Vector Autoregression Estimates

Date: 05/04/10
Time: 09:28

Sample (adjusted): 1999Q3 2009Q4

Included observations: 42 after adjustments

Standard errors in ( ) & t-statistics in [ ]

I

LNM1

LNGDP

ER

I(-1)

1.207417

0.001676

0.001767

0.010678

(0.18974)

(0.00187)

(0.01323)

(0.00940)

[ 6.36363]

[ 0.89495]

[ 0.13352]

[ 1.13557]

I(-2)

-0.535698

-0.000927

0.002369

-0.011592

(0.16822)

(0.00166)

(0.01173)

(0.00834)

[-3.18454]

[-0.55847]

[ 0.20191]

[-1.39046]

LNM1(-1)

2.456208

0.996167

0.501328

0.459219

(21.2476)

(0.20970)

(1.48207)

(1.05302)

[ 0.11560]

[ 4.75045]

[ 0.33826]

[ 0.43610]

LNM1(-2)

-5.925818

0.014291

0.714856

-0.429010

(20.2111)

(0.19947)

(1.40977)

(1.00165)

[-0.29320]

[ 0.07165]

[ 0.50707]

[-0.42830]

LNGDP(-1)

-2.101304

-0.008151

-0.241480

-0.167986

(3.16135)

(0.03120)

(0.22051)

(0.15667)

[-0.66469]

[-0.26125]

[-1.09509]

[-1.07220]

LNGDP(-2)

1.674017

-0.012005

-0.192301

-0.023640

(2.72646)

(0.02691)

(0.19018)

(0.13512)

[ 0.61399]

[-0.44613]

[-1.01117]

[-0.17496]

ER(-1)

0.800665

0.029549

-0.297540

1.584262

(3.33698)

(0.03293)

(0.23276)

(0.16538)

[ 0.23994]

[ 0.89724]

[-1.27830]

[ 9.57960]

ER(-2)

-1.661139

-0.042143

0.240588

-0.614449

(3.48020)

(0.03435)

(0.24275)

(0.17248)

[-0.47731]

[-1.22697]

[ 0.99109]

[-3.56251]

C

26.06474

0.159693

1.065309

0.952177

(11.2050)

(0.11059)

(0.78157)

(0.55531)

[ 2.32617]

[ 1.44406]

[ 1.36303]

[ 1.71467]

R-squared

0.876895

0.998570

0.925884

0.995321

Adj. R-squared

0.847051

0.998224

0.907916

0.994186

Sum sq. resids

23.22791

0.002262

0.113013

0.057051

S.E. equation

0.838973

0.008280

0.058520

0.041579

F-statistic

29.38301

2881.038

51.53067

877.4345

Log likelihood

-47.15681

146.8128

64.68096

79.03573

Akaike AIC

2.674134

-6.562516

-2.651474

-3.335035

Schwarz SC

3.046491

-6.190158

-2.279117

-2.962677

Mean dependent

0.633445

4.947490

4.615950

7.911626

S.D. dependent

2.145238

0.196460

0.192848

0.545322

Determinant resid covariance (dof adj.)

1.25E-10

Determinant resid covariance

4.75E-11

Log likelihood

260.7737

Akaike information criterion

-10.70351

Schwarz criterion

-9.214077