Vector Autoregression Estimates
Date: 05/21/12 Time: 01:41
Sample (adjusted): 1/09/2009 12/30/2011
Included observations: 726 after adjustments
Standard errors in ( ) & t-statistics in [ ]
LNXH LNQH
LNXH(-1) 0.831813 0.069042
(0.04983) (0.07756)
[ 16.6932] [ 0.89019]
LNXH(-2) 0.130596 -0.087540
(0.06172) (0.09606)
[ 2.11601] [-0.91128]
LNXH(-3) 0.056677 0.127237
(0.05993) (0.09328)
[ 0.94574] [ 1.36407]
LNXH(-4) -0.051190 -0.120706
(0.03860) (0.06007)
[-1.32630] [-2.00928]
LNQH(-1) 0.354902 0.790095
(0.03249) (0.05056)
[ 10.9247] [ 15.6256]
LNQH(-2) -0.263480 0.067183
(0.03666) (0.05706)
[-7.18739] [ 1.17744]
LNQH(-3) -0.017010 0.127000
(0.03809) (0.05928)
[-0.44661] [ 2.14227]
LNQH(-4) -0.049798 0.017380
(0.03348) (0.05211)
[-1.48736] [ 0.33350]
C 0.072416 0.099900
(0.02687) (0.04182)
[ 2.69553] [ 2.38908]
R-squared 0.995088 0.990238
Adj. R-squared 0.995034 0.990129
Sum sq. resids 0.035859 0.086875
S.E. equation 0.007072 0.011007
F-statistic 18157.72 9091.079
Log likelihood 2569.249 2248.044
Akaike AIC -7.053027 -6.168166
Schwarz SC -6.996157 -6.111296
Mean dependent 9.645540 9.648772
S.D. dependent 0.100350 0.110790
Determinant resid covariance (dof adj.) 3.29E-09
Determinant resid covariance 3.21E-09
Log likelihood 5039.301
Akaike information criterion -13.83278
Schwarz criterion -13.71904