*** Thu, 31 Aug 2006 11:12:09 *** VEC REPRESENTATION endogenous variables: LRM LRY IBO IDE exogenous variables: deterministic variables: CONST S1 S2 S3 endogenous lags (diffs): 1 exogenous lags: 0 sample range: [1974 Q3, 1987 Q3], T = 53 estimation procedure: One stage. Johansen approach Lagged endogenous term: ======================= d(LRM) d(LRY) d(IBO) d(IDE) --------------------------------------------------- d(LRM)(t-1)| 0.196 0.486 0.081 0.036 | (0.141) (0.155) (0.056) (0.039) | {0.165} {0.002} {0.149} {0.365} | [1.388] [3.130] [1.443] [0.906] d(LRY)(t-1)| -0.164 -0.122 0.141 0.020 | (0.131) (0.145) (0.052) (0.037) | {0.213} {0.400} {0.007} {0.577} | [-1.245] [-0.842] [2.716] [0.558] d(IBO)(t-1)| -0.026 0.111 0.310 0.374 | (0.334) (0.368) (0.132) (0.093) | {0.938} {0.764} {0.019} {0.000} | [-0.077] [0.300] [2.343] [4.016] d(IDE)(t-1)| -0.583 -0.424 0.212 0.154 | (0.485) (0.535) (0.192) (0.135) | {0.229} {0.428} {0.269} {0.254} | [-1.202] [-0.793] [1.105] [1.142] --------------------------------------------------- Deterministic term: =================== d(LRM) d(LRY) d(IBO) d(IDE) ------------------------------------------------- S1(t)| -0.051 -0.014 -0.003 -0.002 | (0.008) (0.008) (0.003) (0.002) | {0.000} {0.097} {0.398} {0.318} | [-6.711] [-1.660] [-0.845] [-0.998] S2(t)| -0.015 0.011 0.007 -0.001 | (0.008) (0.009) (0.003) (0.002) | {0.072} {0.232} {0.035} {0.700} | [-1.798] [1.196] [2.109] [-0.385] S3(t)| -0.037 -0.005 0.003 -0.001 | (0.007) (0.008) (0.003) (0.002) | {0.000} {0.525} {0.268} {0.496} | [-5.158] [-0.635] [1.108] [-0.681] ------------------------------------------------- Loading coefficients: ===================== d(LRM) d(LRY) d(IBO) d(IDE) ------------------------------------------------- ec1(t-1)| -0.274 -0.003 0.030 -0.003 | (0.039) (0.043) (0.015) (0.011) | {0.000} {0.948} {0.050} {0.757} | [-7.092] [-0.065] [1.956] [-0.310] ------------------------------------------------- Estimated cointegration relation(s): ==================================== ec1(t-1) ------------------- LRM(t-1)| 1.000 | (0.000) | {0.000} | [0.000] LRY(t-1)| -0.981 | (0.137) | {0.000} | [-7.143] IBO(t-1)| 4.602 | (0.544) | {0.000} | [8.460] IDE(t-1)| -2.412 | (1.078) | {0.025} | [-2.238] CONST | -6.535 | (0.851) | {0.000} | [-7.680] ------------------- VAR REPRESENTATION modulus of the eigenvalues of the reverse characteristic polynomial: |z| = ( 5.6567 5.6567 1.7701 1.7701 1.4970 1.0000 1.0000 1.0000 ) Legend: ======= Equation 1 Equation 2 ... ------------------------------------------ Variable 1 | Coefficient ... | (Std. Dev.) | {p - Value} | [t - Value] Variable 2 | ... ... ------------------------------------------ Lagged endogenous term: ======================= LRM LRY IBO IDE ------------------------------------------------- LRM(t-1)| 0.922 0.484 0.111 0.032 | (0.146) (0.161) (0.058) (0.041) | {0.000} {0.003} {0.056} {0.428} | [6.302] [3.002] [1.909] [0.792] LRY(t-1)| 0.105 0.881 0.112 0.024 | (0.137) (0.151) (0.054) (0.038) | {0.442} {0.000} {0.039} {0.534} | [0.769] [5.850] [2.068] [0.622] IBO(t-1)| -1.287 0.098 1.448 0.359 | (0.379) (0.417) (0.150) (0.106) | {0.001} {0.815} {0.000} {0.001} | [-3.398] [0.234] [9.654] [3.400] IDE(t-1)| 0.078 -0.417 0.140 1.163 | (0.494) (0.544) (0.196) (0.138) | {0.875} {0.444} {0.474} {0.000} | [0.157] [-0.766] [0.716] [8.437] LRM(t-2)| -0.196 -0.486 -0.081 -0.036 | (0.141) (0.155) (0.056) (0.039) | {0.165} {0.002} {0.149} {0.365} | [-1.388] [-3.130] [-1.443] [-0.906] LRY(t-2)| 0.164 0.122 -0.141 -0.020 | (0.131) (0.145) (0.052) (0.037) | {0.213} {0.400} {0.007} {0.577} | [1.245] [0.842] [-2.716] [-0.558] IBO(t-2)| 0.026 -0.111 -0.310 -0.374 | (0.334) (0.368) (0.132) (0.093) | {0.938} {0.764} {0.019} {0.000} | [0.077] [-0.300] [-2.343] [-4.016] IDE(t-2)| 0.583 0.424 -0.212 -0.154 | (0.485) (0.535) (0.192) (0.135) | {0.229} {0.428} {0.269} {0.254} | [1.202] [0.793] [-1.105] [-1.142] ------------------------------------------------- Deterministic term: =================== LRM LRY IBO IDE ------------------------------------------------- S1 (t)| -0.051 -0.014 -0.003 -0.002 | (0.000) (0.000) (0.000) (0.000) | {0.000} {0.000} {0.000} {0.000} | [0.000] [0.000] [0.000] [0.000] S2 (t)| -0.015 0.011 0.007 -0.001 | (0.000) (0.000) (0.000) (0.000) | {0.000} {0.000} {0.000} {0.000} | [0.000] [0.000] [0.000] [0.000] S3 (t)| -0.037 -0.005 0.003 -0.001 | (0.000) (0.000) (0.000) (0.000) | {0.000} {0.000} {0.000} {0.000} | [0.000] [0.000] [0.000] [0.000] CONST | 1.790 0.018 -0.196 0.022 | (0.000) (0.000) (0.000) (0.000) | {0.000} {0.000} {0.000} {0.000} | [0.000] [0.000] [0.000] [0.000] -------------------------------------------------