Help with interpreting VEC results
Posted: Thu Jun 04, 2009 5:07 am
Hi all,
I just ran a VEC with 2 endogenous and 5 exogenous variables. Now I wonder how I should interpret the numbers for my exogenous variables (not the standard error or t-statistics)? What does the minus sign stand for? How big should the number be to be considered significant? Below are the results. Thank you in advance!
Vector Error Correction Estimates
Date: 06/03/09 Time: 10:27
Sample (adjusted): 1994 2007
Included observations: 14 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
GDPGROWTH(-1) 1.000000
DEXPGDP(-1) -1.682983
(0.22172)
[-7.59050]
C 0.174989
Error Correction: D(GDPGROWTH) D(DEXPGDP)
CointEq1 0.197145 1.053958
(0.28769) (0.19525)
[ 0.68526] [ 5.39793]
C -0.097634 0.160050
(0.39213) (0.26613)
[-0.24899] [ 0.60140]
EXRATE 0.006276 -0.005289
(0.00584) (0.00396)
[ 1.07489] [-1.33461]
HDI 0.302065 -0.085976
(0.56237) (0.38167)
[ 0.53713] [-0.22526]
INFLATION 0.084941 0.671529
(0.45613) (0.30957)
[ 0.18622] [ 2.16925]
INVESTMENTS -0.640612 -0.635130
(0.29657) (0.20128)
[-2.16008] [-3.15552]
SAVINGS 0.088283 0.185195
(0.08645) (0.05867)
[ 1.02122] [ 3.15649]
R-squared 0.536183 0.828988
Adj. R-squared 0.138626 0.682406
Sum sq. resids 0.002865 0.001320
S.E. equation 0.020230 0.013730
F-statistic 1.348696 5.655452
Log likelihood 39.59491 45.02132
Akaike AIC -4.656416 -5.431618
Schwarz SC -4.336887 -5.112089
Mean dependent 0.003207 -0.000614
S.D. dependent 0.021798 0.024363
Determinant resid covariance (dof adj.) 4.01E-08
Determinant resid covariance 1.00E-08
Log likelihood 89.20401
Akaike information criterion -10.45772
Schwarz criterion -9.727364
I just ran a VEC with 2 endogenous and 5 exogenous variables. Now I wonder how I should interpret the numbers for my exogenous variables (not the standard error or t-statistics)? What does the minus sign stand for? How big should the number be to be considered significant? Below are the results. Thank you in advance!
Vector Error Correction Estimates
Date: 06/03/09 Time: 10:27
Sample (adjusted): 1994 2007
Included observations: 14 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
GDPGROWTH(-1) 1.000000
DEXPGDP(-1) -1.682983
(0.22172)
[-7.59050]
C 0.174989
Error Correction: D(GDPGROWTH) D(DEXPGDP)
CointEq1 0.197145 1.053958
(0.28769) (0.19525)
[ 0.68526] [ 5.39793]
C -0.097634 0.160050
(0.39213) (0.26613)
[-0.24899] [ 0.60140]
EXRATE 0.006276 -0.005289
(0.00584) (0.00396)
[ 1.07489] [-1.33461]
HDI 0.302065 -0.085976
(0.56237) (0.38167)
[ 0.53713] [-0.22526]
INFLATION 0.084941 0.671529
(0.45613) (0.30957)
[ 0.18622] [ 2.16925]
INVESTMENTS -0.640612 -0.635130
(0.29657) (0.20128)
[-2.16008] [-3.15552]
SAVINGS 0.088283 0.185195
(0.08645) (0.05867)
[ 1.02122] [ 3.15649]
R-squared 0.536183 0.828988
Adj. R-squared 0.138626 0.682406
Sum sq. resids 0.002865 0.001320
S.E. equation 0.020230 0.013730
F-statistic 1.348696 5.655452
Log likelihood 39.59491 45.02132
Akaike AIC -4.656416 -5.431618
Schwarz SC -4.336887 -5.112089
Mean dependent 0.003207 -0.000614
S.D. dependent 0.021798 0.024363
Determinant resid covariance (dof adj.) 4.01E-08
Determinant resid covariance 1.00E-08
Log likelihood 89.20401
Akaike information criterion -10.45772
Schwarz criterion -9.727364