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VECM_TEST.Rout.save
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R version 3.5.2 (2018-12-20) -- "Eggshell Igloo"
Copyright (C) 2018 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)
>
>
> data(zeroyld)
> data(barry)
>
>
>
>
> ## Test a few VECM models
> vecm_OLS_l1_co <-VECM(barry, lag=1)
> vecm_OLS_l3_co <-VECM(barry, lag=3, include="const")
> vecm_OLS_l3_co_betaGiven<-VECM(barry, lag=3, include="const", beta=c(0.1, -0.05))
> vecm_OLS_l1_tr <-VECM(barry, lag=1, include="trend")
> vecm_OLS_l1_bo <-VECM(barry, lag=1, include="both")
> vecm_OLS_l1_no <-VECM(barry, lag=1, include="none")
> vecm_OLS_l1_coAsExo <-VECM(barry, lag=1, include="none", exogen=rep(1, nrow(barry)))
> vecm_OLS_l3_coAsExo <-VECM(barry, lag=3, include="none", exogen=rep(1, nrow(barry)))
>
> vecm_OLS_l0_co <-VECM(barry, lag=0)
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> vecm_OLS_l0_tr <-VECM(barry, lag=0, include="trend")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> vecm_ML_l0_co <-VECM(barry, lag=0, include="const", estim="ML")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> vecm_ML_l0_tr <-VECM(barry, lag=0, include="trend", estim="ML")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> vecm_ML_l0_bo <-VECM(barry, lag=0, include="both", estim="ML")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> vecm_ML_l0_no <-VECM(barry, lag=0, include="none", estim="ML")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
> vecm_ML_l0_LRco <-VECM(barry, lag=0, LRinclude="const", estim="ML")
Warning messages:
1: In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
2: In lineVar(data, lag, r = r, include = include, model = "VECM", :
When `LRinclude` is either 'const' or 'both', `include` can only be `none`.
Setting include='none'.
> vecm_ML_l0_LRtr <-VECM(barry, lag=0, LRinclude="trend", estim="ML")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,...
>
> vecm_OLS_l1_LRco <-VECM(barry, lag=1, LRinclude="const")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
When `LRinclude` is either 'const' or 'both', `include` can only be `none`.
Setting include='none'.
> vecm_OLS_l1_LRtr <-VECM(barry, lag=1, LRinclude="trend")
> vecm_OLS_l1_LRtr_noCo <-VECM(barry, lag=1, LRinclude="trend", include="none")
> vecm_OLS_l1_LRbo <-VECM(barry, lag=1, LRinclude="both")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
When `LRinclude` is either 'const' or 'both', `include` can only be `none`.
Setting include='none'.
>
> vecm_ML_l1_co <-VECM(barry, lag=1, estim="ML")
> vecm_ML_l3_co <-VECM(barry, lag=3, include="const", estim="ML")
> vecm_ML_l3_co_betaGiven<-VECM(barry, lag=3, include="const", beta=c(-0.035,0.04), estim="ML")
> vecm_ML_l1_tr <-VECM(barry, lag=1, include="trend", estim="ML")
> vecm_ML_l1_bo <-VECM(barry, lag=1, include="both", estim="ML")
> vecm_ML_l1_no <-VECM(barry, lag=1, include="none", estim="ML")
> vecm_ML_l1_coAsExo <-VECM(barry, lag=1, include="none", exogen=rep(1, nrow(barry)), estim="ML")
> vecm_ML_l3_coAsExo <-VECM(barry, lag=3, include="none", exogen=rep(1, nrow(barry)), estim="ML")
>
> set.seed(1234)
> exoVar <- rnorm(n=nrow(barry))
> vecm_ML_l1_LRco <-VECM(barry, lag=1, LRinclude="const", estim="ML")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
When `LRinclude` is either 'const' or 'both', `include` can only be `none`.
Setting include='none'.
> vecm_ML_l1_LRc_exo <-VECM(barry, lag=1, LRinclude="const", estim="ML", exogen=exoVar)
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
When `LRinclude` is either 'const' or 'both', `include` can only be `none`.
Setting include='none'.
> vecm_ML_l1_LRtr <-VECM(barry, lag=1, LRinclude="trend", estim="ML")
> vecm_ML_l1_LRtr_exo <-VECM(barry, lag=1, LRinclude="trend", estim="ML", exogen=exoVar)
> vecm_ML_l1_LRtr_noCo <-VECM(barry, lag=1, LRinclude="trend", include="none", estim="ML")
> vecm_ML_l1_LRbo <-VECM(barry, lag=1, LRinclude="both", estim="ML")
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
When `LRinclude` is either 'const' or 'both', `include` can only be `none`.
Setting include='none'.
> vecm_ML_l1_LRbo_exo <-VECM(barry, lag=1, LRinclude="both", estim="ML", exogen=exoVar)
Warning message:
In lineVar(data, lag, r = r, include = include, model = "VECM", :
When `LRinclude` is either 'const' or 'both', `include` can only be `none`.
Setting include='none'.
>
> vecm_all <- list(
+ vecm_OLS_l1_co=vecm_OLS_l1_co,
+ vecm_OLS_l3_co=vecm_OLS_l3_co,
+ vecm_OLS_l3_co_betaGiven=vecm_OLS_l3_co_betaGiven,
+ vecm_OLS_l1_tr=vecm_OLS_l1_tr,
+ vecm_OLS_l1_bo=vecm_OLS_l1_bo,
+ vecm_OLS_l1_no=vecm_OLS_l1_no,
+ vecm_OLS_l1_coAsExo=vecm_OLS_l1_coAsExo,
+ vecm_OLS_l3_coAsExo=vecm_OLS_l3_coAsExo,
+ vecm_OLS_l1_LRco=vecm_OLS_l1_LRco,
+ vecm_OLS_l1_LRtr=vecm_OLS_l1_LRtr,
+ vecm_OLS_l1_LRtr_noCo=vecm_OLS_l1_LRtr_noCo,
+ vecm_OLS_l1_LRbo=vecm_OLS_l1_LRbo,
+
+ vecm_OLS_l0_co=vecm_OLS_l0_co,
+ vecm_OLS_l0_tr=vecm_OLS_l0_tr,
+ vecm_ML_l0_co=vecm_ML_l0_co,
+ vecm_ML_l0_tr=vecm_ML_l0_tr,
+ vecm_ML_l0_bo=vecm_ML_l0_bo,
+ vecm_ML_l0_no=vecm_ML_l0_no,
+ vecm_ML_l0_LRco=vecm_ML_l0_LRco,
+ vecm_ML_l0_LRtr=vecm_ML_l0_LRtr,
+
+
+ vecm_ML_l1_co=vecm_ML_l1_co,
+ vecm_ML_l3_co=vecm_ML_l3_co,
+ vecm_ML_l1_tr=vecm_ML_l1_tr,
+ vecm_ML_l1_bo=vecm_ML_l1_bo,
+ vecm_ML_l1_no=vecm_ML_l1_no,
+ vecm_ML_l1_coAsExo=vecm_ML_l1_coAsExo,
+ vecm_ML_l3_coAsExo=vecm_ML_l3_coAsExo,
+ vecm_ML_l1_LRco=vecm_ML_l1_LRco,
+ vecm_ML_l1_LRc_exo=vecm_ML_l1_LRc_exo,
+ vecm_ML_l1_LRtr=vecm_ML_l1_LRtr,
+ vecm_ML_l1_LRtr_exo=vecm_ML_l1_LRtr_exo,
+ vecm_ML_l1_LRtr_noCo=vecm_ML_l1_LRtr_noCo,
+ vecm_ML_l1_LRbo=vecm_ML_l1_LRbo,
+ vecm_ML_l1_LRbo_exo=vecm_ML_l1_LRbo_exo)
>
>
> vecm_ML <- vecm_all[grep("ML", names(vecm_all))]
> vecm_no_l0 <- vecm_all[!names(vecm_all)%in%grep("l0", names(vecm_all), value=TRUE)]
>
> lapply(vecm_all, print)
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.002537673 0.002202355 0.1587853 -0.003002494 0.0001286435
Equation cpiUSA 0.055320874 0.135043876 0.5426890 0.483673616 -0.0353661496
Equation cpiCAN 0.179057392 0.157670998 0.2897487 0.327296468 -0.0224027426
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.001338343 0.003662911 0.1611940 -0.002242126 0.0003953115
Equation cpiUSA 0.029339845 0.108353256 0.8711430 0.468684873 -0.0510243367
Equation cpiCAN 0.133099298 0.100383436 0.6925224 0.272239507 -0.0494533196
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.04139589 0.002012077 -0.006607018 0.0202477 -0.002153848
Equation cpiUSA -0.49404335 -0.023189036 0.071589503 -0.3943149 0.007943649
Equation cpiCAN -0.13395315 0.009117886 0.164960151 -0.6081994 0.022337674
cpiCAN -3
Equation dolcan -0.0003941692
Equation cpiUSA 0.0928680566
Equation cpiCAN 0.1324489696
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.0002124546 0.004305988 0.1598227 -0.002231881 -3.986873e-05
Equation cpiUSA 0.0094968887 0.135232014 0.8624816 0.466764351 -5.196265e-02
Equation cpiCAN 0.0341381280 0.196424879 0.6776997 0.264598773 -4.708853e-02
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.04152905 0.002131204 -0.007082543 0.02006583 -0.001977308
Equation cpiUSA -0.49347974 -0.024309562 0.070436138 -0.39432206 0.006050638
Equation cpiCAN -0.12990784 0.003092470 0.167044145 -0.60570782 0.012500706
cpiCAN -3
Equation dolcan -0.0007870201
Equation cpiUSA 0.0918309823
Equation cpiCAN 0.1338417608
ECT Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0007661059 5.099328e-06 0.1643691 -0.0003575695
Equation cpiUSA 0.2432039258 5.849243e-04 0.6613709 0.5454399791
Equation cpiCAN 0.3894987881 6.522822e-04 0.4535006 0.4107164124
cpiCAN -1
Equation dolcan 0.0008968084
Equation cpiUSA -0.0228245306
Equation cpiCAN -0.0038689987
ECT Intercept Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0175059946 0.01161813 -4.720124e-05 0.1557842 -0.004941816
Equation cpiUSA -0.0161621128 0.18001000 -2.254151e-04 0.5283571 0.474412152
Equation cpiCAN 0.0003185219 0.27010606 -5.636367e-04 0.2539127 0.304138740
cpiCAN -1
Equation dolcan 6.895526e-05
Equation cpiUSA -3.565120e-02
Equation cpiCAN -2.311549e-02
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.002250595 0.1685594 0.001523275 0.001544155
Equation cpiUSA 0.072923859 1.1420163 0.761184412 0.051430078
Equation cpiCAN 0.199609825 0.9894956 0.651305269 0.078936528
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.002537673 0.1587853 -0.003002494 0.0001286435 0.002202355
Equation cpiUSA 0.055320874 0.5426890 0.483673616 -0.0353661496 0.135043876
Equation cpiCAN 0.179057392 0.2897487 0.327296468 -0.0224027426 0.157670998
ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.001338343 0.1611940 -0.002242126 0.0003953115 -0.04139589
Equation cpiUSA 0.029339845 0.8711430 0.468684873 -0.0510243367 -0.49404335
Equation cpiCAN 0.133099298 0.6925224 0.272239507 -0.0494533196 -0.13395315
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.002012077 -0.006607018 0.0202477 -0.002153848 -0.0003941692
Equation cpiUSA -0.023189036 0.071589503 -0.3943149 0.007943649 0.0928680566
Equation cpiCAN 0.009117886 0.164960151 -0.6081994 0.022337674 0.1324489696
exo_1
Equation dolcan 0.003662911
Equation cpiUSA 0.108353256
Equation cpiCAN 0.100383436
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.019977546 0.1757108 0.0005944517 0.001585752
Equation cpiUSA -0.009018453 1.1626553 0.7639971636 0.070510320
Equation cpiCAN 0.214396024 0.9540622 0.6689428094 0.123722329
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.018347198 0.002753888 0.1599738 -0.004415558 -0.0006741961
Equation cpiUSA -0.001166353 0.136744939 0.5483841 0.482575944 -0.0222408144
Equation cpiCAN -0.144023002 0.167975293 0.3192321 0.312589647 0.0185499708
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.01523687 0.1715595 0.001287359 0.001150302
Equation cpiUSA 0.15327753 1.1236760 0.765755640 0.068355071
Equation cpiCAN 0.04569339 1.0259115 0.660443050 0.129836506
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.02042543 0.1755439 0.0006424809 0.001532288
Equation cpiUSA 0.01429980 1.1539268 0.7649198192 0.069831738
Equation cpiCAN 0.18825465 0.9672391 0.6672418709 0.125157214
ECT Intercept
Equation dolcan -0.002780092 0.001704454
Equation cpiUSA 0.068255265 0.249423711
Equation cpiCAN 0.186186297 0.235109720
ECT Trend
Equation dolcan -0.0001422602 6.872164e-06
Equation cpiUSA 0.4799565924 1.234973e-03
Equation cpiCAN 0.5732976471 1.155503e-03
ECT Intercept
Equation dolcan -0.0003507433 0.002374059
Equation cpiUSA -0.0436243553 0.368504529
Equation cpiCAN -0.0823639695 0.464893314
ECT Trend
Equation dolcan -0.0005484774 -2.096466e-05
Equation cpiUSA -0.0928989256 -3.607422e-03
Equation cpiCAN -0.1123697005 -4.699981e-03
ECT Intercept Trend
Equation dolcan -0.001999161 -0.01016577 -0.000118541
Equation cpiUSA -0.019268819 0.18976366 -0.001429789
Equation cpiCAN -0.100888273 -0.23130939 -0.006626575
ECT
Equation dolcan 0.001869335
Equation cpiUSA 0.358828407
Equation cpiCAN 0.359559513
ECT
Equation dolcan -0.0008273726
Equation cpiUSA -0.1396685110
Equation cpiCAN -0.1389057526
ECT Intercept
Equation dolcan -0.0003514011 0.002370631
Equation cpiUSA -0.0435803377 0.367753637
Equation cpiCAN -0.0824088721 0.463805846
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.001130982 0.001904987 0.1590566 -0.002905063 -0.0001549718
Equation cpiUSA 0.046105240 0.145721073 0.5267517 0.480576053 -0.0352344706
Equation cpiCAN 0.146594632 0.191714766 0.2393953 0.317390143 -0.0212333484
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.003567929 0.00996184 0.1575471 -0.002645103 -0.0003088685
Equation cpiUSA -0.039517521 0.17719382 0.8568219 0.463043537 -0.0496534599
Equation cpiCAN -0.106423797 0.28464387 0.6858825 0.255604221 -0.0345310347
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.04164141 0.001907206 -0.007404306 0.0197858 -0.0023602348
Equation cpiUSA -0.49353536 -0.027543039 0.072715853 -0.3954077 0.0008115503
Equation cpiCAN -0.12863269 -0.006517491 0.180187367 -0.6062154 -0.0028046000
cpiCAN -3
Equation dolcan -0.001070038
Equation cpiUSA 0.093566410
Equation cpiCAN 0.144352463
ECT Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0007704618 -3.488514e-05 0.1564255 -0.003644594
Equation cpiUSA -0.0437029488 -1.985084e-03 0.5057202 0.479055607
Equation cpiCAN -0.0768177401 -3.825069e-03 0.1408267 0.278120484
cpiCAN -1
Equation dolcan -0.0009835739
Equation cpiUSA -0.0399138144
Equation cpiCAN -0.0457768410
ECT Intercept Trend dolcan -1 cpiUSA -1
Equation dolcan 0.0002393194 -0.00626408 -7.829592e-05 0.15543978 -0.003243091
Equation cpiUSA -0.0015111788 0.22561620 3.052464e-04 0.54969245 0.477797087
Equation cpiCAN 0.0177494843 -0.36623757 -6.296457e-03 0.03197812 0.285487996
cpiCAN -1
Equation dolcan -0.0009971209
Equation cpiUSA -0.0334095397
Equation cpiCAN -0.0561606616
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.002204256 0.1612798 -0.001191142 -0.0001156718
Equation cpiUSA 0.214731716 0.5016621 0.509525642 -0.0349445624
Equation cpiCAN 0.288265350 0.1538064 0.317913501 -0.0107951519
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.001130982 0.1590566 -0.002905063 -0.0001549718 0.001904987
Equation cpiUSA 0.046105240 0.5267517 0.480576053 -0.0352344706 0.145721073
Equation cpiCAN 0.146594632 0.2393953 0.317390143 -0.0212333484 0.191714766
ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.003567929 0.1575471 -0.002645103 -0.0003088685 -0.04164141
Equation cpiUSA -0.039517521 0.8568219 0.463043537 -0.0496534599 -0.49353536
Equation cpiCAN -0.106423797 0.6858825 0.255604221 -0.0345310347 -0.12863269
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.001907206 -0.007404306 0.0197858 -0.0023602348 -0.001070038
Equation cpiUSA -0.027543039 0.072715853 -0.3954077 0.0008115503 0.093566410
Equation cpiCAN -0.006517491 0.180187367 -0.6062154 -0.0028046000 0.144352463
exo_1
Equation dolcan 0.00996184
Equation cpiUSA 0.17719382
Equation cpiCAN 0.28464387
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.0006194775 0.1587288 -0.00299679 -0.0006987469
Equation cpiUSA -0.0398395940 0.5610538 0.48000626 -0.0367016097
Equation cpiCAN -0.0516009162 0.2617847 0.29171521 -0.0081038167
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.0008964929 0.1623843 -0.003725519 -0.0007232082 0.0008011181
Equation cpiUSA -0.0533550599 0.6105160 0.472143268 -0.0360471128 0.0098870566
Equation cpiCAN -0.0682411008 0.2682708 0.290739259 -0.0073654180 0.0008344276
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.0001862485 -0.001525362 0.15676381 -0.003190914 -0.0009664377
Equation cpiUSA 0.0040952483 0.056415156 0.50949599 0.477512123 -0.0330553243
Equation cpiCAN 0.0292851011 -0.411104860 0.03045308 0.287169175 -0.0573042137
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 8.032743e-05 -0.002211648 0.16035291 -0.003741356 -0.001026514
Equation cpiUSA 1.526143e-03 0.053418502 0.54276393 0.472517536 -0.033350523
Equation cpiCAN 1.002912e-02 -0.389244734 0.04253324 0.284469244 -0.056535140
exo_1
Equation dolcan 0.0007836666
Equation cpiUSA 0.0070544860
Equation cpiCAN 0.0017206267
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.000727143 0.1568527 -0.00338676 -0.001057004
Equation cpiUSA -0.041425715 0.5224463 0.49024939 -0.044905637
Equation cpiCAN -0.060470225 0.1070294 0.25988640 -0.037670697
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.0008871317 0.1568747 -0.003435533 -0.001059806
Equation cpiUSA -0.0503421884 0.5261923 0.488556527 -0.044613218
Equation cpiCAN -0.0729350525 0.1194230 0.260432949 -0.035987363
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.001179716 0.1605561 -0.004158054 -0.00109032 0.0008116696
Equation cpiUSA -0.062648158 0.5734187 0.480592492 -0.04406994 0.0095401329
Equation cpiCAN -0.089501483 0.1319369 0.259164681 -0.03476411 0.0015991179
$vecm_OLS_l1_co
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.002537673 0.002202355 0.1587853 -0.003002494 0.0001286435
Equation cpiUSA 0.055320874 0.135043876 0.5426890 0.483673616 -0.0353661496
Equation cpiCAN 0.179057392 0.157670998 0.2897487 0.327296468 -0.0224027426
$vecm_OLS_l3_co
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.001338343 0.003662911 0.1611940 -0.002242126 0.0003953115
Equation cpiUSA 0.029339845 0.108353256 0.8711430 0.468684873 -0.0510243367
Equation cpiCAN 0.133099298 0.100383436 0.6925224 0.272239507 -0.0494533196
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.04139589 0.002012077 -0.006607018 0.0202477 -0.002153848
Equation cpiUSA -0.49404335 -0.023189036 0.071589503 -0.3943149 0.007943649
Equation cpiCAN -0.13395315 0.009117886 0.164960151 -0.6081994 0.022337674
cpiCAN -3
Equation dolcan -0.0003941692
Equation cpiUSA 0.0928680566
Equation cpiCAN 0.1324489696
$vecm_OLS_l3_co_betaGiven
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.0002124546 0.004305988 0.1598227 -0.002231881 -3.986873e-05
Equation cpiUSA 0.0094968887 0.135232014 0.8624816 0.466764351 -5.196265e-02
Equation cpiCAN 0.0341381280 0.196424879 0.6776997 0.264598773 -4.708853e-02
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.04152905 0.002131204 -0.007082543 0.02006583 -0.001977308
Equation cpiUSA -0.49347974 -0.024309562 0.070436138 -0.39432206 0.006050638
Equation cpiCAN -0.12990784 0.003092470 0.167044145 -0.60570782 0.012500706
cpiCAN -3
Equation dolcan -0.0007870201
Equation cpiUSA 0.0918309823
Equation cpiCAN 0.1338417608
$vecm_OLS_l1_tr
ECT Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0007661059 5.099328e-06 0.1643691 -0.0003575695
Equation cpiUSA 0.2432039258 5.849243e-04 0.6613709 0.5454399791
Equation cpiCAN 0.3894987881 6.522822e-04 0.4535006 0.4107164124
cpiCAN -1
Equation dolcan 0.0008968084
Equation cpiUSA -0.0228245306
Equation cpiCAN -0.0038689987
$vecm_OLS_l1_bo
ECT Intercept Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0175059946 0.01161813 -4.720124e-05 0.1557842 -0.004941816
Equation cpiUSA -0.0161621128 0.18001000 -2.254151e-04 0.5283571 0.474412152
Equation cpiCAN 0.0003185219 0.27010606 -5.636367e-04 0.2539127 0.304138740
cpiCAN -1
Equation dolcan 6.895526e-05
Equation cpiUSA -3.565120e-02
Equation cpiCAN -2.311549e-02
$vecm_OLS_l1_no
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.002250595 0.1685594 0.001523275 0.001544155
Equation cpiUSA 0.072923859 1.1420163 0.761184412 0.051430078
Equation cpiCAN 0.199609825 0.9894956 0.651305269 0.078936528
$vecm_OLS_l1_coAsExo
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.002537673 0.1587853 -0.003002494 0.0001286435 0.002202355
Equation cpiUSA 0.055320874 0.5426890 0.483673616 -0.0353661496 0.135043876
Equation cpiCAN 0.179057392 0.2897487 0.327296468 -0.0224027426 0.157670998
$vecm_OLS_l3_coAsExo
ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.001338343 0.1611940 -0.002242126 0.0003953115 -0.04139589
Equation cpiUSA 0.029339845 0.8711430 0.468684873 -0.0510243367 -0.49404335
Equation cpiCAN 0.133099298 0.6925224 0.272239507 -0.0494533196 -0.13395315
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.002012077 -0.006607018 0.0202477 -0.002153848 -0.0003941692
Equation cpiUSA -0.023189036 0.071589503 -0.3943149 0.007943649 0.0928680566
Equation cpiCAN 0.009117886 0.164960151 -0.6081994 0.022337674 0.1324489696
exo_1
Equation dolcan 0.003662911
Equation cpiUSA 0.108353256
Equation cpiCAN 0.100383436
$vecm_OLS_l1_LRco
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.019977546 0.1757108 0.0005944517 0.001585752
Equation cpiUSA -0.009018453 1.1626553 0.7639971636 0.070510320
Equation cpiCAN 0.214396024 0.9540622 0.6689428094 0.123722329
$vecm_OLS_l1_LRtr
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.018347198 0.002753888 0.1599738 -0.004415558 -0.0006741961
Equation cpiUSA -0.001166353 0.136744939 0.5483841 0.482575944 -0.0222408144
Equation cpiCAN -0.144023002 0.167975293 0.3192321 0.312589647 0.0185499708
$vecm_OLS_l1_LRtr_noCo
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.01523687 0.1715595 0.001287359 0.001150302
Equation cpiUSA 0.15327753 1.1236760 0.765755640 0.068355071
Equation cpiCAN 0.04569339 1.0259115 0.660443050 0.129836506
$vecm_OLS_l1_LRbo
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.02042543 0.1755439 0.0006424809 0.001532288
Equation cpiUSA 0.01429980 1.1539268 0.7649198192 0.069831738
Equation cpiCAN 0.18825465 0.9672391 0.6672418709 0.125157214
$vecm_OLS_l0_co
ECT Intercept
Equation dolcan -0.002780092 0.001704454
Equation cpiUSA 0.068255265 0.249423711
Equation cpiCAN 0.186186297 0.235109720
$vecm_OLS_l0_tr
ECT Trend
Equation dolcan -0.0001422602 6.872164e-06
Equation cpiUSA 0.4799565924 1.234973e-03
Equation cpiCAN 0.5732976471 1.155503e-03
$vecm_ML_l0_co
ECT Intercept
Equation dolcan -0.0003507433 0.002374059
Equation cpiUSA -0.0436243553 0.368504529
Equation cpiCAN -0.0823639695 0.464893314
$vecm_ML_l0_tr
ECT Trend
Equation dolcan -0.0005484774 -2.096466e-05
Equation cpiUSA -0.0928989256 -3.607422e-03
Equation cpiCAN -0.1123697005 -4.699981e-03
$vecm_ML_l0_bo
ECT Intercept Trend
Equation dolcan -0.001999161 -0.01016577 -0.000118541
Equation cpiUSA -0.019268819 0.18976366 -0.001429789
Equation cpiCAN -0.100888273 -0.23130939 -0.006626575
$vecm_ML_l0_no
ECT
Equation dolcan 0.001869335
Equation cpiUSA 0.358828407
Equation cpiCAN 0.359559513
$vecm_ML_l0_LRco
ECT
Equation dolcan -0.0008273726
Equation cpiUSA -0.1396685110
Equation cpiCAN -0.1389057526
$vecm_ML_l0_LRtr
ECT Intercept
Equation dolcan -0.0003514011 0.002370631
Equation cpiUSA -0.0435803377 0.367753637
Equation cpiCAN -0.0824088721 0.463805846
$vecm_ML_l1_co
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.001130982 0.001904987 0.1590566 -0.002905063 -0.0001549718
Equation cpiUSA 0.046105240 0.145721073 0.5267517 0.480576053 -0.0352344706
Equation cpiCAN 0.146594632 0.191714766 0.2393953 0.317390143 -0.0212333484
$vecm_ML_l3_co
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.003567929 0.00996184 0.1575471 -0.002645103 -0.0003088685
Equation cpiUSA -0.039517521 0.17719382 0.8568219 0.463043537 -0.0496534599
Equation cpiCAN -0.106423797 0.28464387 0.6858825 0.255604221 -0.0345310347
dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.04164141 0.001907206 -0.007404306 0.0197858 -0.0023602348
Equation cpiUSA -0.49353536 -0.027543039 0.072715853 -0.3954077 0.0008115503
Equation cpiCAN -0.12863269 -0.006517491 0.180187367 -0.6062154 -0.0028046000
cpiCAN -3
Equation dolcan -0.001070038
Equation cpiUSA 0.093566410
Equation cpiCAN 0.144352463
$vecm_ML_l1_tr
ECT Trend dolcan -1 cpiUSA -1
Equation dolcan -0.0007704618 -3.488514e-05 0.1564255 -0.003644594
Equation cpiUSA -0.0437029488 -1.985084e-03 0.5057202 0.479055607
Equation cpiCAN -0.0768177401 -3.825069e-03 0.1408267 0.278120484
cpiCAN -1
Equation dolcan -0.0009835739
Equation cpiUSA -0.0399138144
Equation cpiCAN -0.0457768410
$vecm_ML_l1_bo
ECT Intercept Trend dolcan -1 cpiUSA -1
Equation dolcan 0.0002393194 -0.00626408 -7.829592e-05 0.15543978 -0.003243091
Equation cpiUSA -0.0015111788 0.22561620 3.052464e-04 0.54969245 0.477797087
Equation cpiCAN 0.0177494843 -0.36623757 -6.296457e-03 0.03197812 0.285487996
cpiCAN -1
Equation dolcan -0.0009971209
Equation cpiUSA -0.0334095397
Equation cpiCAN -0.0561606616
$vecm_ML_l1_no
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.002204256 0.1612798 -0.001191142 -0.0001156718
Equation cpiUSA 0.214731716 0.5016621 0.509525642 -0.0349445624
Equation cpiCAN 0.288265350 0.1538064 0.317913501 -0.0107951519
$vecm_ML_l1_coAsExo
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.001130982 0.1590566 -0.002905063 -0.0001549718 0.001904987
Equation cpiUSA 0.046105240 0.5267517 0.480576053 -0.0352344706 0.145721073
Equation cpiCAN 0.146594632 0.2393953 0.317390143 -0.0212333484 0.191714766
$vecm_ML_l3_coAsExo
ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.003567929 0.1575471 -0.002645103 -0.0003088685 -0.04164141
Equation cpiUSA -0.039517521 0.8568219 0.463043537 -0.0496534599 -0.49353536
Equation cpiCAN -0.106423797 0.6858825 0.255604221 -0.0345310347 -0.12863269
cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3
Equation dolcan 0.001907206 -0.007404306 0.0197858 -0.0023602348 -0.001070038
Equation cpiUSA -0.027543039 0.072715853 -0.3954077 0.0008115503 0.093566410
Equation cpiCAN -0.006517491 0.180187367 -0.6062154 -0.0028046000 0.144352463
exo_1
Equation dolcan 0.00996184
Equation cpiUSA 0.17719382
Equation cpiCAN 0.28464387
$vecm_ML_l1_LRco
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.0006194775 0.1587288 -0.00299679 -0.0006987469
Equation cpiUSA -0.0398395940 0.5610538 0.48000626 -0.0367016097
Equation cpiCAN -0.0516009162 0.2617847 0.29171521 -0.0081038167
$vecm_ML_l1_LRc_exo
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.0008964929 0.1623843 -0.003725519 -0.0007232082 0.0008011181
Equation cpiUSA -0.0533550599 0.6105160 0.472143268 -0.0360471128 0.0098870566
Equation cpiCAN -0.0682411008 0.2682708 0.290739259 -0.0073654180 0.0008344276
$vecm_ML_l1_LRtr
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.0001862485 -0.001525362 0.15676381 -0.003190914 -0.0009664377
Equation cpiUSA 0.0040952483 0.056415156 0.50949599 0.477512123 -0.0330553243
Equation cpiCAN 0.0292851011 -0.411104860 0.03045308 0.287169175 -0.0573042137
$vecm_ML_l1_LRtr_exo
ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 8.032743e-05 -0.002211648 0.16035291 -0.003741356 -0.001026514
Equation cpiUSA 1.526143e-03 0.053418502 0.54276393 0.472517536 -0.033350523
Equation cpiCAN 1.002912e-02 -0.389244734 0.04253324 0.284469244 -0.056535140
exo_1
Equation dolcan 0.0007836666
Equation cpiUSA 0.0070544860
Equation cpiCAN 0.0017206267
$vecm_ML_l1_LRtr_noCo
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.000727143 0.1568527 -0.00338676 -0.001057004
Equation cpiUSA -0.041425715 0.5224463 0.49024939 -0.044905637
Equation cpiCAN -0.060470225 0.1070294 0.25988640 -0.037670697
$vecm_ML_l1_LRbo
ECT dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan -0.0008871317 0.1568747 -0.003435533 -0.001059806
Equation cpiUSA -0.0503421884 0.5261923 0.488556527 -0.044613218
Equation cpiCAN -0.0729350525 0.1194230 0.260432949 -0.035987363
$vecm_ML_l1_LRbo_exo
ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1
Equation dolcan -0.001179716 0.1605561 -0.004158054 -0.00109032 0.0008116696
Equation cpiUSA -0.062648158 0.5734187 0.480592492 -0.04406994 0.0095401329
Equation cpiCAN -0.089501483 0.1319369 0.259164681 -0.03476411 0.0015991179
> lapply(vecm_all, summary)
$vecm_OLS_l1_co
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 15
AIC -4919.687 BIC -4855.52 SSR 26.25525
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT Intercept dolcan -1
Equation dolcan -0.0025(0.0027) 0.0022(0.0013). 0.1588(0.0554)**
Equation cpiUSA 0.0553(0.0338) 0.1350(0.0162)*** 0.5427(0.6817)
Equation cpiCAN 0.1791(0.0514)*** 0.1577(0.0247)*** 0.2897(1.0364)
cpiUSA -1 cpiCAN -1
Equation dolcan -0.0030(0.0043) 0.0001(0.0031)
Equation cpiUSA 0.4837(0.0530)*** -0.0354(0.0386)
Equation cpiCAN 0.3273(0.0806)*** -0.0224(0.0588)
$vecm_OLS_l3_co
#############
###Model VECM
#############
Full sample size: 324 End sample size: 320
Number of variables: 3 Number of estimated slope parameters 33
AIC -4877.297 BIC -4745.405 SSR 24.94378
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT Intercept dolcan -1
Equation dolcan -0.0013(0.0029) 0.0037(0.0017)* 0.1612(0.0569)**
Equation cpiUSA 0.0293(0.0351) 0.1084(0.0201)*** 0.8711(0.6925)
Equation cpiCAN 0.1331(0.0528)* 0.1004(0.0303)** 0.6925(1.0435)
cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.0022(0.0048) 0.0004(0.0032) -0.0414(0.0573)
Equation cpiUSA 0.4687(0.0584)*** -0.0510(0.0390) -0.4940(0.6980)
Equation cpiCAN 0.2722(0.0880)** -0.0495(0.0588) -0.1340(1.0518)
cpiUSA -2 cpiCAN -2 dolcan -3
Equation dolcan 0.0020(0.0053) -0.0066(0.0032)* 0.0202(0.0566)
Equation cpiUSA -0.0232(0.0643) 0.0716(0.0386). -0.3943(0.6890)
Equation cpiCAN 0.0091(0.0968) 0.1650(0.0582)** -0.6082(1.0383)
cpiUSA -3 cpiCAN -3
Equation dolcan -0.0022(0.0049) -0.0004(0.0032)
Equation cpiUSA 0.0079(0.0594) 0.0929(0.0393)*
Equation cpiCAN 0.0223(0.0896) 0.1324(0.0593)*
$vecm_OLS_l3_co_betaGiven
#############
###Model VECM
#############
Full sample size: 324 End sample size: 320
Number of variables: 3 Number of estimated slope parameters 33
AIC -4877.98 BIC -4746.089 SSR 24.90243
Cointegrating vector (fixed by user):
dolcan cpiUSA cpiCAN
r1 1 -0.1 0.05
ECT Intercept dolcan -1
Equation dolcan 0.0002(0.0007) 0.0043(0.0026) 0.1598(0.0569)**
Equation cpiUSA 0.0095(0.0086) 0.1352(0.0321)*** 0.8625(0.6920)
Equation cpiCAN 0.0341(0.0130)** 0.1964(0.0483)*** 0.6777(1.0428)
cpiUSA -1 cpiCAN -1 dolcan -2
Equation dolcan -0.0022(0.0048) -4e-05(0.0032) -0.0415(0.0573)
Equation cpiUSA 0.4668(0.0584)*** -0.0520(0.0388) -0.4935(0.6974)
Equation cpiCAN 0.2646(0.0880)** -0.0471(0.0585) -0.1299(1.0509)
cpiUSA -2 cpiCAN -2 dolcan -3
Equation dolcan 0.0021(0.0053) -0.0071(0.0032)* 0.0201(0.0566)
Equation cpiUSA -0.0243(0.0642) 0.0704(0.0384). -0.3943(0.6885)
Equation cpiCAN 0.0031(0.0967) 0.1670(0.0579)** -0.6057(1.0374)
cpiUSA -3 cpiCAN -3
Equation dolcan -0.0020(0.0049) -0.0008(0.0032)
Equation cpiUSA 0.0061(0.0593) 0.0918(0.0392)*
Equation cpiCAN 0.0125(0.0893) 0.1338(0.0591)*
$vecm_OLS_l1_tr
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 15
AIC -4900.538 BIC -4836.371 SSR 27.1164
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT Trend dolcan -1
Equation dolcan -0.0008(0.0033) 5.1e-06(6.3e-06) 0.1644(0.0555)**
Equation cpiUSA 0.2432(0.0413)*** 0.0006(7.8e-05)*** 0.6614(0.6933)
Equation cpiCAN 0.3895(0.0626)*** 0.0007(0.0001)*** 0.4535(1.0511)
cpiUSA -1 cpiCAN -1
Equation dolcan -0.0004(0.0041) 0.0009(0.0031)
Equation cpiUSA 0.5454(0.0510)*** -0.0228(0.0392)
Equation cpiCAN 0.4107(0.0774)*** -0.0039(0.0594)
$vecm_OLS_l1_bo
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 18
AIC -4922.766 BIC -4847.274 SSR 26.09641
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT Intercept Trend
Equation dolcan -0.0175(0.0068)** 0.0116(0.0041)** -4.7e-05(1.9e-05)*
Equation cpiUSA -0.0162(0.0837) 0.1800(0.0508)*** -0.0002(0.0002)
Equation cpiCAN 0.0003(0.1269) 0.2701(0.0771)*** -0.0006(0.0004)
dolcan -1 cpiUSA -1 cpiCAN -1
Equation dolcan 0.1558(0.0550)** -0.0049(0.0044) 6.9e-05(0.0031)
Equation cpiUSA 0.5284(0.6820) 0.4744(0.0540)*** -0.0357(0.0387)
Equation cpiCAN 0.2539(1.0345) 0.3041(0.0819)*** -0.0231(0.0586)
$vecm_OLS_l1_no
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 12
AIC -4844.226 BIC -4791.382 SSR 30.34056
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT dolcan -1 cpiUSA -1
Equation dolcan -0.0023(0.0028) 0.1686(0.0553)** 0.0015(0.0034)
Equation cpiUSA 0.0729(0.0372). 1.1420(0.7471) 0.7612(0.0455)***
Equation cpiCAN 0.1996(0.0544)*** 0.9895(1.0933) 0.6513(0.0665)***
cpiCAN -1
Equation dolcan 0.0015(0.0030)
Equation cpiUSA 0.0514(0.0410)
Equation cpiCAN 0.0789(0.0600)
$vecm_OLS_l1_coAsExo
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 15
AIC -4919.687 BIC -4855.52 SSR 26.25525
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT dolcan -1 cpiUSA -1
Equation dolcan -0.0025(0.0027) 0.1588(0.0554)** -0.0030(0.0043)
Equation cpiUSA 0.0553(0.0338) 0.5427(0.6817) 0.4837(0.0530)***
Equation cpiCAN 0.1791(0.0514)*** 0.2897(1.0364) 0.3273(0.0806)***
cpiCAN -1 exo_1
Equation dolcan 0.0001(0.0031) 0.0022(0.0013).
Equation cpiUSA -0.0354(0.0386) 0.1350(0.0162)***
Equation cpiCAN -0.0224(0.0588) 0.1577(0.0247)***
$vecm_OLS_l3_coAsExo
#############
###Model VECM
#############
Full sample size: 324 End sample size: 320
Number of variables: 3 Number of estimated slope parameters 33
AIC -4877.297 BIC -4745.405 SSR 24.94378
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT dolcan -1 cpiUSA -1
Equation dolcan -0.0013(0.0029) 0.1612(0.0569)** -0.0022(0.0048)
Equation cpiUSA 0.0293(0.0351) 0.8711(0.6925) 0.4687(0.0584)***
Equation cpiCAN 0.1331(0.0528)* 0.6925(1.0435) 0.2722(0.0880)**
cpiCAN -1 dolcan -2 cpiUSA -2
Equation dolcan 0.0004(0.0032) -0.0414(0.0573) 0.0020(0.0053)
Equation cpiUSA -0.0510(0.0390) -0.4940(0.6980) -0.0232(0.0643)
Equation cpiCAN -0.0495(0.0588) -0.1340(1.0518) 0.0091(0.0968)
cpiCAN -2 dolcan -3 cpiUSA -3
Equation dolcan -0.0066(0.0032)* 0.0202(0.0566) -0.0022(0.0049)
Equation cpiUSA 0.0716(0.0386). -0.3943(0.6890) 0.0079(0.0594)
Equation cpiCAN 0.1650(0.0582)** -0.6082(1.0383) 0.0223(0.0896)
cpiCAN -3 exo_1
Equation dolcan -0.0004(0.0032) 0.0037(0.0017)*
Equation cpiUSA 0.0929(0.0393)* 0.1084(0.0201)***
Equation cpiCAN 0.1324(0.0593)* 0.1004(0.0303)**
$vecm_OLS_l1_LRco
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 12
AIC -4836.039 BIC -4783.195 SSR 31.24289
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN const
r1 1 -0.01481749 0.009676475 -0.8645183
ECT dolcan -1 cpiUSA -1
Equation dolcan -0.0200(0.0093)* 0.1757(0.0550)** 0.0006(0.0034)
Equation cpiUSA -0.0090(0.1274) 1.1627(0.7532) 0.7640(0.0460)***
Equation cpiCAN 0.2144(0.1889) 0.9541(1.1162) 0.6689(0.0682)***
cpiCAN -1
Equation dolcan 0.0016(0.0029)
Equation cpiUSA 0.0705(0.0403).
Equation cpiCAN 0.1237(0.0597)*
$vecm_OLS_l1_LRtr
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 15
AIC -4913.714 BIC -4849.547 SSR 26.96383
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN trend
r1 1 -0.05387941 0.01945208 0.007610433
ECT Intercept dolcan -1
Equation dolcan -0.0183(0.0077)* 0.0028(0.0013)* 0.1600(0.0550)**
Equation cpiUSA -0.0012(0.0953) 0.1367(0.0166)*** 0.5484(0.6846)
Equation cpiCAN -0.1440(0.1468) 0.1680(0.0256)*** 0.3192(1.0545)
cpiUSA -1 cpiCAN -1
Equation dolcan -0.0044(0.0043) -0.0007(0.0031)
Equation cpiUSA 0.4826(0.0538)*** -0.0222(0.0380)
Equation cpiCAN 0.3126(0.0829)*** 0.0185(0.0585)
$vecm_OLS_l1_LRtr_noCo
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 12
AIC -4836.533 BIC -4783.69 SSR 31.25622
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN trend
r1 1 -0.05387941 0.01945208 0.007610433
ECT dolcan -1 cpiUSA -1
Equation dolcan -0.0152(0.0075)* 0.1716(0.0550)** 0.0013(0.0033)
Equation cpiUSA 0.1533(0.1028) 1.1237(0.7493) 0.7658(0.0456)***
Equation cpiCAN 0.0457(0.1532) 1.0259(1.1165) 0.6604(0.0679)***
cpiCAN -1
Equation dolcan 0.0012(0.0029)
Equation cpiUSA 0.0684(0.0400).
Equation cpiCAN 0.1298(0.0596)*
$vecm_OLS_l1_LRbo
#############
###Model VECM
#############
Full sample size: 324 End sample size: 322
Number of variables: 3 Number of estimated slope parameters 12
AIC -4835.724 BIC -4782.88 SSR 31.26287
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN const trend
r1 1 -0.01903992 0.01062753 -0.7707046 0.000864578
ECT dolcan -1 cpiUSA -1
Equation dolcan -0.0204(0.0093)* 0.1755(0.0550)** 0.0006(0.0034)
Equation cpiUSA 0.0143(0.1278) 1.1539(0.7530) 0.7649(0.0460)***
Equation cpiCAN 0.1883(0.1895) 0.9672(1.1165) 0.6672(0.0682)***
cpiCAN -1
Equation dolcan 0.0015(0.0029)
Equation cpiUSA 0.0698(0.0403).
Equation cpiCAN 0.1252(0.0597)*
$vecm_OLS_l0_co
#############
###Model VECM
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 6
AIC -4868.234 BIC -4845.568 SSR 29.55513
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT Intercept
Equation dolcan -0.0028(0.0027) 0.0017(0.0008)*
Equation cpiUSA 0.0683(0.0370). 0.2494(0.0104)***
Equation cpiCAN 0.1862(0.0511)*** 0.2351(0.0144)***
$vecm_OLS_l0_tr
#############
###Model VECM
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 6
AIC -4815.132 BIC -4792.466 SSR 32.5443
Cointegrating vector (estimated by 2OLS):
dolcan cpiUSA cpiCAN
r1 1 -0.05710189 0.0410196
ECT Trend
Equation dolcan -0.0001(0.0026) 6.9e-06(3.9e-06).
Equation cpiUSA 0.4800(0.0382)*** 0.0012(5.7e-05)***
Equation cpiCAN 0.5733(0.0512)*** 0.0012(7.7e-05)***
$vecm_ML_l0_co
#############
###Model VECM
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 6
AIC -4871.497 BIC -4848.832 SSR 29.32748
Cointegrating vector (estimated by ML):
dolcan cpiUSA cpiCAN
r1 1 -0.02123402 0.04020793
ECT Intercept
Equation dolcan -0.0004(0.0011) 0.0024(0.0030)
Equation cpiUSA -0.0436(0.0155)** 0.3685(0.0413)***
Equation cpiCAN -0.0824(0.0214)*** 0.4649(0.0572)***
$vecm_ML_l0_tr
#############
###Model VECM
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 6
AIC -4881.092 BIC -4858.426 SSR 28.5781
Cointegrating vector (estimated by ML):
dolcan cpiUSA cpiCAN
r1 1 -0.2189798 0.07550665
ECT Trend
Equation dolcan -0.0005(0.0004) -2.1e-05(2.3e-05)
Equation cpiUSA -0.0929(0.0061)*** -0.0036(0.0003)***
Equation cpiCAN -0.1124(0.0083)*** -0.0047(0.0004)***
$vecm_ML_l0_bo
#############
###Model VECM
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 9
AIC -4878.988 BIC -4837.434 SSR 28.38918
Cointegrating vector (estimated by ML):
dolcan cpiUSA cpiCAN
r1 1 -0.3432729 0.1102598
ECT Intercept Trend
Equation dolcan -0.0020(0.0015) -0.0102(0.0089) -0.0001(9.1e-05)
Equation cpiUSA -0.0193(0.0207) 0.1898(0.1213) -0.0014(0.0012)
Equation cpiCAN -0.1009(0.0280)*** -0.2313(0.1642) -0.0066(0.0017)***
$vecm_ML_l0_no
#############
###Model VECM
#############
Full sample size: 324 End sample size: 323
Number of variables: 3 Number of estimated slope parameters 3
AIC -4852.03 BIC -4833.141 SSR 30.26036
Cointegrating vector (estimated by ML):
dolcan cpiUSA cpiCAN
r1 1 -0.007705743 0.0002734381