4:38 a.m.
I can only give the two models without seasonals because I can not find seasonal option in
Eviews menu.
Yuniarto Hadiwibowo
----- Original Message ----
From: Allin Cottrell <cottrell(a)wfu.edu>
To: Gretl users <gretl-users(a)lists.wfu.edu>
Sent: Thu, January 21, 2010 11:14:55 AM
Subject: [Gretl-users] vecm comparisons
Well, one more thing: for fuller comparison, it might be nice to
have the output from other software for the two models above
without the seasonals:
vecm 2 1 LRM LRY IBO IDE --rc
vecm 2 1 LRM LRY IBO IDE
And yet one more thing: gretl automatically prints the
cross-equation covariance matrix. If you could get that out of
other software I'd like to see it too.
Allin Cottrell
Vector Error Correction Estimates
Date: 01/21/10 Time: 13:14
Sample (adjusted): 1974Q3 1987Q3
Included observations: 53 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
LRM(-1) 1.000000
LRY(-1) -0.969116
(0.14297)
[-6.77827]
IBO(-1) 5.402772
(0.54610)
[ 9.89345]
IDE(-1) -4.140325
(1.12517)
[-3.67975]
C -6.478051
(0.88530)
[-7.31738]
Error Correction: D(LRM) D(LRY) D(IBO) D(IDE)
CointEq1 -0.299784 0.026943 0.003921 0.020001
(0.07169) (0.06160) (0.02270) (0.01492)
[-4.18156] [ 0.43742] [ 0.17273] [ 1.34035]
D(LRM(-1)) -0.220041 0.267268 0.002698 0.023956
(0.14064) (0.12084) (0.04454) (0.02927)
[-1.56453] [ 2.21182] [ 0.06058] [ 0.81833]
D(LRY(-1)) 0.076984 -0.021191 0.150092 0.033433
(0.17305) (0.14868) (0.05480) (0.03602)
[ 0.44485] [-0.14253] [ 2.73894] [ 0.92819]
D(IBO(-1)) 0.178382 -0.127891 0.356503 0.294057
(0.49305) (0.42361) (0.15613) (0.10263)
[ 0.36179] [-0.30190] [ 2.28337] [ 2.86535]
D(IDE(-1)) -1.357771 -0.791761 0.043718 0.133585
(0.61581) (0.52909) (0.19500) (0.12818)
[-2.20485] [-1.49647] [ 0.22419] [ 1.04220]
R-squared 0.366690 0.196647 0.276511 0.368517
Adj. R-squared 0.313914 0.129701 0.216220 0.315894
Sum sq. resids 0.036050 0.026611 0.003615 0.001562
S.E. equation 0.027405 0.023546 0.008678 0.005704
F-statistic 6.948066 2.937390 4.586285 7.002902
Log likelihood 118.0648 126.1095 179.0107 201.2499
Akaike AIC -4.266597 -4.570172 -6.566441 -7.405656
Schwarz SC -4.080720 -4.384295 -6.380564 -7.219780
Mean dependent 0.007757 0.003340 -0.001114 -0.000384
S.D. dependent 0.033086 0.025239 0.009802 0.006897
Determinant resid covariance (dof adj.) 4.90E-16
Determinant resid covariance 3.30E-16
Log likelihood 643.8520
Akaike information criterion -23.35290
Schwarz criterion -22.42352
LRM LRY IBO IDE
LRM 0.000751 0.000380 -8.51E-05 -4.80E-06
LRY 0.000380 0.000554 -3.52E-06 -1.79E-05
IBO -8.51E-05 -3.52E-06 7.53E-05 1.12E-05
IDE -4.80E-06 -1.79E-05 1.12E-05 3.25E-05
Vector Error Correction Estimates
Date: 01/21/10 Time: 13:12
Sample (adjusted): 1974Q3 1987Q3
Included observations: 53 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
LRM(-1) 1.000000
LRY(-1) -0.975655
(0.14438)
[-6.75778]
IBO(-1) 5.408588
(0.55145)
[ 9.80798]
IDE(-1) -4.162443
(1.13619)
[-3.66350]
C -6.417559
Error Correction: D(LRM) D(LRY) D(IBO) D(IDE)
CointEq1 -0.281469 0.037469 -0.003902 0.019960
(0.07528) (0.06486) (0.02366) (0.01576)
[-3.73889] [ 0.57772] [-0.16493] [ 1.26671]
D(LRM(-1)) -0.236567 0.258051 0.010221 0.024003
(0.14293) (0.12314) (0.04492) (0.02992)
[-1.65511] [ 2.09557] [ 0.22753] [ 0.80228]
D(LRY(-1)) 0.079759 -0.019068 0.148606 0.033478
(0.17397) (0.14988) (0.05467) (0.03641)
[ 0.45848] [-0.12723] [ 2.71806] [ 0.91937]
D(IBO(-1)) 0.111450 -0.167095 0.385608 0.294132
(0.50223) (0.43269) (0.15784) (0.10513)
[ 0.22191] [-0.38617] [ 2.44301] [ 2.79789]
D(IDE(-1)) -1.365951 -0.792514 0.045036 0.133979
(0.61888) (0.53319) (0.19450) (0.12954)
[-2.20713] [-1.48636] [ 0.23154] [ 1.03425]
C 0.008956 0.001031 -0.001354 -0.000417
(0.00390) (0.00336) (0.00123) (0.00082)
[ 2.29534] [ 0.30684] [-1.10408] [-0.51041]
R-squared 0.373829 0.201320 0.295388 0.368572
Adj. R-squared 0.307215 0.116354 0.220430 0.301398
Sum sq. resids 0.035643 0.026456 0.003521 0.001562
S.E. equation 0.027538 0.023725 0.008655 0.005764
F-statistic 5.611876 2.369414 3.940685 5.486883
Log likelihood 118.3652 126.2641 179.7113 201.2522
Akaike AIC -4.240197 -4.538269 -6.555144 -7.368006
Schwarz SC -4.017145 -4.315217 -6.332092 -7.144954
Mean dependent 0.007757 0.003340 -0.001114 -0.000384
S.D. dependent 0.033086 0.025239 0.009802 0.006897
Determinant resid covariance (dof adj.) 5.16E-16
Determinant resid covariance 3.19E-16
Log likelihood 644.7542
Akaike information criterion -23.27374
Schwarz criterion -22.23283
LRM LRY IBO IDE
LRM 0.000758 0.000383 -8.25E-05 -4.90E-06
LRY 0.000383 0.000563 -1.08E-06 -1.84E-05
IBO -8.25E-05 -1.08E-06 7.49E-05 1.14E-05
IDE -4.90E-06 -1.84E-05 1.14E-05 3.32E-05