Date: 06/20/11 Time: 17:56
Sample (adjusted): 2003M02 2010M04
Included observations: 87 after adjustments
Trend assumption: Linear deterministic trend
Series: SPI CPI IPI DIR EXR IM X M2 REM
Lags interval (in first differences): 1 to 6
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.798672 556.6082 197.3709 0.0001
At most 1 * 0.724286 417.1628 159.5297 0.0000
At most 2 * 0.669011 305.0728 125.6154 0.0000
At most 3 * 0.502427 208.8795 95.75366 0.0000
At most 4 * 0.480987 148.1524 69.81889 0.0000
At most 5 * 0.390830 91.09543 47.85613 0.0000
At most 6 * 0.260735 47.97325 29.79707 0.0002
At most 7 * 0.185019 21.69061 15.49471 0.0051
At most 8 * 0.043742 3.891280 3.841466 0.0485
Trace test indicates 9 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.798672 139.4454 58.43354 0.0000
At most 1 * 0.724286 112.0899 52.36261 0.0000
At most 2 * 0.669011 96.19334 46.23142 0.0000
At most 3 * 0.502427 60.72711 40.07757 0.0001
At most 4 * 0.480987 57.05693 33.87687 0.0000
At most 5 * 0.390830 43.12217 27.58434 0.0002
At most 6 * 0.260735 26.28264 21.13162 0.0086
At most 7 * 0.185019 17.79933 14.26460 0.0132
At most 8 * 0.043742 3.891280 3.841466 0.0485
Max-eigenvalue test indicates 9 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
SPI CPI IPI DIR EXR IM X M2 REM
0.003734 -0.463386 0.075732 -55.36819 0.404189 2.21E-05 -2.70E-05 1.25E-05 0.003483
0.004145 0.260092 -0.358122 -287.2474 0.854107 -6.86E-06 4.38E-06 -0.000133 0.010304
0.003292 -1.144674 -0.020324 19.57007 -0.670962 3.86E-06 5.78E-05 0.000402 -0.003734
0.007145 -0.187706 -0.164461 68.76301 0.466998 -5.16E-05 9.27E-05 0.000340 -0.009256
-0.005062 -0.003825 0.086535 -285.2306 0.297182 2.06E-05 -7.61E-05 -0.000522 0.025811
-0.007605 0.001969 -0.012605 -164.6222 -1.432336 1.41E-05 9.01E-06 0.000357 -0.009819
0.001043 0.254148 0.271560 -5.758926 -0.475077 -3.03E-05 -1.37E-05 -0.000363 0.008173
0.001898 0.104568 -0.108919 221.3396 0.173853 2.52E-07 -1.24E-06 0.000348 -0.013544
0.004053 -0.651182 0.015427 136.8203 0.418530 6.28E-06 7.70E-06 0.000440 -0.012726
Unrestricted Adjustment Coefficients (alpha):
D(SPI) -12.66336 -50.57642 -2.894429 20.52281 16.23570 24.83070 2.216365 8.434741 3.397196
D(CPI) 0.248943 -0.045910 0.049057 0.474145 -0.005076 -0.024538 -0.038566 -0.073408 0.139937
D(IPI) 1.495780 2.333795 -5.539729 0.695344 0.558808 -1.341761 -0.511588 1.307996 -0.178978
D(DIR) 0.000109 -0.000303 -0.000641 2.51E-05 -0.000175 5.98E-05 -0.000107 -0.000397 5.54E-05
D(EXR) -0.057096 0.469902 -0.580862 -0.083220 -0.130349 0.251141 0.181073 -0.031782 0.099236
D(IM) -10304.18 13625.53 -21188.11 2514.758 3360.240 -11651.63 15914.48 -8093.714 389.3873
D(X) 23297.14 3060.386 -24849.06 -2921.996 1440.855 -1441.238 3532.479 6840.842 1842.903
D(M2) 616.4948 -199.1005 -219.7999 502.2070 71.49494 123.7443 65.36658 113.0836 -114.5178
D(REM) -4.396847 -19.85953 -86.56672 24.50635 -65.82076 -40.98863 21.99403 21.40528 9.640757
1 Cointegrating Equation(s): Log likelihood -3859.006
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 -124.1033 20.28254 -14828.63 108.2494 0.005927 -0.007239 0.003343 0.932829
(32.4826) (11.3142) (11495.5) (39.3345) (0.00142) (0.00272) (0.02420) (0.86494)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.047283
(0.05697)
D(CPI) 0.000930
(0.00065)
D(IPI) 0.005585
(0.00566)
D(DIR) 4.08E-07
(9.0E-07)
D(EXR) -0.000213
(0.00079)
D(IM) -38.47447
(34.6295)
D(X) 86.98851
(25.7800)
D(M2) 2.301912
(0.72224)
D(REM) -0.016417
(0.12129)
2 Cointegrating Equation(s): Log likelihood -3802.961
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 0.000000 -50.56936 -51003.66 173.1991 0.000892 -0.001729 -0.020202 1.964228
(8.93817) (9275.05) (28.1160) (0.00099) (0.00214) (0.01676) (0.68389)
0.000000 1.000000 -0.570911 -291.4913 0.523352 -4.06E-05 4.44E-05 -0.000190 0.008311
(0.08829) (91.6164) (0.27772) (9.8E-06) (2.1E-05) (0.00017) (0.00676)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.256945 -7.286490
(0.06839) (6.51362)
D(CPI) 0.000739 -0.127297
(0.00098) (0.09310)
D(IPI) 0.015260 -0.086122
(0.00812) (0.77365)
D(DIR) -8.50E-07 -0.000130
(1.3E-06) (0.00012)
D(EXR) 0.001735 0.148675
(0.00108) (0.10262)
D(IM) 18.00942 8318.695
(49.9093) (4753.66)
D(X) 99.67518 -9999.580
(38.3979) (3657.25)
D(M2) 1.476551 -337.4593
(1.06056) (101.014)
D(REM) -0.098744 -3.127864
(0.18013) (17.1565)
3 Cointegrating Equation(s): Log likelihood -3754.865
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 0.000000 0.000000 -36431.05 237.1843 0.005429 -0.013124 -0.045299 2.032624
(13078.2) (41.4434) (0.00147) (0.00301) (0.02255) (1.01319)
0.000000 1.000000 0.000000 -126.9716 1.245723 1.06E-05 -8.43E-05 -0.000473 0.009083
(70.8872) (0.22463) (8.0E-06) (1.6E-05) (0.00012) (0.00549)
0.000000 0.000000 1.000000 288.1707 1.265295 8.97E-05 -0.000225 -0.000496 0.001353
(210.585) (0.66732) (2.4E-05) (4.8E-05) (0.00036) (0.01631)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.266472 -3.973312 17.21232
(0.07933) (15.4554) (4.48971)
D(CPI) 0.000901 -0.183451 0.034297
(0.00113) (0.22083) (0.06415)
D(IPI) -0.002975 6.255062 -0.609913
(0.00689) (1.34136) (0.38966)
D(DIR) -2.96E-06 0.000604 0.000130
(1.3E-06) (0.00026) (7.5E-05)
D(EXR) -0.000177 0.813573 -0.160800
(0.00105) (0.20508) (0.05957)
D(IM) -51.73204 32572.18 -5229.327
(52.4432) (10217.1) (2968.02)
D(X) 17.88356 18444.50 1173.393
(33.9382) (6611.92) (1920.73)
D(M2) 0.753072 -85.86001 122.4581
(1.20454) (234.671) (68.1706)
D(REM) -0.383681 95.96282 8.538539
(0.18329) (35.7095) (10.3734)
4 Cointegrating Equation(s): Log likelihood -3724.501
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 0.000000 0.000000 0.000000 155.9966 -0.002180 0.000676 0.005609 -0.224947
(34.2848) (0.00126) (0.00236) (0.01173) (0.45723)
0.000000 1.000000 0.000000 0.000000 0.962763 -1.59E-05 -3.62E-05 -0.000296 0.001215
(0.20497) (7.5E-06) (1.4E-05) (7.0E-05) (0.00273)
0.000000 0.000000 1.000000 0.000000 1.907492 0.000150 -0.000335 -0.000899 0.019210
(0.74672) (2.7E-05) (5.1E-05) (0.00026) (0.00996)
0.000000 0.000000 0.000000 1.000000 -0.002229 -2.09E-07 3.79E-07 1.40E-06 -6.20E-05
(0.00088) (3.2E-08) (6.0E-08) (3.0E-07) (1.2E-05)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.119828 -7.825567 13.83712 16583.66
(0.11264) (14.9009) (4.69261) (3517.02)
D(CPI) 0.004289 -0.272451 -0.043681 32.96770
(0.00147) (0.19503) (0.06142) (46.0333)
D(IPI) 0.001994 6.124541 -0.724270 -813.7940
(0.01018) (1.34672) (0.42411) (317.864)
D(DIR) -2.78E-06 0.000599 0.000126 0.070289
(2.0E-06) (0.00026) (8.2E-05) (0.06119)
D(EXR) -0.000772 0.829193 -0.147114 -148.9067
(0.00156) (0.20646) (0.06502) (48.7298)
D(IM) -33.76302 32100.14 -5642.905 -3585104.
(77.9603) (10313.4) (3247.92) (2434252)
D(X) -2.995338 18992.97 1653.947 -2856231.
(50.2760) (6651.04) (2094.56) (1569829)
D(M2) 4.341554 -180.1273 39.86484 53288.68
(1.56830) (207.471) (65.3372) (48969.0)
D(REM) -0.208573 91.36283 4.508210 5939.058
(0.26958) (35.6629) (11.2310) (8417.43)
5 Cointegrating Equation(s): Log likelihood -3695.972
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 0.000000 0.000000 0.000000 0.000000 0.031742 -0.033843 0.015725 -3.098594
(0.00633) (0.00942) (0.05836) (2.24871)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000193 -0.000249 -0.000233 -0.016520
(4.0E-05) (6.0E-05) (0.00037) (0.01424)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000565 -0.000757 -0.000775 -0.015928
(9.1E-05) (0.00014) (0.00084) (0.03231)
0.000000 0.000000 0.000000 1.000000 0.000000 -6.93E-07 8.72E-07 1.25E-06 -2.09E-05
(1.2E-07) (1.7E-07) (1.1E-06) (4.1E-05)
0.000000 0.000000 0.000000 0.000000 1.000000 -0.000217 0.000221 -6.48E-05 0.018421
(4.3E-05) (6.4E-05) (0.00040) (0.01537)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.202015 -7.887675 15.24208 11952.74 -31.96496
(0.12318) (14.4290) (4.64817) (4690.75) (14.5242)
D(CPI) 0.004314 -0.272432 -0.044120 34.41567 0.248409
(0.00166) (0.19503) (0.06283) (63.4030) (0.19632)
D(IPI) -0.000835 6.122404 -0.675914 -973.1833 6.805627
(0.01144) (1.34063) (0.43187) (435.828) (1.34948)
D(DIR) -1.89E-06 0.000600 0.000111 0.120105 0.000175
(2.2E-06) (0.00026) (8.3E-05) (0.08328) (0.00026)
D(EXR) -0.000112 0.829692 -0.158394 -111.7271 0.690404
(0.00174) (0.20429) (0.06581) (66.4120) (0.20563)
D(IM) -50.77287 32087.29 -5352.127 -4543547. 23862.22
(87.8005) (10284.7) (3313.12) (3343468) (10352.6)
D(X) -10.28908 18987.46 1778.631 -3267207. 27766.75
(56.7103) (6642.86) (2139.94) (2159543) (6686.71)
D(M2) 3.979640 -180.4008 46.05166 32896.13 482.3813
(1.76566) (206.824) (66.6266) (67236.9) (208.189)
D(REM) 0.124618 91.61462 -1.187590 24713.15 31.22726
(0.27589) (32.3164) (10.4104) (10505.
(32.5297) 6 Cointegrating Equation(s): Log likelihood -3674.411
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.005622 0.128654 -5.160449
(0.00220) (0.02497) (0.95305)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -8.64E-06 0.000455 -0.029089
(1.3E-05) (0.00015) (0.00569)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -5.45E-05 0.001234 -0.052609
(4.3E-05) (0.00049) (0.01878)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 9.78E-09 -1.21E-06 2.41E-05
(4.2E-08) (4.8E-07) (1.8E-05)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -4.91E-05 -0.000838 0.032546
(1.2E-05) (0.00013) (0.00514)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -1.243310 -3.557683 64.95605
(0.16934) (1.92116) (73.3209)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.390849 -7.838785 14.92909 7865.055 -67.53086 -0.000318
(0.13806) (13.2597) (4.27348) (4637.70) (19.9931) (0.00064)
D(CPI) 0.004501 -0.272480 -0.043811 38.45518 0.283556 -1.89E-05
(0.00203) (0.19495) (0.06283) (68.1857) (0.29395) (9.5E-06)
D(IPI) 0.009369 6.119762 -0.659001 -752.2996 8.727479 -4.76E-05
(0.01359) (1.30489) (0.42056) (456.400) (1.96754) (6.3E-05)
D(DIR) -2.35E-06 0.000600 0.000110 0.110261 8.90E-05 -2.02E-09
(2.7E-06) (0.00026) (8.2E-05) (0.08947) (0.00039) (1.2E-08)
D(EXR) -0.002022 0.830187 -0.161559 -153.0705 0.330686 -1.56E-06
(0.00204) (0.19601) (0.06317) (68.5574) (0.29555) (9.5E-06)
D(IM) 37.83635 32064.35 -5205.261 -2625431. 40551.26 -0.628588
(103.411) (9932.05) (3201.02) (3473835) (14975.7) (0.48240)
D(X) 0.671362 18984.63 1796.797 -3029947. 29831.09 0.558850
(69.0793) (6634.66) (2138.30) (2320538) (10003.
(0.32225) D(M2) 3.038579 -180.1572 44.49189 12525.07 305.1379 -0.008534
(2.13310) (204.871) (66.0284) (71655.
(308.908) (0.00995) D(REM) 0.436331 91.53392 -0.670937 31460.79 89.93673 -0.003497
(0.32195) (30.9213) (9.96568) (10815.0) (46.6235) (0.00150)
7 Cointegrating Equation(s): Log likelihood -3661.270
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.000637 -0.488981
(0.01424) (0.52574)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000654 -0.036264
(0.00018) (0.00679)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.002487 -0.097906
(0.00074) (0.02731)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -1.44E-06 3.23E-05
(5.2E-07) (1.9E-05)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000290 -0.008233
(0.00014) (0.00532)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 25.03417 -968.1061
(5.03375) (185.901)
0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 22.99656 -830.8967
(4.79644) (177.137)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.388538 -7.275502 15.53097 7852.291 -68.58380 -0.000385 0.000812
(0.13838) (13.5102) (5.11750) (4634.68) (20.5786) (0.00072) (0.00142)
D(CPI) 0.004461 -0.282282 -0.054284 38.67727 0.301877 -1.77E-05 4.05E-05
(0.00203) (0.19858) (0.07522) (68.1213) (0.30247) (1.1E-05) (2.1E-05)
D(IPI) 0.008836 5.989743 -0.797928 -749.3534 8.970522 -3.21E-05 -0.000334
(0.01357) (1.32515) (0.50195) (454.592) (2.01845) (7.0E-05) (0.00014)
D(DIR) -2.46E-06 0.000572 8.08E-05 0.110879 0.000140 1.23E-09 -2.37E-08
(2.7E-06) (0.00026) (9.8E-05) (0.08906) (0.00040) (1.4E-08) (2.7E-08)
D(EXR) -0.001833 0.876206 -0.112387 -154.1133 0.244662 -7.06E-06 -2.80E-05
(0.00200) (0.19533) (0.07399) (67.0093) (0.29753) (1.0E-05) (2.1E-05)
D(IM) 54.43237 36108.98 -883.5269 -2717081. 32990.66 -1.111590 -1.232704
(96.4837) (9419.76) (3568.08) (3231447) (14348.0) (0.49963) (0.99147)
D(X) 4.355119 19882.40 2756.077 -3050291. 28152.89 0.451640 -2.495033
(68.7741) (6714.46) (2543.35) (2303393) (10227.4) (0.35614) (0.70672)
D(M2) 3.106745 -163.5444 62.24282 12148.63 274.0837 -0.010518 0.011076
(2.13393) (208.337) (78.9154) (71470.0) (317.336) (0.01105) (0.02193)
D(REM) 0.459267 97.12365 5.301758 31334.13 79.48787 -0.004164 0.001639
(0.31862) (31.1071) (11.7830) (10671.3) (47.3818) (0.00165) (0.00327)
8 Cointegrating Equation(s): Log likelihood -3652.370
Normalized cointegrating coefficients (standard error in parentheses)
SPI CPI IPI DIR EXR IM X M2 REM
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.508641
(0.08575)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.016097
(0.00091)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.021176
(0.00290)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -1.21E-05
(2.0E-06)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000718
(0.00069)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 -195.8692
(29.9612)
0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -121.5146
(24.3485)
0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -30.84731
(1.56283)
Adjustment coefficients (standard error in parentheses)
D(SPI) -0.372533 -6.393494 14.61227 9719.233 -67.11739 -0.000383 0.000802 0.014902
(0.13828) (13.4088) (5.18495) (5118.02) (20.4366) (0.00071) (0.00141) (0.01001)
D(CPI) 0.004321 -0.289958 -0.046288 22.42915 0.289115 -1.78E-05 4.06E-05 0.000172
(0.00205) (0.19847) (0.07675) (75.7547) (0.30249) (1.0E-05) (2.1E-05) (0.00015)
D(IPI) 0.011318 6.126518 -0.940393 -459.8421 9.197922 -3.18E-05 -0.000335 -0.002416
(0.01334) (1.29358) (0.50021) (493.749) (1.97157) (6.8E-05) (0.00014) (0.00097)
D(DIR) -3.21E-06 0.000531 0.000124 0.023014 7.09E-05 1.13E-09 -2.32E-08 -1.94E-07
(2.5E-06) (0.00024) (9.4E-05) (0.09285) (0.00037) (1.3E-08) (2.6E-08) (1.8E-07)
D(EXR) -0.001893 0.872883 -0.108925 -161.1479 0.239137 -7.07E-06 -2.80E-05 -0.000244
(0.00202) (0.19582) (0.07572) (74.7436) (0.29846) (1.0E-05) (2.1E-05) (0.00015)
D(IM) 39.07410 35262.63 -1.969786 -4508540. 31583.54 -1.113626 -1.222643 -24.13685
(95.4727) (9257.73) (3579.80) (3533592) (14109.9) (0.48946) (0.97132) (6.91025)
D(X) 17.33599 20597.73 2010.981 -1536142. 29342.19 0.453361 -2.503537 -11.27901
(67.4708) (6542.46) (2529.85) (2497197) (9971.49) (0.34590) (0.68643) (4.88349)
D(M2) 3.321328 -151.7194 49.92590 37178.51 293.7437 -0.010489 0.010935 0.138744
(2.13805) (207.321) (80.1674) (79132.6) (315.982) (0.01096) (0.02175) (0.15475)
D(REM) 0.499885 99.36196 2.970322 36071.97 83.20926 -0.004159 0.001612 -0.004736
(0.31765) (30.8014) (11.9103) (11756.6) (46.9450) (0.00163) (0.00323) (0.02299)