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VAR_TEST.Rout.save
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R version 3.6.1 (2019-07-05) -- "Action of the Toes"
Copyright (C) 2019 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
Natural language support but running in an English locale
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> library(tsDyn)
> suppressWarnings(RNGversion("3.5.3"))
> options(useFancyQuotes=FALSE) # useful for all.equal comparison
>
> data(zeroyld)
> data(barry)
>
>
>
>
> ## Test a few VAR models
> var_l1_co <-lineVar(barry, lag=1, include="const")
> var_l1_tr <-lineVar(barry, lag=1, include="trend")
> var_l1_bo <-lineVar(barry, lag=1, include="both")
> var_l1_no <-lineVar(barry, lag=1, include="none")
> var_l1_coAsExo <-lineVar(barry, lag=1, include="none", exogen=rep(1, nrow(barry)))
>
> var_l0_co <-lineVar(barry, lag=0, include="const")
Warning message:
In lineVar(barry, lag = 0, include = "const") :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> var_l0_tr <-lineVar(barry, lag=0, include="trend")
Warning message:
In lineVar(barry, lag = 0, include = "trend") :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> var_l0_bo <-lineVar(barry, lag=0, include="both")
Warning message:
In lineVar(barry, lag = 0, include = "both") :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> var_l0_coAsExo <-lineVar(barry, lag=0, include="trend", exogen=rep(1, nrow(barry)))
Warning message:
In lineVar(barry, lag = 0, include = "trend", exogen = rep(1, nrow(barry))) :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
>
> var_l3_co <-lineVar(barry, lag=3, include="const")
> var_l3_tr <-lineVar(barry, lag=3, include="trend")
> var_l3_bo <-lineVar(barry, lag=3, include="both")
> var_l3_no <-lineVar(barry, lag=3, include="none")
> var_l3_coAsExo <-lineVar(barry, lag=3, include="none", exogen=rep(1, nrow(barry)))
>
> var_l2_diff_co <-lineVar(barry, lag=2, include="const", I="diff")
> var_l2_diff_tr <-lineVar(barry, lag=2, include="trend", I="diff")
> var_l2_diff_bo <-lineVar(barry, lag=2, include="both", I="diff")
> var_l2_diff_no <-lineVar(barry, lag=2, include="none", I="diff")
> var_l2_diff_coAsExo <-lineVar(barry, lag=2, include="none", I="diff", exogen=rep(1, nrow(barry)))
>
> var_l2_adf_co <-lineVar(barry, lag=2, include="const", I="ADF")
> var_l2_adf_tr <-lineVar(barry, lag=2, include="trend", I="ADF")
> var_l2_adf_bo <-lineVar(barry, lag=2, include="both", I="ADF")
> var_l2_adf_no <-lineVar(barry, lag=2, include="none", I="ADF")
> var_l2_adf_coAsExo <-lineVar(barry, lag=2, include="none", I="ADF", exogen=rep(1, nrow(barry)))
>
>
> var_all <- list(
+ var_l1_co, var_l1_tr, var_l1_bo, var_l1_no, var_l1_coAsExo,
+ var_l0_co, var_l0_tr, var_l0_bo, var_l0_coAsExo,
+ var_l3_co, var_l3_tr, var_l3_bo, var_l3_no, var_l3_coAsExo,
+ var_l2_diff_co, var_l2_diff_tr, var_l2_diff_bo, var_l2_diff_no, var_l2_diff_coAsExo,
+ var_l2_adf_co, var_l2_adf_tr, var_l2_adf_bo, var_l2_adf_no, var_l2_adf_coAsExo)
>
>
> names(var_all) <-c(
+ "var_l1_co", "var_l1_tr", "var_l1_bo", "var_l1_no", "var_l1_coAsExo",
+ "var_l0_co", "var_l0_tr", "var_l0_bo", "var_l0_coAsExo",
+ "var_l3_co", "var_l3_tr", "var_l3_bo", "var_l3_no", "var_l3_coAsExo",
+ "var_l2_diff_co", "var_l2_diff_tr", "var_l2_diff_bo", "var_l2_diff_no", "var_l2_diff_coAsExo",
+ "var_l2_adf_co", "var_l2_adf_tr", "var_l2_adf_bo", "var_l2_adf_no","var_l2_adf_coAsExo")
>
>
> ## Check methods:
> lapply(var_all, print)
Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.01606226 0.98184934 0.0006535181 -0.0005441472
Equation cpiUSA 0.47682275 -0.17515457 1.0034816358 -0.0035567095
Equation cpiCAN 0.33858157 0.07511337 -0.0023545869 0.9998414195
Trend dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.0001267674 0.9842553 0.001245808 -0.0006663591
Equation cpiUSA -0.0031568297 -0.0330855 1.017304394 -0.0060219580
Equation cpiCAN -0.0049290069 -0.1371091 0.024124244 0.9929378172
Intercept Trend dolcan -1 cpiUSA -1
Equation dolcan 0.007388597 -8.622274e-05 0.98107844 0.001083529
Equation cpiUSA 0.355501243 -1.206028e-03 -0.18593743 1.009496344
Equation cpiCAN -0.351032771 -6.855288e-03 0.01382157 0.031834151
cpiCAN -1
Equation dolcan -0.0006442119
Equation cpiUSA -0.0049563493
Equation cpiCAN 0.9918856026
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.9990246 0.0004597724 -4.232838e-04
Equation cpiUSA 0.3347079 0.9977301171 3.123187e-05
Equation cpiCAN 0.4371558 -0.0064386166 1.002389e+00
dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan 0.98184934 0.0006535181 -0.0005441472 0.01606226
Equation cpiUSA -0.17515457 1.0034816358 -0.0035567095 0.47682275
Equation cpiCAN 0.07511337 -0.0023545869 0.9998414195 0.33858157
Intercept
Equation dolcan 1.231588
Equation cpiUSA 71.664414
Equation cpiCAN 71.804784
Trend
Equation dolcan 0.006009626
Equation cpiUSA 0.397201333
Equation cpiCAN 0.400004285
Intercept Trend
Equation dolcan 1.024833 0.001272341
Equation cpiUSA 28.609033 0.264956187
Equation cpiCAN 27.342742 0.273612566
Trend exo_1
Equation dolcan 0.001272341 1.024833
Equation cpiUSA 0.264956187 28.609033
Equation cpiCAN 0.273612566 27.342742
Intercept dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan 0.0213132 1.1426667 -0.002923395 -5.319548e-05 -0.1947679
Equation cpiUSA 0.2297914 0.6115380 1.473715592 -3.413037e-02 -1.2214788
Equation cpiCAN 0.1465491 0.4721442 0.279405971 9.752629e-01 -0.6781416
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.003242556 -0.007019863 0.03224004 0.0002842096 0.006567983
Equation cpiUSA -0.497252953 0.109356758 0.54022104 0.0237898926 -0.075679565
Equation cpiCAN -0.269165141 0.196158934 0.33685344 -0.0136459464 -0.170361820
Trend dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.0001881242 1.1378299 -0.002052383 -0.001345096 -0.1939782
Equation cpiUSA -0.0009482088 0.6932990 1.485950589 -0.039084647 -1.2536289
Equation cpiCAN -0.0033032731 0.1897148 0.280103019 0.949680615 -0.5970450
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.002896672 -0.007040656 0.03788217 0.0006495858 0.007690921
Equation cpiUSA -0.498754452 0.109946225 0.62254152 0.0160737108 -0.071308210
Equation cpiCAN -0.275688578 0.194501980 0.33566340 0.0105541670 -0.148246352
Intercept Trend dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.006752721 -0.0001508005 1.1366000 -0.002387016 -0.00112091
Equation cpiUSA 0.296441336 0.0006902825 0.6393083 1.471260344 -0.02924296
Equation cpiCAN -0.369694108 -0.0053466472 0.2570470 0.298423330 0.93740698
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.1933896 0.002960306 -0.007050852 0.03565128 0.0007742571
Equation cpiUSA -1.2277882 -0.495960965 0.109498610 0.52460627 0.0215467227
Equation cpiCAN -0.6292711 -0.279172354 0.195060204 0.45779914 0.0037287348
cpiCAN -3
Equation dolcan 0.007494714
Equation cpiUSA -0.079921633
Equation cpiCAN -0.137504492
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 1.1611539 -0.001557016 0.0002180556 -0.2010610 0.003284684
Equation cpiUSA 0.8108598 1.488447400 -0.0312058403 -1.2893289 -0.496798740
Equation cpiCAN 0.5992614 0.288801154 0.9771279999 -0.7214129 -0.268875467
cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan -0.006898937 0.04162504 -0.001380531 0.006343534
Equation cpiUSA 0.110660533 0.64140684 0.005841242 -0.078099491
Equation cpiCAN 0.196990414 0.40138450 -0.025092665 -0.171905123
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 1.1426667 -0.002923395 -5.319548e-05 -0.1947679 0.003242556
Equation cpiUSA 0.6115380 1.473715592 -3.413037e-02 -1.2214788 -0.497252953
Equation cpiCAN 0.4721442 0.279405971 9.752629e-01 -0.6781416 -0.269165141
cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3 exo_1
Equation dolcan -0.007019863 0.03224004 0.0002842096 0.006567983 0.0213132
Equation cpiUSA 0.109356758 0.54022104 0.0237898926 -0.075679565 0.2297914
Equation cpiCAN 0.196158934 0.33685344 -0.0136459464 -0.170361820 0.1465491
Intercept dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan 0.003381125 0.1617849 -0.002353031 -0.0001260648 -0.03741108
Equation cpiUSA 0.122912595 0.6790979 0.479686920 -0.0255459970 -0.57705874
Equation cpiCAN 0.122931337 0.4349111 0.289182756 0.0073892530 -0.27376324
cpiUSA -2 cpiCAN -2
Equation dolcan 0.001311048 -0.007055727
Equation cpiUSA -0.020762565 0.084046495
Equation cpiCAN 0.005901144 0.203559141
Trend dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan 6.881061e-06 0.1700795 -0.0000530234 0.001237383 -0.03274944
Equation cpiUSA 2.664988e-04 0.9706962 0.5601041675 0.023760364 -0.41527155
Equation cpiCAN 1.112911e-04 0.8208368 0.3999317151 0.059156879 -0.03909198
cpiUSA -2 cpiCAN -2
Equation dolcan 0.003147651 -0.005464321
Equation cpiUSA 0.042855080 0.141273505
Equation cpiCAN 0.099407996 0.266724853
Intercept Trend dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.004385404 -4.912709e-06 0.1610634 -0.002475913 -0.00048570
Equation cpiUSA 0.151995174 -1.422654e-04 0.6582061 0.476128424 -0.03596055
Equation cpiCAN 0.222507194 -4.871027e-04 0.3633795 0.276998818 -0.02826914
dolcan -2 cpiUSA -2 cpiCAN -2
Equation dolcan -0.03744932 0.001317679 -0.007418833
Equation cpiUSA -0.57816617 -0.020570538 0.073531416
Equation cpiCAN -0.27755496 0.006558625 0.167556559
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 0.1742584 0.001290824 0.00134614 -0.02952010 0.004471999
Equation cpiUSA 1.1325421 0.612150449 0.02797246 -0.29020130 0.094146156
Equation cpiCAN 0.8884244 0.421666484 0.06091587 0.01313794 0.120827387
cpiCAN -2
Equation dolcan -0.005201487
Equation cpiUSA 0.151452883
Equation cpiCAN 0.270975808
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 0.1617849 -0.002353031 -0.0001260648 -0.03741108 0.001311048
Equation cpiUSA 0.6790979 0.479686920 -0.0255459970 -0.57705874 -0.020762565
Equation cpiCAN 0.4349111 0.289182756 0.0073892530 -0.27376324 0.005901144
cpiCAN -2 exo_1
Equation dolcan -0.007055727 0.003381125
Equation cpiUSA 0.084046495 0.122912595
Equation cpiCAN 0.203559141 0.122931337
Intercept dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan 0.0213132 -0.01986115 0.0006033709 -0.0005050753 0.1625279
Equation cpiUSA 0.2297914 -0.06971973 0.0002525317 -0.0004531813 0.6812577
Equation cpiCAN 0.1465491 0.13085606 -0.0034051167 0.0010599980 0.3412882
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.003526765 0.0004518798 -0.03224004 -0.0002842096
Equation cpiUSA 0.473463061 -0.0336771926 -0.54022104 -0.0237898926
Equation cpiCAN 0.282811088 -0.0257971141 -0.33685344 0.0136459464
D_cpiCAN -2
Equation dolcan -0.006567983
Equation cpiUSA 0.075679565
Equation cpiCAN 0.170361820
Trend dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan -0.0001881242 -0.01826616 0.001493875 -0.0006948306 0.1560960
Equation cpiUSA -0.0009482088 0.06221155 0.003269849 -0.0004466327 0.6310874
Equation cpiCAN -0.0033032731 -0.07166682 0.014968609 -0.0040637573 0.2613816
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.003546258 -0.0006502656 -0.03788217 -0.0006495858
Equation cpiUSA 0.482680741 -0.0386380146 -0.62254152 -0.0160737108
Equation cpiCAN 0.265134411 -0.0462556278 -0.33566340 -0.0105541670
D_cpiCAN -2
Equation dolcan -0.007690921
Equation cpiUSA 0.071308210
Equation cpiCAN 0.148246352
Intercept Trend dolcan-1 cpiUSA-1
Equation dolcan 0.006752721 -0.0001508005 -0.02113829 0.001347547
Equation cpiUSA 0.296441336 0.0006902825 -0.06387369 -0.003153899
Equation cpiCAN -0.369694108 -0.0053466472 0.08557500 0.022979710
cpiCAN-1 D_dolcan -1 D_cpiUSA -1 D_cpiCAN -1
Equation dolcan -0.0006770479 0.1577383 -0.003734563 -0.0004438617
Equation cpiUSA 0.0003340156 0.7031820 0.474414243 -0.0295769776
Equation cpiCAN -0.0050373093 0.1714720 0.275443620 -0.0575557118
D_dolcan -2 D_cpiUSA -2 D_cpiCAN -2
Equation dolcan -0.03565128 -0.0007742571 -0.007494714
Equation cpiUSA -0.52460627 -0.0215467227 0.079921633
Equation cpiCAN -0.45779914 -0.0037287348 0.137504492
dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan 0.001717879 0.0003471365 -0.0003373473 0.1594360
Equation cpiUSA 0.162937785 -0.0025100975 0.0013552021 0.6479220
Equation cpiCAN 0.279232965 -0.0051669784 0.0022132913 0.3200284
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.001904153 0.0005554029 -0.04162504 0.001380531
Equation cpiUSA 0.490957498 -0.0325610424 -0.64140684 -0.005841242
Equation cpiCAN 0.293968133 -0.0250852914 -0.40138450 0.025092665
D_cpiCAN -2
Equation dolcan -0.006343534
Equation cpiUSA 0.078099491
Equation cpiCAN 0.171905123
dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan -0.01986115 0.0006033709 -0.0005050753 0.1625279
Equation cpiUSA -0.06971973 0.0002525317 -0.0004531813 0.6812577
Equation cpiCAN 0.13085606 -0.0034051167 0.0010599980 0.3412882
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.003526765 0.0004518798 -0.03224004 -0.0002842096
Equation cpiUSA 0.473463061 -0.0336771926 -0.54022104 -0.0237898926
Equation cpiCAN 0.282811088 -0.0257971141 -0.33685344 0.0136459464
D_cpiCAN -2 exo_1
Equation dolcan -0.006567983 0.0213132
Equation cpiUSA 0.075679565 0.2297914
Equation cpiCAN 0.170361820 0.1465491
$var_l1_co
Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.01606226 0.98184934 0.0006535181 -0.0005441472
Equation cpiUSA 0.47682275 -0.17515457 1.0034816358 -0.0035567095
Equation cpiCAN 0.33858157 0.07511337 -0.0023545869 0.9998414195
$var_l1_tr
Trend dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.0001267674 0.9842553 0.001245808 -0.0006663591
Equation cpiUSA -0.0031568297 -0.0330855 1.017304394 -0.0060219580
Equation cpiCAN -0.0049290069 -0.1371091 0.024124244 0.9929378172
$var_l1_bo
Intercept Trend dolcan -1 cpiUSA -1
Equation dolcan 0.007388597 -8.622274e-05 0.98107844 0.001083529
Equation cpiUSA 0.355501243 -1.206028e-03 -0.18593743 1.009496344
Equation cpiCAN -0.351032771 -6.855288e-03 0.01382157 0.031834151
cpiCAN -1
Equation dolcan -0.0006442119
Equation cpiUSA -0.0049563493
Equation cpiCAN 0.9918856026
$var_l1_no
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.9990246 0.0004597724 -4.232838e-04
Equation cpiUSA 0.3347079 0.9977301171 3.123187e-05
Equation cpiCAN 0.4371558 -0.0064386166 1.002389e+00
$var_l1_coAsExo
dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan 0.98184934 0.0006535181 -0.0005441472 0.01606226
Equation cpiUSA -0.17515457 1.0034816358 -0.0035567095 0.47682275
Equation cpiCAN 0.07511337 -0.0023545869 0.9998414195 0.33858157
$var_l0_co
Intercept
Equation dolcan 1.231588
Equation cpiUSA 71.664414
Equation cpiCAN 71.804784
$var_l0_tr
Trend
Equation dolcan 0.006009626
Equation cpiUSA 0.397201333
Equation cpiCAN 0.400004285
$var_l0_bo
Intercept Trend
Equation dolcan 1.024833 0.001272341
Equation cpiUSA 28.609033 0.264956187
Equation cpiCAN 27.342742 0.273612566
$var_l0_coAsExo
Trend exo_1
Equation dolcan 0.001272341 1.024833
Equation cpiUSA 0.264956187 28.609033
Equation cpiCAN 0.273612566 27.342742
$var_l3_co
Intercept dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan 0.0213132 1.1426667 -0.002923395 -5.319548e-05 -0.1947679
Equation cpiUSA 0.2297914 0.6115380 1.473715592 -3.413037e-02 -1.2214788
Equation cpiCAN 0.1465491 0.4721442 0.279405971 9.752629e-01 -0.6781416
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.003242556 -0.007019863 0.03224004 0.0002842096 0.006567983
Equation cpiUSA -0.497252953 0.109356758 0.54022104 0.0237898926 -0.075679565
Equation cpiCAN -0.269165141 0.196158934 0.33685344 -0.0136459464 -0.170361820
$var_l3_tr
Trend dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.0001881242 1.1378299 -0.002052383 -0.001345096 -0.1939782
Equation cpiUSA -0.0009482088 0.6932990 1.485950589 -0.039084647 -1.2536289
Equation cpiCAN -0.0033032731 0.1897148 0.280103019 0.949680615 -0.5970450
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.002896672 -0.007040656 0.03788217 0.0006495858 0.007690921
Equation cpiUSA -0.498754452 0.109946225 0.62254152 0.0160737108 -0.071308210
Equation cpiCAN -0.275688578 0.194501980 0.33566340 0.0105541670 -0.148246352
$var_l3_bo
Intercept Trend dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.006752721 -0.0001508005 1.1366000 -0.002387016 -0.00112091
Equation cpiUSA 0.296441336 0.0006902825 0.6393083 1.471260344 -0.02924296
Equation cpiCAN -0.369694108 -0.0053466472 0.2570470 0.298423330 0.93740698
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.1933896 0.002960306 -0.007050852 0.03565128 0.0007742571
Equation cpiUSA -1.2277882 -0.495960965 0.109498610 0.52460627 0.0215467227
Equation cpiCAN -0.6292711 -0.279172354 0.195060204 0.45779914 0.0037287348
cpiCAN -3
Equation dolcan 0.007494714
Equation cpiUSA -0.079921633
Equation cpiCAN -0.137504492
$var_l3_no
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 1.1611539 -0.001557016 0.0002180556 -0.2010610 0.003284684
Equation cpiUSA 0.8108598 1.488447400 -0.0312058403 -1.2893289 -0.496798740
Equation cpiCAN 0.5992614 0.288801154 0.9771279999 -0.7214129 -0.268875467
cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan -0.006898937 0.04162504 -0.001380531 0.006343534
Equation cpiUSA 0.110660533 0.64140684 0.005841242 -0.078099491
Equation cpiCAN 0.196990414 0.40138450 -0.025092665 -0.171905123
$var_l3_coAsExo
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 1.1426667 -0.002923395 -5.319548e-05 -0.1947679 0.003242556
Equation cpiUSA 0.6115380 1.473715592 -3.413037e-02 -1.2214788 -0.497252953
Equation cpiCAN 0.4721442 0.279405971 9.752629e-01 -0.6781416 -0.269165141
cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3 exo_1
Equation dolcan -0.007019863 0.03224004 0.0002842096 0.006567983 0.0213132
Equation cpiUSA 0.109356758 0.54022104 0.0237898926 -0.075679565 0.2297914
Equation cpiCAN 0.196158934 0.33685344 -0.0136459464 -0.170361820 0.1465491
$var_l2_diff_co
Intercept dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan 0.003381125 0.1617849 -0.002353031 -0.0001260648 -0.03741108
Equation cpiUSA 0.122912595 0.6790979 0.479686920 -0.0255459970 -0.57705874
Equation cpiCAN 0.122931337 0.4349111 0.289182756 0.0073892530 -0.27376324
cpiUSA -2 cpiCAN -2
Equation dolcan 0.001311048 -0.007055727
Equation cpiUSA -0.020762565 0.084046495
Equation cpiCAN 0.005901144 0.203559141
$var_l2_diff_tr
Trend dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan 6.881061e-06 0.1700795 -0.0000530234 0.001237383 -0.03274944
Equation cpiUSA 2.664988e-04 0.9706962 0.5601041675 0.023760364 -0.41527155
Equation cpiCAN 1.112911e-04 0.8208368 0.3999317151 0.059156879 -0.03909198
cpiUSA -2 cpiCAN -2
Equation dolcan 0.003147651 -0.005464321
Equation cpiUSA 0.042855080 0.141273505
Equation cpiCAN 0.099407996 0.266724853
$var_l2_diff_bo
Intercept Trend dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.004385404 -4.912709e-06 0.1610634 -0.002475913 -0.00048570
Equation cpiUSA 0.151995174 -1.422654e-04 0.6582061 0.476128424 -0.03596055
Equation cpiCAN 0.222507194 -4.871027e-04 0.3633795 0.276998818 -0.02826914
dolcan -2 cpiUSA -2 cpiCAN -2
Equation dolcan -0.03744932 0.001317679 -0.007418833
Equation cpiUSA -0.57816617 -0.020570538 0.073531416
Equation cpiCAN -0.27755496 0.006558625 0.167556559
$var_l2_diff_no
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 0.1742584 0.001290824 0.00134614 -0.02952010 0.004471999
Equation cpiUSA 1.1325421 0.612150449 0.02797246 -0.29020130 0.094146156
Equation cpiCAN 0.8884244 0.421666484 0.06091587 0.01313794 0.120827387
cpiCAN -2
Equation dolcan -0.005201487
Equation cpiUSA 0.151452883
Equation cpiCAN 0.270975808
$var_l2_diff_coAsExo
dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 0.1617849 -0.002353031 -0.0001260648 -0.03741108 0.001311048
Equation cpiUSA 0.6790979 0.479686920 -0.0255459970 -0.57705874 -0.020762565
Equation cpiCAN 0.4349111 0.289182756 0.0073892530 -0.27376324 0.005901144
cpiCAN -2 exo_1
Equation dolcan -0.007055727 0.003381125
Equation cpiUSA 0.084046495 0.122912595
Equation cpiCAN 0.203559141 0.122931337
$var_l2_adf_co
Intercept dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan 0.0213132 -0.01986115 0.0006033709 -0.0005050753 0.1625279
Equation cpiUSA 0.2297914 -0.06971973 0.0002525317 -0.0004531813 0.6812577
Equation cpiCAN 0.1465491 0.13085606 -0.0034051167 0.0010599980 0.3412882
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.003526765 0.0004518798 -0.03224004 -0.0002842096
Equation cpiUSA 0.473463061 -0.0336771926 -0.54022104 -0.0237898926
Equation cpiCAN 0.282811088 -0.0257971141 -0.33685344 0.0136459464
D_cpiCAN -2
Equation dolcan -0.006567983
Equation cpiUSA 0.075679565
Equation cpiCAN 0.170361820
$var_l2_adf_tr
Trend dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan -0.0001881242 -0.01826616 0.001493875 -0.0006948306 0.1560960
Equation cpiUSA -0.0009482088 0.06221155 0.003269849 -0.0004466327 0.6310874
Equation cpiCAN -0.0033032731 -0.07166682 0.014968609 -0.0040637573 0.2613816
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.003546258 -0.0006502656 -0.03788217 -0.0006495858
Equation cpiUSA 0.482680741 -0.0386380146 -0.62254152 -0.0160737108
Equation cpiCAN 0.265134411 -0.0462556278 -0.33566340 -0.0105541670
D_cpiCAN -2
Equation dolcan -0.007690921
Equation cpiUSA 0.071308210
Equation cpiCAN 0.148246352
$var_l2_adf_bo
Intercept Trend dolcan-1 cpiUSA-1
Equation dolcan 0.006752721 -0.0001508005 -0.02113829 0.001347547
Equation cpiUSA 0.296441336 0.0006902825 -0.06387369 -0.003153899
Equation cpiCAN -0.369694108 -0.0053466472 0.08557500 0.022979710
cpiCAN-1 D_dolcan -1 D_cpiUSA -1 D_cpiCAN -1
Equation dolcan -0.0006770479 0.1577383 -0.003734563 -0.0004438617
Equation cpiUSA 0.0003340156 0.7031820 0.474414243 -0.0295769776
Equation cpiCAN -0.0050373093 0.1714720 0.275443620 -0.0575557118
D_dolcan -2 D_cpiUSA -2 D_cpiCAN -2
Equation dolcan -0.03565128 -0.0007742571 -0.007494714
Equation cpiUSA -0.52460627 -0.0215467227 0.079921633
Equation cpiCAN -0.45779914 -0.0037287348 0.137504492
$var_l2_adf_no
dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan 0.001717879 0.0003471365 -0.0003373473 0.1594360
Equation cpiUSA 0.162937785 -0.0025100975 0.0013552021 0.6479220
Equation cpiCAN 0.279232965 -0.0051669784 0.0022132913 0.3200284
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.001904153 0.0005554029 -0.04162504 0.001380531
Equation cpiUSA 0.490957498 -0.0325610424 -0.64140684 -0.005841242
Equation cpiCAN 0.293968133 -0.0250852914 -0.40138450 0.025092665
D_cpiCAN -2
Equation dolcan -0.006343534
Equation cpiUSA 0.078099491
Equation cpiCAN 0.171905123
$var_l2_adf_coAsExo
dolcan-1 cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan -0.01986115 0.0006033709 -0.0005050753 0.1625279
Equation cpiUSA -0.06971973 0.0002525317 -0.0004531813 0.6812577
Equation cpiCAN 0.13085606 -0.0034051167 0.0010599980 0.3412882
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.003526765 0.0004518798 -0.03224004 -0.0002842096
Equation cpiUSA 0.473463061 -0.0336771926 -0.54022104 -0.0237898926
Equation cpiCAN 0.282811088 -0.0257971141 -0.33685344 0.0136459464
D_cpiCAN -2 exo_1
Equation dolcan -0.006567983 0.0213132
Equation cpiUSA 0.075679565 0.2297914
Equation cpiCAN 0.170361820 0.1465491
> lapply(var_all, summary)
$var_l1_co
#############
###Model VAR
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 12
AIC -4867.939 BIC -4822.608 SSR 29.23749
Intercept dolcan -1 cpiUSA -1
Equation dolcan 0.0161(0.0084). 0.9818(0.0093)*** 0.0007(0.0003)*
Equation cpiUSA 0.4768(0.1147)*** -0.1752(0.1275) 1.0035(0.0044)***
Equation cpiCAN 0.3386(0.1591)* 0.0751(0.1770) -0.0024(0.0062)
cpiCAN -1
Equation dolcan -0.0005(0.0003).
Equation cpiUSA -0.0036(0.0041)
Equation cpiCAN 0.9998(0.0056)***
$var_l1_tr
#############
###Model VAR
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 12
AIC -4875.198 BIC -4829.866 SSR 28.55718
Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0001(6.2e-05)* 0.9843(0.0076)*** 0.0012(0.0005)*
Equation cpiUSA -0.0032(0.0009)*** -0.0331(0.1053) 1.0173(0.0068)***
Equation cpiCAN -0.0049(0.0012)*** -0.1371(0.1423) 0.0241(0.0092)**
cpiCAN -1
Equation dolcan -0.0007(0.0003)*
Equation cpiUSA -0.0060(0.0043)
Equation cpiCAN 0.9929(0.0058)***
$var_l1_bo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 15
AIC -4879.388 BIC -4822.723 SSR 28.29124
Intercept Trend dolcan -1
Equation dolcan 0.0074(0.0125) -8.6e-05(9.2e-05) 0.9811(0.0093)***
Equation cpiUSA 0.3555(0.1714)* -0.0012(0.0013) -0.1859(0.1281)
Equation cpiCAN -0.3510(0.2324) -0.0069(0.0017)*** 0.0138(0.1736)
cpiUSA -1 cpiCAN -1
Equation dolcan 0.0011(0.0006). -0.0006(0.0003)*
Equation cpiUSA 1.0095(0.0077)*** -0.0050(0.0043)
Equation cpiCAN 0.0318(0.0105)** 0.9919(0.0058)***
$var_l1_no
#############
###Model VAR
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 9
AIC -4851.887 BIC -4817.888 SSR 30.05131
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.9990(0.0026)*** 0.0005(0.0003) -0.0004(0.0003)
Equation cpiUSA 0.3347(0.0359)*** 0.9977(0.0043)*** 3.1e-05(0.0041)
Equation cpiCAN 0.4372(0.0489)*** -0.0064(0.0059) 1.0024(0.0055)***
$var_l1_coAsExo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 12
AIC -4867.939 BIC -4822.608 SSR 29.23749
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.9818(0.0093)*** 0.0007(0.0003)* -0.0005(0.0003).
Equation cpiUSA -0.1752(0.1275) 1.0035(0.0044)*** -0.0036(0.0041)
Equation cpiCAN 0.0751(0.1770) -0.0024(0.0062) 0.9998(0.0056)***
exo_1
Equation dolcan 0.0161(0.0084).
Equation cpiUSA 0.4768(0.1147)***
Equation cpiCAN 0.3386(0.1591)*
$var_l0_co
#############
###Model VAR
#############
Full sample size: 324 End sample size: 324
Number of variables: 3 Number of estimated slope parameters 3
AIC 1036.999 BIC 1048.341 SSR 417858
Intercept
Equation dolcan 1.2316(0.0080)***
Equation cpiUSA 71.6644(1.3844)***
Equation cpiCAN 71.8048(1.4410)***
$var_l0_tr
#############
###Model VAR
#############
Full sample size: 324 End sample size: 324
Number of variables: 3 Number of estimated slope parameters 3
AIC 827.5667 BIC 838.9089 SSR 133042.9
Trend
Equation dolcan 0.0060(0.0002)***
Equation cpiUSA 0.3972(0.0043)***
Equation cpiCAN 0.4000(0.0042)***
$var_l0_bo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 324
Number of variables: 3 Number of estimated slope parameters 6
AIC -567.7922 BIC -545.1077 SSR 6690.337
Intercept Trend
Equation dolcan 1.0248(0.0091)*** 0.0013(4.8e-05)***
Equation cpiUSA 28.6090(0.2469)*** 0.2650(0.0013)***
Equation cpiCAN 27.3427(0.4434)*** 0.2736(0.0024)***
$var_l0_coAsExo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 324
Number of variables: 3 Number of estimated slope parameters 6
AIC -567.7922 BIC -545.1077 SSR 6690.337
Trend exo_1
Equation dolcan 0.0013(4.8e-05)*** 1.0248(0.0091)***
Equation cpiUSA 0.2650(0.0013)*** 28.6090(0.2469)***
Equation cpiCAN 0.2736(0.0024)*** 27.3427(0.4434)***
$var_l3_co
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 30
AIC -4901.837 BIC -4788.693 SSR 25.40966
Intercept dolcan -1 cpiUSA -1
Equation dolcan 0.0213(0.0087)* 1.1427(0.0563)*** -0.0029(0.0047)
Equation cpiUSA 0.2298(0.1080)* 0.6115(0.6982) 1.4737(0.0587)***
Equation cpiCAN 0.1465(0.1625) 0.4721(1.0511) 0.2794(0.0884)**
cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan -5.3e-05(0.0031) -0.1948(0.0851)* 0.0032(0.0080)
Equation cpiUSA -0.0341(0.0386) -1.2215(1.0544) -0.4973(0.0994)***
Equation cpiCAN 0.9753(0.0581)*** -0.6781(1.5874) -0.2692(0.1497).
cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.0070(0.0044) 0.0322(0.0562) 0.0003(0.0049)
Equation cpiUSA 0.1094(0.0544)* 0.5402(0.6962) 0.0238(0.0603)
Equation cpiCAN 0.1962(0.0820)* 0.3369(1.0481) -0.0136(0.0908)
cpiCAN -3
Equation dolcan 0.0066(0.0031)*
Equation cpiUSA -0.0757(0.0388).
Equation cpiCAN -0.1704(0.0583)**
$var_l3_tr
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 30
AIC -4907.476 BIC -4794.333 SSR 25.12657
Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0002(6.6e-05)** 1.1378(0.0562)*** -0.0021(0.0047)
Equation cpiUSA -0.0009(0.0008) 0.6933(0.7029) 1.4860(0.0586)***
Equation cpiCAN -0.0033(0.0012)** 0.1897(1.0418) 0.2801(0.0869)**
cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan -0.0013(0.0031) -0.1940(0.0848)* 0.0029(0.0080)
Equation cpiUSA -0.0391(0.0394) -1.2536(1.0598) -0.4988(0.1000)***
Equation cpiCAN 0.9497(0.0583)*** -0.5970(1.5709) -0.2757(0.1482).
cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.0070(0.0044) 0.0379(0.0558) 0.0006(0.0049)
Equation cpiUSA 0.1099(0.0547)* 0.6225(0.6983) 0.0161(0.0607)
Equation cpiCAN 0.1945(0.0811)* 0.3357(1.0351) 0.0106(0.0899)
cpiCAN -3
Equation dolcan 0.0077(0.0031)*
Equation cpiUSA -0.0713(0.0394).
Equation cpiCAN -0.1482(0.0584)*
$var_l3_bo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 33
AIC -4910.109 BIC -4785.651 SSR 24.9023
Intercept Trend dolcan -1
Equation dolcan 0.0068(0.0127) -0.0002(9.6e-05) 1.1366(0.0563)***
Equation cpiUSA 0.2964(0.1583). 0.0007(0.0012) 0.6393(0.7006)
Equation cpiCAN -0.3697(0.2350) -0.0053(0.0018)** 0.2570(1.0403)
cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.0024(0.0047) -0.0011(0.0032) -0.1934(0.0849)*
Equation cpiUSA 1.4713(0.0589)*** -0.0292(0.0395) -1.2278(1.0556)
Equation cpiCAN 0.2984(0.0875)*** 0.9374(0.0587)*** -0.6293(1.5674)
cpiUSA -2 cpiCAN -2 dolcan -3
Equation dolcan 0.0030(0.0080) -0.0071(0.0044) 0.0357(0.0561)
Equation cpiUSA -0.4960(0.0996)*** 0.1095(0.0545)* 0.5246(0.6975)
Equation cpiCAN -0.2792(0.1478). 0.1951(0.0809)* 0.4578(1.0356)
cpiUSA -3 cpiCAN -3
Equation dolcan 0.0008(0.0049) 0.0075(0.0032)*
Equation cpiUSA 0.0215(0.0605) -0.0799(0.0395)*
Equation cpiCAN 0.0037(0.0898) -0.1375(0.0586)*
$var_l3_no
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 27
AIC -4896.79 BIC -4794.961 SSR 25.56968
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 1.1612(0.0563)*** -0.0016(0.0047) 0.0002(0.0031)
Equation cpiUSA 0.8109(0.6958) 1.4884(0.0586)*** -0.0312(0.0388)
Equation cpiCAN 0.5993(1.0413) 0.2888(0.0877)** 0.9771(0.0580)***
dolcan -2 cpiUSA -2 cpiCAN -2
Equation dolcan -0.2011(0.0857)* 0.0033(0.0081) -0.0069(0.0044)
Equation cpiUSA -1.2893(1.0599) -0.4968(0.1000)*** 0.1107(0.0548)*
Equation cpiCAN -0.7214(1.5862) -0.2689(0.1497). 0.1970(0.0819)*
dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.0416(0.0565) -0.0014(0.0049) 0.0063(0.0031)*
Equation cpiUSA 0.6414(0.6985) 0.0058(0.0601) -0.0781(0.0390)*
Equation cpiCAN 0.4014(1.0453) -0.0251(0.0899) -0.1719(0.0583)**
$var_l3_coAsExo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 30
AIC -4901.837 BIC -4788.693 SSR 25.40966
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 1.1427(0.0563)*** -0.0029(0.0047) -5.3e-05(0.0031)
Equation cpiUSA 0.6115(0.6982) 1.4737(0.0587)*** -0.0341(0.0386)
Equation cpiCAN 0.4721(1.0511) 0.2794(0.0884)** 0.9753(0.0581)***
dolcan -2 cpiUSA -2 cpiCAN -2
Equation dolcan -0.1948(0.0851)* 0.0032(0.0080) -0.0070(0.0044)
Equation cpiUSA -1.2215(1.0544) -0.4973(0.0994)*** 0.1094(0.0544)*
Equation cpiCAN -0.6781(1.5874) -0.2692(0.1497). 0.1962(0.0820)*
dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.0322(0.0562) 0.0003(0.0049) 0.0066(0.0031)*
Equation cpiUSA 0.5402(0.6962) 0.0238(0.0603) -0.0757(0.0388).
Equation cpiCAN 0.3369(1.0481) -0.0136(0.0908) -0.1704(0.0583)**
exo_1
Equation dolcan 0.0213(0.0087)*
Equation cpiUSA 0.2298(0.1080)*
Equation cpiCAN 0.1465(0.1625)
$var_l2_diff_co
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 21
AIC -4902.876 BIC -4823.675 SSR 26.01173
Intercept dolcan -1 cpiUSA -1
Equation dolcan 0.0034(0.0015)* 0.1618(0.0560)** -0.0024(0.0047)
Equation cpiUSA 0.1229(0.0185)*** 0.6791(0.6908) 0.4797(0.0585)***
Equation cpiCAN 0.1229(0.0282)*** 0.4349(1.0514) 0.2892(0.0891)**
cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan -0.0001(0.0031) -0.0374(0.0561) 0.0013(0.0048)
Equation cpiUSA -0.0255(0.0379) -0.5771(0.6919) -0.0208(0.0596)
Equation cpiCAN 0.0074(0.0577) -0.2738(1.0531) 0.0059(0.0908)
cpiCAN -2
Equation dolcan -0.0071(0.0031)*
Equation cpiUSA 0.0840(0.0379)*
Equation cpiCAN 0.2036(0.0577)***
$var_l2_diff_tr
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 21
AIC -4865.286 BIC -4786.086 SSR 27.74863
Trend dolcan -1 cpiUSA -1
Equation dolcan 6.9e-06(5.5e-06) 0.1701(0.0562)** -5.3e-05(0.0046)
Equation cpiUSA 0.0003(7.0e-05)*** 0.9707(0.7190) 0.5601(0.0591)***
Equation cpiCAN 0.0001(0.0001) 0.8208(1.0775) 0.3999(0.0885)***
cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 0.0012(0.0030) -0.0327(0.0564) 0.0031(0.0048)
Equation cpiUSA 0.0238(0.0387) -0.4153(0.7218) 0.0429(0.0611)
Equation cpiCAN 0.0592(0.0580) -0.0391(1.0816) 0.0994(0.0915)
cpiCAN -2
Equation dolcan -0.0055(0.0030).
Equation cpiUSA 0.1413(0.0382)***
Equation cpiCAN 0.2667(0.0573)***
$var_l2_diff_bo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 24
AIC -4908.37 BIC -4817.856 SSR 25.37086
Intercept Trend dolcan -1
Equation dolcan 0.0044(0.0022). -4.9e-06(8.1e-06) 0.1611(0.0561)**
Equation cpiUSA 0.1520(0.0275)*** -0.0001(1.0e-04) 0.6582(0.6898)
Equation cpiCAN 0.2225(0.0414)*** -0.0005(0.0002)** 0.3634(1.0361)
cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.0025(0.0048) -0.0005(0.0031) -0.0374(0.0562)
Equation cpiUSA 0.4761(0.0585)*** -0.0360(0.0386) -0.5782(0.6908)
Equation cpiCAN 0.2770(0.0878)** -0.0283(0.0579) -0.2776(1.0374)
cpiUSA -2 cpiCAN -2
Equation dolcan 0.0013(0.0048) -0.0074(0.0031)*
Equation cpiUSA -0.0206(0.0595) 0.0735(0.0386).
Equation cpiCAN 0.0066(0.0894) 0.1676(0.0579)**
$var_l2_diff_no
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 18
AIC -4855.443 BIC -4787.557 SSR 28.20989
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.1743(0.0561)** 0.0013(0.0045) 0.0013(0.0030)
Equation cpiUSA 1.1325(0.7329) 0.6122(0.0587)*** 0.0280(0.0395)
Equation cpiCAN 0.8884(1.0758) 0.4217(0.0861)*** 0.0609(0.0580)
dolcan -2 cpiUSA -2 cpiCAN -2
Equation dolcan -0.0295(0.0564) 0.0045(0.0047) -0.0052(0.0030).
Equation cpiUSA -0.2902(0.7362) 0.0941(0.0608) 0.1515(0.0389)***
Equation cpiCAN 0.0131(1.0807) 0.1208(0.0893) 0.2710(0.0571)***
$var_l2_diff_coAsExo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 21
AIC -4902.876 BIC -4823.675 SSR 26.01173
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.1618(0.0560)** -0.0024(0.0047) -0.0001(0.0031)
Equation cpiUSA 0.6791(0.6908) 0.4797(0.0585)*** -0.0255(0.0379)
Equation cpiCAN 0.4349(1.0514) 0.2892(0.0891)** 0.0074(0.0577)
dolcan -2 cpiUSA -2 cpiCAN -2
Equation dolcan -0.0374(0.0561) 0.0013(0.0048) -0.0071(0.0031)*
Equation cpiUSA -0.5771(0.6919) -0.0208(0.0596) 0.0840(0.0379)*
Equation cpiCAN -0.2738(1.0531) 0.0059(0.0908) 0.2036(0.0577)***
exo_1
Equation dolcan 0.0034(0.0015)*
Equation cpiUSA 0.1229(0.0185)***
Equation cpiCAN 0.1229(0.0282)***
$var_l2_adf_co
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 30
AIC -4901.837 BIC -4788.693 SSR 25.40966
Intercept dolcan-1 cpiUSA-1
Equation dolcan 0.0213(0.0087)* -0.0199(0.0094)* 0.0006(0.0003).
Equation cpiUSA 0.2298(0.1080)* -0.0697(0.1163) 0.0003(0.0041)
Equation cpiCAN 0.1465(0.1625) 0.1309(0.1751) -0.0034(0.0061)
cpiCAN-1 D_dolcan -1 D_cpiUSA -1
Equation dolcan -0.0005(0.0003). 0.1625(0.0559)** -0.0035(0.0048)
Equation cpiUSA -0.0005(0.0037) 0.6813(0.6934) 0.4735(0.0589)***
Equation cpiCAN 0.0011(0.0056) 0.3413(1.0439) 0.2828(0.0887)**
D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan 0.0005(0.0031) -0.0322(0.0562) -0.0003(0.0049)
Equation cpiUSA -0.0337(0.0388) -0.5402(0.6962) -0.0238(0.0603)
Equation cpiCAN -0.0258(0.0585) -0.3369(1.0481) 0.0136(0.0908)
D_cpiCAN -2
Equation dolcan -0.0066(0.0031)*
Equation cpiUSA 0.0757(0.0388).
Equation cpiCAN 0.1704(0.0583)**
$var_l2_adf_tr
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 30
AIC -4907.476 BIC -4794.333 SSR 25.12657
Trend dolcan-1 cpiUSA-1
Equation dolcan -0.0002(6.6e-05)** -0.0183(0.0077)* 0.0015(0.0005)**
Equation cpiUSA -0.0009(0.0008) 0.0622(0.0959) 0.0033(0.0063)
Equation cpiCAN -0.0033(0.0012)** -0.0717(0.1422) 0.0150(0.0094)
cpiCAN-1 D_dolcan -1 D_cpiUSA -1
Equation dolcan -0.0007(0.0003)* 0.1561(0.0557)** -0.0035(0.0047)
Equation cpiUSA -0.0004(0.0039) 0.6311(0.6969) 0.4827(0.0591)***
Equation cpiCAN -0.0041(0.0059) 0.2614(1.0331) 0.2651(0.0875)**
D_cpiCAN -1 D_dolcan -2 D_cpiUSA -2
Equation dolcan -0.0007(0.0031) -0.0379(0.0558) -0.0006(0.0049)
Equation cpiUSA -0.0386(0.0394) -0.6225(0.6983) -0.0161(0.0607)
Equation cpiCAN -0.0463(0.0584) -0.3357(1.0351) -0.0106(0.0899)
D_cpiCAN -2
Equation dolcan -0.0077(0.0031)*
Equation cpiUSA 0.0713(0.0394).
Equation cpiCAN 0.1482(0.0584)*
$var_l2_adf_bo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 33
AIC -4910.109 BIC -4785.651 SSR 24.9023
Intercept Trend dolcan-1
Equation dolcan 0.0068(0.0127) -0.0002(9.6e-05) -0.0211(0.0094)*
Equation cpiUSA 0.2964(0.1583). 0.0007(0.0012) -0.0639(0.1169)
Equation cpiCAN -0.3697(0.2350) -0.0053(0.0018)** 0.0856(0.1735)
cpiUSA-1 cpiCAN-1 D_dolcan -1
Equation dolcan 0.0013(0.0006)* -0.0007(0.0003)* 0.1577(0.0559)**
Equation cpiUSA -0.0032(0.0072) 0.0003(0.0040) 0.7032(0.6952)
Equation cpiCAN 0.0230(0.0107)* -0.0050(0.0059) 0.1715(1.0322)
D_cpiUSA -1 D_cpiCAN -1 D_dolcan -2
Equation dolcan -0.0037(0.0047) -0.0004(0.0032) -0.0357(0.0561)
Equation cpiUSA 0.4744(0.0590)*** -0.0296(0.0395) -0.5246(0.6975)
Equation cpiCAN 0.2754(0.0876)** -0.0576(0.0587) -0.4578(1.0356)
D_cpiUSA -2 D_cpiCAN -2
Equation dolcan -0.0008(0.0049) -0.0075(0.0032)*
Equation cpiUSA -0.0215(0.0605) 0.0799(0.0395)*
Equation cpiCAN -0.0037(0.0898) 0.1375(0.0586)*
$var_l2_adf_no
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 27
AIC -4896.79 BIC -4794.961 SSR 25.56968
dolcan-1 cpiUSA-1 cpiCAN-1
Equation dolcan 0.0017(0.0032) 0.0003(0.0003) -0.0003(0.0003)
Equation cpiUSA 0.1629(0.0399)*** -0.0025(0.0039) 0.0014(0.0036)
Equation cpiCAN 0.2792(0.0597)*** -0.0052(0.0058) 0.0022(0.0054)
D_dolcan -1 D_cpiUSA -1 D_cpiCAN -1
Equation dolcan 0.1594(0.0564)** -0.0019(0.0047) 0.0006(0.0032)
Equation cpiUSA 0.6479(0.6972) 0.4910(0.0586)*** -0.0326(0.0390)
Equation cpiCAN 0.3200(1.0433) 0.2940(0.0878)*** -0.0251(0.0584)
D_dolcan -2 D_cpiUSA -2 D_cpiCAN -2
Equation dolcan -0.0416(0.0565) 0.0014(0.0049) -0.0063(0.0031)*
Equation cpiUSA -0.6414(0.6985) -0.0058(0.0601) 0.0781(0.0390)*
Equation cpiCAN -0.4014(1.0453) 0.0251(0.0899) 0.1719(0.0583)**
$var_l2_adf_coAsExo
#############
###Model VAR
#############
Full sample size: 324 End sample size: 321
Number of variables: 3 Number of estimated slope parameters 30
AIC -4901.837 BIC -4788.693 SSR 25.40966
dolcan-1 cpiUSA-1 cpiCAN-1
Equation dolcan -0.0199(0.0094)* 0.0006(0.0003). -0.0005(0.0003).
Equation cpiUSA -0.0697(0.1163) 0.0003(0.0041) -0.0005(0.0037)
Equation cpiCAN 0.1309(0.1751) -0.0034(0.0061) 0.0011(0.0056)
D_dolcan -1 D_cpiUSA -1 D_cpiCAN -1
Equation dolcan 0.1625(0.0559)** -0.0035(0.0048) 0.0005(0.0031)
Equation cpiUSA 0.6813(0.6934) 0.4735(0.0589)*** -0.0337(0.0388)
Equation cpiCAN 0.3413(1.0439) 0.2828(0.0887)** -0.0258(0.0585)
D_dolcan -2 D_cpiUSA -2 D_cpiCAN -2
Equation dolcan -0.0322(0.0562) -0.0003(0.0049) -0.0066(0.0031)*
Equation cpiUSA -0.5402(0.6962) -0.0238(0.0603) 0.0757(0.0388).
Equation cpiCAN -0.3369(1.0481) 0.0136(0.0908) 0.1704(0.0583)**
exo_1
Equation dolcan 0.0213(0.0087)*
Equation cpiUSA 0.2298(0.1080)*
Equation cpiCAN 0.1465(0.1625)
> lapply(var_all, function(x) summary(x)$coefMat)
$var_l1_co
Estimate Std. Error t value Pr(>|t|)
dolcan:Intercept 0.0160622568 0.0083612843 1.9210275 5.561926e-02
dolcan:dolcan-1 0.9818493432 0.0092983653 105.5937590 3.279639e-250
dolcan:cpiUSA-1 0.0006535181 0.0003237999 2.0182777 4.439898e-02
dolcan:cpiCAN-1 -0.0005441472 0.0002953252 -1.8425358 6.632464e-02
cpiUSA:Intercept 0.4768227472 0.1146945165 4.1573282 4.142008e-05
cpiUSA:dolcan-1 -0.1751545686 0.1275487678 -1.3732361 1.706434e-01
cpiUSA:cpiUSA-1 1.0034816358 0.0044416709 225.9243541 0.000000e+00
cpiUSA:cpiCAN-1 -0.0035567095 0.0040510735 -0.8779672 3.806223e-01
cpiCAN:Intercept 0.3385815722 0.1591236070 2.1277897 3.412104e-02
cpiCAN:dolcan-1 0.0751133726 0.1769571958 0.4244720 6.715078e-01
cpiCAN:cpiUSA-1 -0.0023545869 0.0061622362 -0.3820994 7.026420e-01
cpiCAN:cpiCAN-1 0.9998414195 0.0056203335 177.8971687 3.221308e-321
$var_l1_tr