interpretation of the VEC result...

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Md. Gias Uddin Khan
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interpretation of the VEC result...

Postby Md. Gias Uddin Khan » Mon Jan 26, 2015 2:28 am

How to explain the VEC result submitted below?

Vector Error Correction Estimates
Date: 01/26/15 Time: 15:04
Sample (adjusted): 1985 2011
Included observations: 27 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

LHDI(-1) 1.000000

LRMT(-1) 0.104775
(0.04755)
[ 2.20340]

C 0.069860

Error Correction: D(LHDI) D(LRMT)

CointEq1 0.008007 0.514745
(0.00479) (0.11526)
[ 1.67097] [ 4.46584]

D(LHDI(-1)) -0.069967 -11.32626
(0.22631) (5.44352)
[-0.30916] [-2.08069]

D(LHDI(-2)) 0.044931 -4.964136
(0.42281) (10.1698)
[ 0.10627] [-0.48812]

D(LRMT(-1)) 0.004008 -0.279623
(0.00700) (0.16848)
[ 0.57224] [-1.65965]

D(LRMT(-2)) 0.000259 -0.441954
(0.00533) (0.12822)
[ 0.04852] [-3.44687]

C 0.016299 0.452395
(0.00772) (0.18560)
[ 2.11228] [ 2.43749]

R-squared 0.300825 0.592408
Adj. R-squared 0.134355 0.495362
Sum sq. resids 0.000236 0.136760
S.E. equation 0.003355 0.080699
F-statistic 1.807082 6.104421
Log likelihood 118.9082 33.04111
Akaike AIC -8.363572 -2.003045
Schwarz SC -8.075608 -1.715082
Mean dependent 0.016357 0.106086
S.D. dependent 0.003606 0.113600

Determinant resid covariance (dof adj.) 6.94E-08
Determinant resid covariance 4.20E-08
Log likelihood 152.6902
Akaike information criterion -10.27334
Schwarz criterion -9.601429

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