) -0.412401
(0.98463)
D(LOGY) -2.293594
(2.70925)
D(TCER) -5.782882
(24.4073)
2 Cointegrating Equation(s): Log likelihood -100.2098
Normalized cointegrating coefficients (standard error in
parentheses)
|
IT
|
ITR
|
INF
|
LOGY
|
TCER
|
@TREND(00Q2)
|
|
1.000000
|
0.000000
|
-0.234636
|
-0.013155
|
-0.005259
|
0.080733
|
|
|
(0.04155)
|
(0.02501)
|
(0.00379)
|
(0.00491)
|
|
0.000000
|
1.000000
|
-1.087535
|
-0.096388
|
-0.027371
|
0.126561
|
|
|
(0.16018)
|
(0.09641)
|
(0.01462)
|
(0.01892)
|
Adjustment coefficients (standard error in parentheses)
|
D(IT)
|
-0.623156
|
0.141604
|
|
(0.16421)
|
(0.04526)
|
|
D(ITR)
|
-0.086681
|
0.017086
|
|
(0.18544)
|
(0.05111)
|
|
D(INF)
|
-1.763259
|
0.711845
|
|
(0.68773)
|
(0.18955)
|
|
D(LOGY)
|
-2.415306
|
0.633701
|
|
(2.83659)
|
(0.78180)
|
|
D(TCER)
|
-13.60035
|
4.976759
|
|
(25.1722)
|
(6.93777)
|
3 Cointegrating Equation(s): Log likelihood -87.36438
Normalized cointegrating coefficients (standard error in
parentheses)
|
IT
|
ITR
|
INF
|
LOGY
|
TCER
|
@TREND(00Q2)
|
|
1.000000
|
0.000000
|
0.000000
|
0.035580
|
-0.014852
|
0.070558
|
|
|
|
(0.01982)
|
(0.00301)
|
(0.00367)
|
|
0.000000
|
1.000000
|
0.000000
|
0.129501
|
-0.071836
|
0.079402
|
|
|
|
(0.08607)
|
(0.01306)
|
(0.01594)
|
|
0.000000
|
0.000000
|
1.000000
|
0.207708
|
-0.040886
|
-0.043364
|
|
|
|
(0.11485)
|
(0.01742)
|
(0.02127)
|
Adjustment coefficients (standard error in parentheses)
D(IT) -0.719401 0.193270 -0.010338
(0.15880) (0.04786) (0.01302)
D(ITR) -0.219302 0.088279 -0.001761
(0.17263) (0.05203) (0.01415)
D(INF) -1.759468 0.709810 -0.360332
(0.71315) (0.21492) (0.05847)
D(LOGY) -2.604419 0.735220 -0.127472
(2.93897) (0.88571) (0.24097)
D(TCER) -35.17885 16.56048 -2.793753
(22.1672) (6.68052) (1.81752)
4 Cointegrating Equation(s): Log likelihood -83.33312
Normalized cointegrating coefficients (standard error in
parentheses)
IT ITR INF LOGY TCER @TREND(00Q2)
1.000000 0.000000 0.000000 0.000000 -0.009971 0.067785
(0.00259) (0.00314)
0.000000 1.000000 0.000000 0.000000 -0.054071 0.069307
(0.01089) (0.01320)
0.000000 0.000000 1.000000 0.000000 -0.012393 -0.059554
(0.01661) (0.02013)
0.000000 0.000000 0.000000 1.000000 -0.137176 0.077948
(0.05623) (0.06815)
Adjustment coefficients (standard error in parentheses)
D(IT) -0.674825 0.205042 -0.005293 -0.009508
(0.15533) (0.04665) (0.01291) (0.00474)
D(ITR) -0.178825 0.098968 0.002820 -0.002904
(0.17083) (0.05130) (0.01420) (0.00522)
D(INF) -1.738047 0.715467 -0.357907 -0.048789
(0.72389) (0.21739) (0.06016) (0.02210)
D(LOGY) -1.332172 1.071201 0.016520 -0.217796
(2.71611) (0.81567) (0.22572) (0.08293)
D(TCER) -36.92248 16.10002 -2.991096 0.578331
(22.4462) (6.74082) (1.86541) (0.68535)
| 
