summary(mvar)
VAR Estimation Results:
=========================
Endogenous variables: ic, rd
Deterministic variables: both
Sample size: 67
Log Likelihood: 248.408
Roots of the characteristic polynomial:
0.6021 0.5791 0.5791 0.07685
Call:
VAR(y = lnm.diff, p = 2, type = "both")
Estimation results for equation ic:
===================================
ic = ic.l1 + rd.l1 + ic.l2 + rd.l2 + const + trend
Estimate Std. Error t value Pr(>|t|)
ic.l1 0.3136596 0.1104997 2.839 0.00615 **
rd.l1 -1.7886207 0.3932512 -4.548 2.63e-05 ***
ic.l2 0.7772773 0.1753786 4.432 3.96e-05 ***
rd.l2 -0.7246406 0.2597718 -2.790 0.00703 **
const 0.0185852 0.0187965 0.989 0.32669
trend -0.0001900 0.0004487 -0.423 0.67347
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.06956 on 61 degrees of freedom
Multiple R-Squared: 0.481, Adjusted R-squared: 0.4385
F-statistic: 11.31 on 5 and 61 DF, p-value: 9.678e-08
Estimation results for equation rd:
===================================
rd = ic.l1 + rd.l1 + ic.l2 + rd.l2 + const + trend
Estimate Std. Error t value Pr(>|t|)
ic.l1 0.3141889 0.0366191 8.580 4.45e-12 ***
rd.l1 -0.0510766 0.1303217 -0.392 0.6965
ic.l2 -0.0067795 0.0581197 -0.117 0.9075
rd.l2 0.0262809 0.0860872 0.305 0.7612
const 0.0130195 0.0062291 2.090 0.0408 *
trend -0.0002332 0.0001487 -1.568 0.1221
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.02305 on 61 degrees of freedom
Multiple R-Squared: 0.625, Adjusted R-squared: 0.5942
F-statistic: 20.33 on 5 and 61 DF, p-value: 6.978e-12
Covariance matrix of residuals:
ic rd
ic 0.004838 -0.0002840
rd -0.000284 0.0005313
Correlation matrix of residuals:
ic rd
ic 1.0000 -0.1772
rd -0.1772 1.0000
Estimation results for equation ic:
===================================
ic = ic.l1 + rd.l1 + ic.l2 + rd.l2 + const + trend
Estimate Std. Error t value Pr(>|t|)
ic.l1 0.3136596 0.1104997 2.839 0.00615 **
rd.l1 -1.7886207 0.3932512 -4.548 2.63e-05 ***
ic.l2 0.7772773 0.1753786 4.432 3.96e-05 ***
rd.l2 -0.7246406 0.2597718 -2.790 0.00703 **
const 0.0185852 0.0187965 0.989 0.32669
trend -0.0001900 0.0004487 -0.423 0.67347
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.06956 on 61 degrees of freedom
Multiple R-Squared: 0.481, Adjusted R-squared: 0.4385
F-statistic: 11.31 on 5 and 61 DF, p-value: 9.678e-08
Covariance matrix of residuals:
ic rd
ic 0.004838 -0.0002840
rd -0.000284 0.0005313
Correlation matrix of residuals:
ic rd
ic 1.0000 -0.1772
rd -0.1772 1.0000