vec y x1 x2 x3 x4 x5, rank(2) lag(3)
Vector error-correction model
Sample: 4 - 20 No. of obs = 17
AIC = -64.91668
Log likelihood = 649.7918 HQIC = -64.43923
Det(Sigma_ml) = 2.54e-41 SBIC = -60.11345
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
D_y 15 .017865 0.6234 1.554831 1.0000
D_x1 15 5877.22 0.9964 279.3678 0.0000
D_x2 15 2275.92 0.9993 1401.451 0.0000
D_x3 15 338.23 0.9984 614.671 0.0000
D_x4 15 1926.04 0.9982 548.2442 0.0000
D_x5 15 .014354 0.9982 391.8571 0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
D_y |
_ce1 |
L1. | -3.01e-09 1.47e-08 -0.20 0.838 -3.18e-08 2.57e-08
|
_ce2 |
L1. | -3.50e-06 .0000103 -0.34 0.735 -.0000238 .0000168
|
y |
LD. | -.8306493 2.076038 -0.40 0.689 -4.899609 3.238311
L2D. | -.1246354 1.443061 -0.09 0.931 -2.952983 2.703712
|
x1 |
LD. | 3.72e-06 .0000141 0.26 0.793 -.000024 .0000314
L2D. | 4.62e-06 .0000204 0.23 0.821 -.0000354 .0000446
|
x2 |
LD. | 3.07e-06 .000016 0.19 0.848 -.0000283 .0000344
L2D. | 8.25e-07 4.96e-06 0.17 0.868 -8.89e-06 .0000105
|
x3 |
LD. | .0001157 .0004829 0.24 0.811 -.0008308 .0010622
L2D. | -9.99e-06 .0000798 -0.13 0.900 -.0001665 .0001465
|
x4 |
LD. | -.0000266 .000113 -0.24 0.814 -.000248 .0001948
L2D. | -.000023 .0001225 -0.19 0.851 -.0002632 .0002171
|
x5 |
LD. | -.1695903 .807128 -0.21 0.834 -1.751532 1.412352
L2D. | -.2866281 1.261133 -0.23 0.820 -2.758404 2.185147
|
_cons | -.0078787 .0759834 -0.10 0.917 -.1568034 .141046
-------------+----------------------------------------------------------------
D_x1 |
_ce1 |
L1. | .0019986 .004826 0.41 0.679 -.0074601 .0114573
|
_ce2 |
L1. | 1.107112 3.403063 0.33 0.745 -5.562768 7.776992
|
y |
LD. | 176940.1 682966.5 0.26 0.796 -1161650 1515530
L2D. | -189010.9 474732.3 -0.40 0.691 -1119469 741447.4
|
x1 |
LD. | -2.703065 4.650774 -0.58 0.561 -11.81841 6.412285
L2D. | -2.547857 6.710174 -0.38 0.704 -15.69956 10.60384
|
x2 |
LD. | -1.990198 5.266155 -0.38 0.705 -12.31167 8.331276
L2D. | 1.530371 1.630848 0.94 0.348 -1.666033 4.726774
|
x3 |
LD. | -53.41282 158.8721 -0.34 0.737 -364.7964 257.9708
L2D. | 4.93774 26.2672 0.19 0.851 -46.54503 56.42051
|
x4 |
LD. | 17.61213 37.16069 0.47 0.636 -55.2215 90.44575
L2D. | 11.25712 40.30652 0.28 0.780 -67.74222 90.25645
|
x5 |
LD. | 92307.61 265525.7 0.35 0.728 -428113.1 612728.3
L2D. | 116408.6 414882.4 0.28 0.779 -696745.9 929563.2
|
_cons | -1091.215 24996.7 -0.04 0.965 -50083.86 47901.42
-------------+----------------------------------------------------------------
D_x2 |
_ce1 |
L1. | .0018034 .0018688 0.96 0.335 -.0018595 .0054662
|
_ce2 |
L1. | 3.611651 1.317816 2.74 0.006 1.028779 6.194523
|
y |
LD. | 432884.8 264474.8 1.64 0.102 -85476.17 951245.8
L2D. | -33978.44 183837.3 -0.18 0.853 -394292.9 326336
|
x1 |
LD. | -2.40187 1.800985 -1.33 0.182 -5.931736 1.127995
L2D. | .215655 2.598475 0.08 0.934 -4.877263 5.308573
|
x2 |
LD. | -1.958788 2.039287 -0.96 0.337 -5.955718 2.038142
L2D. | -2.809261 .6315363 -4.45 0.000 -4.047049 -1.571473
|
x3 |
LD. | -46.94146 61.52228 -0.76 0.445 -167.5229 73.64
L2D. | 13.48967 10.17182 1.33 0.185 -6.446729 33.42607
|
x4 |
LD. | 12.50492 14.39026 0.87 0.385 -15.69947 40.70931
L2D. | 8.366536 15.60846 0.54 0.592 -22.22549 38.95856
|
x5 |
LD. | 159893.5 102823.2 1.56 0.120 -41636.36 361423.4
L2D. | 174794.2 160660.8 1.09 0.277 -140095.1 489683.5
|
_cons | -211.3085 9679.826 -0.02 0.983 -19183.42 18760.8
-------------+----------------------------------------------------------------
D_x3 |
_ce1 |
L1. | .0001296 .0002777 0.47 0.641 -.0004147 .000674
|
_ce2 |
L1. | .1522534 .1958439 0.78 0.437 -.2315935 .5361003
|
y |
LD. | 6255.664 39304.24 0.16 0.874 -70779.24 83290.56
L2D. | -17714.75 27320.51 -0.65 0.517 -71261.97 35832.47
|
x1 |
LD. | -.1714003 .2676488 -0.64 0.522 -.6959822 .3531817
L2D. | -.1843709 .3861658 -0.48 0.633 -.9412419 .5725002
|
x2 |
LD. | -.1295627 .3030635 -0.43 0.669 -.7235563 .4644308
L2D. | .0392091 .0938542 0.42 0.676 -.1447417 .2231598
|
x3 |
LD. | -3.091589 9.142977 -0.34 0.735 -21.0115 14.82832
L2D. | -.0557074 1.511659 -0.04 0.971 -3.018505 2.90709
|
x4 |
LD. | 1.061856 2.138572 0.50 0.620 -3.129668 5.253379
L2D. | .7957657 2.319612 0.34 0.732 -3.75059 5.342122
|
x5 |
LD. | 7614.991 15280.81 0.50 0.618 -22334.86 37564.84
L2D. | 8566.118 23876.19 0.36 0.720 -38230.35 55362.59
|
_cons | 972.1632 1438.543 0.68 0.499 -1847.329 3791.655
-------------+----------------------------------------------------------------
D_x4 |
_ce1 |
L1. | .0006576 .0015815 0.42 0.678 -.0024422 .0037573
|
_ce2 |
L1. | .4921802 1.115226 0.44 0.659 -1.693624 2.677984
|
y |
LD. | -13231.52 223816.7 -0.06 0.953 -451904.3 425441.2
L2D. | -109822.6 155575.8 -0.71 0.480 -414745.5 195100.3
|
x1 |
LD. | -.9470168 1.524117 -0.62 0.534 -3.934232 2.040198
L2D. | -1.034814 2.199009 -0.47 0.638 -5.344792 3.275163
|
x2 |
LD. | -.6679957 1.725785 -0.39 0.699 -4.050473 2.714481
L2D. | .5840889 .5344494 1.09 0.274 -.4634127 1.631591
|
x3 |
LD. | -15.42961 52.06439 -0.30 0.767 -117.4739 86.61471
L2D. | -.1342157 8.608093 -0.02 0.988 -17.00577 16.73734
|
x4 |
LD. | 5.609006 12.17803 0.46 0.645 -18.25949 29.4775
L2D. | 4.187871 13.20895 0.32 0.751 -21.7012 30.07695
|
x5 |
LD. | 25666.67 87016.1 0.29 0.768 -144881.8 196215.1
L2D. | 23356.12 135962.2 0.17 0.864 -243124.9 289837.1
|
_cons | 3704.446 8191.735 0.45 0.651 -12351.06 19759.95
-------------+----------------------------------------------------------------
D_x5 |
_ce1 |
L1. | 1.54e-08 1.18e-08 1.31 0.191 -7.67e-09 3.85e-08
|
_ce2 |
L1. | .0000281 8.31e-06 3.38 0.001 .0000118 .0000444
|
y |
LD. | 2.952902 1.668011 1.77 0.077 -.3163402 6.222145
L2D. | -3.399679 1.15944 -2.93 0.003 -5.672141 -1.127218
|
x1 |
LD. | -.0000258 .0000114 -2.27 0.023 -.0000481 -3.57e-06
L2D. | -.0000505 .0000164 -3.08 0.002 -.0000826 -.0000184
|
x2 |
LD. | -.0000174 .0000129 -1.36 0.175 -.0000426 7.77e-06
L2D. | -9.74e-06 3.98e-06 -2.45 0.014 -.0000175 -1.93e-06
|
x3 |
LD. | -.0006944 .000388 -1.79 0.074 -.0014549 .0000661
L2D. | .0000764 .0000642 1.19 0.234 -.0000494 .0002021
|
x4 |
LD. | .0001385 .0000908 1.53 0.127 -.0000394 .0003164
L2D. | .0001894 .0000984 1.92 0.054 -3.51e-06 .0003824
|
x5 |
LD. | -.0568227 .6484942 -0.09 0.930 -1.327848 1.214203
L2D. | 1.306428 1.013269 1.29 0.197 -.6795425 3.292398
|
_cons | .386347 .0610495 6.33 0.000 .2666922 .5060019
------------------------------------------------------------------------------
Cointegrating equations
Equation Parms chi2 P>chi2
-------------------------------------------
_ce1 4 .4603985 0.9772
_ce2 4 73.75471 0.0000
-------------------------------------------
Identification: beta is exactly identified
Johansen normalization restrictions imposed
------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1 |
y | 1 . . . . .
x1 | (omitted)
x2 | 949.3507 2392.057 0.40 0.691 -3738.994 5637.696
x3 | 27830.05 95885.87 0.29 0.772 -160102.8 215762.9
x4 | -7807.651 21900.06 -0.36 0.721 -50730.99 35115.69
x5 | 2.394083 1.65e+08 0.00 1.000 -3.23e+08 3.23e+08
_cons | -8804769 . . . . .
-------------+----------------------------------------------------------------
_ce2 |
y | -2.44e-19 . . . . .
x1 | 1 . . . . .
x2 | -.125429 1.051522 -0.12 0.905 -2.186375 1.935517
x3 | -1.136597 42.15039 -0.03 0.978 -83.74985 81.47666
x4 | -1.45285 9.627032 -0.15 0.880 -20.32149 17.41579
x5 | -.0002036 72384.82 -0.00 1.000 -141871.6 141871.6
_cons | -33749.77 . . . . .
------------------------------------------------------------------------------
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