ANNEXE 5
Vector Error Correction Estimates
Date: 09/28/11 Time: 02:58
Sample (adjusted): 2000Q3 2010Q4
Included observations: 42 after adjustments Standard errors in (
) & t-statistics in [ ]
Cointegrating Eq: CointEq1
IT(-1) 1.000000
ITR(-1) -0.252417
(0.05353)
[-4.71534]
|
INF(-1)
|
0.039877
|
|
|
|
|
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(0.00526)
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|
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[ 7.58501]
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LOGY(-1)
|
0.011175
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|
|
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(0.00317)
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|
|
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[ 3.52373]
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TCER(-1)
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0.001650
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|
|
|
|
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(0.00047)
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|
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|
|
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[ 3.49729]
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@TREND(00Q1)
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0.048786
|
|
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(0.00385)
|
|
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[ 12.6557]
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|
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C
|
-5.310303
|
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Error Correction:
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D(IT)
|
D(ITR)
|
D(INF)
|
D(LOGY)
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D(TCER)
|
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CointEq1
|
-0.702614
|
-0.110959
|
-0.412401
|
-2.293594
|
-5.782882
|
|
(0.16263)
|
(0.17755)
|
(0.98463)
|
(2.70925)
|
(24.4073)
|
|
[-4.32040]
|
[-0.62493]
|
[-0.41884]
|
[-0.84658]
|
[-0.23693]
|
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D(IT(-1))
|
1.534176
|
0.521239
|
-1.026189
|
-1.843796
|
-14.82725
|
|
(0.21413)
|
(0.23378)
|
(1.29645)
|
(3.56724)
|
(32.1367)
|
|
[ 7.16472]
|
[ 2.22959]
|
[-0.79154]
|
[-0.51687]
|
[-0.46138]
|
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D(ITR(-1))
|
0.605806
|
1.029233
|
1.167271
|
1.736149
|
0.509534
|
|
(0.15916)
|
(0.17377)
|
(0.96362)
|
(2.65144)
|
(23.8864)
|
|
[ 3.80635]
|
[ 5.92313]
|
[ 1.21134]
|
[ 0.65479]
|
[ 0.02133]
|
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D(INF(-1))
|
0.024580
|
0.010510
|
0.635317
|
-0.016611
|
-1.815386
|
|
(0.02128)
|
(0.02323)
|
(0.12883)
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(0.35449)
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(3.19356)
|
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[ 1.15514]
|
[ 0.45239]
|
[ 4.93130]
|
[-0.04686]
|
[-0.56845]
|
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D(LOGY(-1))
|
0.020171
|
0.027030
|
0.101171
|
0.275829
|
0.442084
|
|
(0.01163)
|
(0.01270)
|
(0.07040)
|
(0.19372)
|
(1.74520)
|
|
[ 1.73465]
|
[ 2.12908]
|
[ 1.43700]
|
[ 1.42385]
|
[ 0.25331]
|
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D(TCER(-1))
|
0.001623
|
0.002266
|
0.002086
|
-0.009186
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-0.084171
|
|
(0.00113)
|
(0.00123)
|
(0.00685)
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(0.01884)
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(0.16970)
|
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[ 1.43506]
|
[ 1.83532]
|
[ 0.30471]
|
[-0.48769]
|
[-0.49601]
|
|
C
|
0.075362
|
0.015848
|
0.008881
|
-0.007847
|
-1.135816
|
|
(0.02368)
|
(0.02586)
|
(0.14339)
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(0.39453)
|
(3.55430)
|
|
[ 3.18219]
|
[ 0.61293]
|
[ 0.06194]
|
[-0.01989]
|
[-0.31956]
|
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R-squared
|
0.794194
|
0.757235
|
0.565825
|
0.087913
|
0.024940
|
|
Adj. R-squared
|
0.758913
|
0.715618
|
0.491395
|
-0.068445
|
-0.142214
|
|
Sum sq. resids
|
0.268932
|
0.320566
|
9.858299
|
74.63729
|
6057.513
|
|
S.E. equation 0.087657
|
0.095703
|
0.530722
|
1.460306
|
13.15568
|
|
F-statistic 22.51053
|
18.19539
|
7.602118
|
0.562255
|
0.149202
|
|
Log likelihood 46.47487
|
42.78667
|
-29.15894
|
-71.66980
|
-163.9945
|
|
Akaike AIC -1.879756
|
-1.704127
|
1.721854
|
3.746181
|
8.142595
|
|
Schwarz SC -1.590144
|
-1.414515
|
2.011466
|
4.035793
|
8.432207
|
|
Mean dependent -0.103432
|
-0.118627
|
0.006626
|
-0.013657
|
-0.031995
|
|
S.D. dependent 0.178526
|
0.179462
|
0.744178
|
1.412758
|
12.30947
|
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Determinant resid covariance (dof adj.)
|
0.000467
|
|
|
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Determinant resid covariance
|
0.000188
|
|
|
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Log likelihood
|
-117.7613
|
|
|
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Akaike information criterion
|
7.560061
|
|
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Schwarz criterion
|
9.256357
|
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