VECM system, lag order 2 Maximum likelihood estimates, observations 1974:3-1987:3 (T = 53) Cointegration rank = 1 Case 2: Restricted constant Cointegrating vectors (standard errors in parentheses) LRM(-1) 1.0000 (0.0000) LRY(-1) -1.0329 (0.12805) IBO(-1) 5.2069 (0.50735) IDE(-1) -4.2159 (1.0051) const -6.0599 (0.79464) Log-likelihood = 669.115 Determinant of covariance matrix = 1.27152e-16 AIC = -23.5893 BIC = -21.9535 HQC = -22.9602 Equation 1: d_LRM VARIABLE COEFFICIENT STDERROR T STAT P-VALUE d_LRM_1 0.262771 0.146270 1.796 0.07913 * d_LRY_1 -0.144254 0.131686 -1.095 0.27915 d_IBO_1 -0.0401148 0.377610 -0.106 0.91587 d_IDE_1 -0.670698 0.499446 -1.343 0.18604 S1 -0.0576527 0.00946248 -6.093 <0.00001 *** S2 -0.0163050 0.00845625 -1.928 0.06016 * S3 -0.0408586 0.00807873 -5.058 <0.00001 *** EC1 -0.212955 0.0592981 -3.591 0.00081 *** Mean of dependent variable = 0.00775739 Standard deviation of dep. var. = 0.0330857 Sum of squared residuals = 0.0204556 Standard error of residuals = 0.0196457 Unadjusted R-squared = 0.659708 Durbin-Watson statistic = 2.07569 First-order autocorrelation coeff. = -0.0438555 Equation 2: d_LRY VARIABLE COEFFICIENT STDERROR T STAT P-VALUE d_LRM_1 0.602668 0.153164 3.935 0.00029 *** d_LRY_1 -0.142828 0.137893 -1.036 0.30584 d_IBO_1 -0.290609 0.395408 -0.735 0.46618 d_IDE_1 -0.182561 0.522987 -0.349 0.72866 S1 -0.0268262 0.00990849 -2.707 0.00955 *** S2 0.00784216 0.00885483 0.886 0.38052 S3 -0.0130827 0.00845951 -1.547 0.12899 EC1 0.115022 0.0620931 1.852 0.07053 * Mean of dependent variable = 0.00333981 Standard deviation of dep. var. = 0.0252391 Sum of squared residuals = 0.0224293 Standard error of residuals = 0.0205717 Unadjusted R-squared = 0.334755 Durbin-Watson statistic = 1.96451 First-order autocorrelation coeff. = 0.00942197 Equation 3: d_IBO VARIABLE COEFFICIENT STDERROR T STAT P-VALUE d_LRM_1 0.0573489 0.0578902 0.991 0.32715 d_LRY_1 0.144224 0.0521184 2.767 0.00818 *** d_IBO_1 0.310660 0.149449 2.079 0.04338 ** d_IDE_1 0.203769 0.197669 1.031 0.30812 S1 -0.000400021 0.00374503 -0.107 0.91541 S2 0.00762196 0.00334679 2.277 0.02757 ** S3 0.00462651 0.00319737 1.447 0.15484 EC1 0.0231772 0.0234688 0.988 0.32864 Mean of dependent variable = -0.00111367 Standard deviation of dep. var. = 0.00980228 Sum of squared residuals = 0.00320415 Standard error of residuals = 0.00777532 Unadjusted R-squared = 0.367037 Durbin-Watson statistic = 1.61592 First-order autocorrelation coeff. = 0.174104 Equation 4: d_IDE VARIABLE COEFFICIENT STDERROR T STAT P-VALUE d_LRM_1 0.0613395 0.0390156 1.572 0.12291 d_LRY_1 0.0177406 0.0351257 0.505 0.61598 d_IBO_1 0.264939 0.100723 2.630 0.01163 ** d_IDE_1 0.212009 0.133221 1.591 0.11852 S1 -0.00482995 0.00252400 -1.914 0.06204 * S2 -0.00117799 0.00225560 -0.522 0.60406 S3 -0.00288469 0.00215490 -1.339 0.18740 EC1 0.0294111 0.0158170 1.859 0.06951 * Mean of dependent variable = -0.000383719 Standard deviation of dep. var. = 0.00689651 Sum of squared residuals = 0.00145539 Standard error of residuals = 0.00524025 Unadjusted R-squared = 0.41339 Durbin-Watson statistic = 1.95973 First-order autocorrelation coeff. = 0.0155449 Cross-equation covariance matrix d_LRM d_LRY d_IBO d_IDE d_LRM 0.00038595 0.00022597 -6.5007e-05 -2.9101e-05 d_LRY 0.00022597 0.00042320 -1.2151e-05 -2.7357e-05 d_IBO -6.5007e-05 -1.2151e-05 6.0456e-05 1.0517e-05 d_IDE -2.9101e-05 -2.7357e-05 1.0517e-05 2.7460e-05 determinant = 1.27152e-16