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Error Correction: | D(LOG(HPSA)) | D(LOG(M2SA)) | D(LOG(RSA)) |
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CointEq1 | -0.644449 | 0.308069 | 0.208190 |
| (0.16107) | (0.14310) | (0.12672) |
| [-4.00105] | [ 2.15281] | [ 1.64296] |
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D(LOG(HPSA(-1))) | -0.161391 | -0.219779 | -0.104613 |
| (0.12580) | (0.11177) | (0.09897) |
| [-1.28292] | [-1.96644] | [-1.05704] |
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D(LOG(HPSA(-2))) | -0.316471 | -0.131778 | 0.010207 |
| (0.09356) | (0.08313) | (0.07361) |
| [-3.38239] | [-1.58528] | [ 0.13867] |
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D(LOG(M2SA(-1))) | -0.116378 | -0.541049 | 0.106900 |
| (0.11355) | (0.10088) | (0.08933) |
| [-1.02491] | [-5.36321] | [ 1.19667] |
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D(LOG(M2SA(-2))) | -0.046725 | -0.260102 | 0.060590 |
| (0.10465) | (0.09298) | (0.08233) |
| [-0.44648] | [-2.79752] | [ 0.73593] |
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D(LOG(RSA(-1))) | 0.241732 | -0.070034 | 0.178180 |
| (0.12257) | (0.10890) | (0.09643) |
| [ 1.97214] | [-0.64311] | [ 1.84775] |
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D(LOG(RSA(-2))) | -0.131875 | -0.128410 | 0.185809 |
| (0.12301) | (0.10929) | (0.09678) |
| [-1.07203] | [-1.17495] | [ 1.91998] |
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C | 0.010746 | 0.024603 | -0.003850 |
| (0.00694) | (0.00617) | (0.00546) |
| [ 1.54857] | [ 3.99047] | [-0.70525] |
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R-squared | 0.506678 | 0.342147 | 0.173819 |
Adj. R-squared | 0.474404 | 0.299110 | 0.119770 |
Sum sq. resids | 0.520886 | 0.411148 | 0.322388 |
S.E. equation | 0.069772 | 0.061988 | 0.054891 |
F-statistic | 15.69953 | 7.950061 | 3.215937 |
Log likelihood | 147.1585 | 160.7617 | 174.7457 |
Akaike AIC | -2.420148 | -2.656726 | -2.899926 |
Schwarz SC | -2.229196 | -2.465774 | -2.708974 |
Mean dependent | 0.005273 | 0.012876 | -0.003526 |
S.D. dependent | 0.096240 | 0.074043 | 0.058506 |
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Determinant resid covariance (dof adj.) | 5.47E-08 |
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Determinant resid covariance | 4.40E-08 |
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Log likelihood | 484.4364 |
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Akaike information criterion | -7.955415 |
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Schwarz criterion | -7.310953 |
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