Unit Root at Level OBD

Unit Root
At Level OBD
Null Hypothesis: OBD has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-5.553705
-4.234972
-3.540328
-3.202445
0.0003
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation

Dependent Variable: D(OBD)
Method: Least Squares
Date: 10/03/14 Time: 09:56
Sample (adjusted): 1977 2012
Included observations: 36 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
OBD(-1)
C
@TREND(1976)
-0.963126
1.704724
0.088134
0.173420
1.892844
0.089004
-5.553705
0.900615
0.990224
0.0000
0.3743
0.3293
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.483120
0.451794
5.464319
985.3400
-110.6522
15.42233
0.000019
Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.191385
7.380136
6.314012
6.445971
6.360069
1.964536
Null Hypothesis: D(OBD) has a unit root


1% level
5% level
10% level

Dependent Variable: D(OBD,2)
Date: 10/03/14 Time: 09:57
t-Statistic
Prob.*
-5.524140
-4.273277
-3.557759
-3.212361
0.0004

Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(OBD(-1))
D(OBD(-1),2)
D(OBD(-2),2)
D(OBD(-3),2)
C
@TREND(1976)
-3.023348
1.484339
0.827185
0.520396
0.671345
-0.039227
0.547297
0.464449
0.322006
0.182508
2.737818
0.121997
-5.524140
3.195913
2.568846
2.851366
0.245212
-0.321544
0.0000
0.0036
0.0163
0.0084
0.8082
0.7504
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.789854
0.749441
6.350116
1048.423
-101.2349
19.54469
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-0.259593
12.68606
6.702184
6.977009
6.793281
2.149476


1% level
5% level
10% level
t-Statistic
Prob.*
-5.524140
-4.273277
-3.557759
-3.212361
0.0004

Date: 10/03/14 Time: 09:57
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(OBD(-1))
D(OBD(-1),2)
D(OBD(-2),2)
D(OBD(-3),2)
C
@TREND(1976)
-3.023348
1.484339
0.827185
0.520396
0.671345
-0.039227
0.547297
0.464449
0.322006
0.182508
2.737818
0.121997
-5.524140
3.195913
2.568846
2.851366
0.245212
-0.321544
0.0000
0.0036
0.0163
0.0084
0.8082
0.7504
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.789854
0.749441
6.350116
1048.423
-101.2349
19.54469
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-0.259593
12.68606
6.702184
6.977009
6.793281
2.149476
at d1

1% level
5% level
10% level
t-Statistic
Prob.*
-5.524140
-4.273277
-3.557759
-3.212361
0.0004

Date: 10/03/14 Time: 09:57
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(OBD(-1))
D(OBD(-1),2)
D(OBD(-2),2)
D(OBD(-3),2)
C
@TREND(1976)
-3.023348
1.484339
0.827185
0.520396
0.671345
-0.039227
0.547297
0.464449
0.322006
0.182508
2.737818
0.121997
-5.524140
3.195913
2.568846
2.851366
0.245212
-0.321544
0.0000
0.0036
0.0163
0.0084
0.8082
0.7504
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.789854
0.749441
6.350116
1048.423
-101.2349
19.54469
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-0.259593
12.68606
6.702184
6.977009
6.793281
2.149476
at level fd
Null Hypothesis: OFB has a unit root

1% level
5% level
10% level
t-Statistic
Prob.*
-2.139183
-4.234972
-3.540328
-3.202445
0.5075

Dependent Variable: D(OFB)
Date: 10/03/14 Time: 09:57
Variable
Coefficient
Std. Error
t-Statistic
Prob.
OFB(-1)
C
@TREND(1976)
-0.247565
-1.655561
0.028400
0.115729
1.228198
0.045031
-2.139183
-1.347960
0.630681
0.0399
0.1869
0.5326
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.122216
0.069017
2.624610
227.3231
-84.25315
2.297331
0.116385
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
0.041168
2.720157
4.847397
4.979357
4.893455
1.398378
at d1
Null Hypothesis: D(OFB) has a unit root

1% level
5% level
10% level
t-Statistic
Prob.*
-4.568225
-4.243644
-3.544284
-3.204699
0.0044

Dependent Variable: D(OFB,2)
Date: 10/03/14 Time: 09:58
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(OFB(-1))
C
@TREND(1976)
-0.783118
0.324837
-0.012897
0.171427
0.993518
0.046169
-4.568225
0.326956
-0.279339
0.0001
0.7458
0.7818
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.395014
0.357202
2.757584
243.3366
-83.59706
10.44690
0.000322
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
0.051499
3.439471
4.948403
5.081719
4.994424
1.720799
at level ir
Null Hypothesis: IR has a unit root

1% level
5% level
10% level
t-Statistic
Prob.*
-2.341832
-4.234972
-3.540328
-3.202445
0.4021

Dependent Variable: D(IR)
Date: 10/03/14 Time: 09:58
Variable
Coefficient
Std. Error
t-Statistic
Prob.
IR(-1)
C
@TREND(1976)
-0.283878
1.495850
-0.018092
0.121221
0.725192
0.017757
-2.341832
2.062696
-1.018854
0.0254
0.0471
0.3157
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.143301
0.091380
1.032713
35.19441
-50.67441
2.759984
0.077922
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-0.047542
1.083400
2.981912
3.113872
3.027969
1.610520
at d1
Null Hypothesis: D(IR) has a unit root

1% level
5% level
10% level

Dependent Variable: D(IR,2)
t-Statistic
Prob.*
-5.505552
-4.243644
-3.544284
-3.204699
0.0004
Date: 10/03/14 Time: 09:59

Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(IR(-1))
C
@TREND(1976)
-0.943872
0.189573
-0.010222
0.171440
0.395303
0.018384
-5.505552
0.479564
-0.556040
0.0000
0.6348
0.5821
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.487387
0.455348
1.097590
38.55054
-51.35373
15.21261
0.000023
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
0.044738
1.487239
3.105928
3.239243
3.151948
1.904413
at level ex
Null Hypothesis: EX has a unit root

1% level
5% level
10% level
t-Statistic
Prob.*
-3.390527
-4.243644
-3.544284
-3.204699
0.0690

Dependent Variable: D(EX)
Date: 10/03/14 Time: 09:59
Variable
Coefficient
Std. Error
t-Statistic
Prob.
EX(-1)
D(EX(-1))
C
@TREND(1976)
-0.428995
0.403427
53.32828
-0.267501
0.126527
0.162575
15.91399
0.145231
-3.390527
2.481483
3.351031
-1.841898
0.0019
0.0187
0.0021
0.0751
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.298503
0.230616
7.427292
1710.104
-117.7197
4.397067
0.010889
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-0.138400
8.467572
6.955410
7.133164
7.016771
2.118631
d1
Null Hypothesis: D(EX) has a unit root

1% level
5% level
10% level
t-Statistic
Prob.*
-4.642916
-4.243644
-3.544284
-3.204699
0.0037

Dependent Variable: D(EX,2)
Date: 10/03/14 Time: 10:00
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(EX(-1))
C
@TREND(1976)
-0.805161
0.139215
-0.013105
0.173417
3.082680
0.143296
-4.642916
0.045160
-0.091456
0.0001
0.9643
0.9277
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.402510
0.365167
8.559095
2344.259
-123.2394
10.77870
0.000264
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
0.008457
10.74232
7.213682
7.346998
7.259703
1.934336
Cointegration
dobd= + fd + ir + ex
Date: 10/03/14 Time: 09:50

Trend assumption: Linear deterministic trend
Series: DOBD OFB IR EX
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None *
At most 1 *
At most 2
At most 3 *
0.758805
0.440388
0.153931
0.121644
78.18372
29.83059
10.09317
4.409901
47.85613
29.79707
15.49471
3.841466
0.0000
0.0496
0.2736
0.0357
Trace test indicates 2 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
No. of CE(s)
Eigenvalue
Max-Eigen
Statistic
0.05
Critical Value
Prob.**
None *
At most 1
At most 2
At most 3 *
0.758805
0.440388
0.153931
0.121644
48.35314
19.73742
5.683265
4.409901
27.58434
21.13162
14.26460
3.841466
0.0000
0.0774
0.6541
0.0357
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
DOBD
0.249327
0.018943
0.029796
-0.074565
OFB
0.084857
-0.221038
-0.177952
-0.025012
IR
-0.151716
0.541727
-0.160046
0.634726
EX
0.027191
-0.078211
0.046063
0.024484
Unrestricted Adjustment Coefficients (alpha):

D(DOBD)
D(OFB)
D(IR)
D(EX)
-7.119168
-0.457224
-0.489799
-3.127518
1 Cointegrating Equation(s):
-2.285994
1.254001
-0.236569
4.014424
0.019805
0.664086
0.073072
-1.260599
Log likelihood
-339.9206
Normalized cointegrating coefficients (standard error in parentheses)

DOBD
OFB
IR
EX
1.000000
0.340344
-0.608501
0.109059
(0.12510)
(0.34531)
(0.04107)
1.043557
0.053087
-0.234445
-0.487596
Adjustment coefficients (standard error in parentheses)

D(DOBD)
-1.775004
(0.28634)
D(OFB)
-0.113999
(0.12036)
D(IR)
-0.122120
(0.03914)
D(EX)
-0.779776
(0.33971)
Log likelihood
-330.0519

DOBD
OFB
IR
EX
1.000000
0.000000
0.219231
-0.011045
(0.37957)
(0.04714)
0.000000
1.000000
-2.432043
0.352890
(0.67956)
(0.08439)
D(DOBD)
-1.818307
-0.098821
(0.26608)
(0.25195)
D(OFB)
-0.090244
-0.315980
(0.10516)
(0.09958)
D(IR)
-0.126602
0.010728
(0.03762)
(0.03563)
D(EX)
-0.703732
-1.152732
(0.28300)
(0.26797)
Log likelihood
-327.2102

DOBD
OFB
IR
EX
1.000000
0.000000
0.000000
0.028894
(0.04366)
0.000000
1.000000
0.000000
-0.090171
(0.15474)
0.000000
0.000000
1.000000
-0.182176
(0.06792)
D(DOBD)
-1.817716
-0.102345
-0.161463
(0.26796)
(0.31517)
(0.62239)
D(OFB)
-0.070458
-0.434156
0.642410
(0.10108)
(0.11889)
(0.23479)
D(IR)
-0.124424
-0.002276
-0.065540
(0.03773)
(0.04438)
(0.08763)
D(EX)
-0.741293
-0.928406
2.850968
(0.27861)
(0.32770)
(0.64714)
Ganger Causality
Pairwise Granger Causality Tests
Date: 10/03/14 Time: 09:53
Sample: 1976 2012
Lags: 2
Null Hypothesis:
Obs
F-Statistic
Prob.
OFB does not Granger Cause DOBD

DOBD does not Granger Cause OFB
34
0.44040
0.75835
0.6480
0.4775
IR does not Granger Cause DOBD

DOBD does not Granger Cause IR
34
2.80988
7.01042
0.0767
0.0033
EX does not Granger Cause DOBD

DOBD does not Granger Cause EX
34
0.57119
2.34841
0.5711
0.1134
IR does not Granger Cause OFB

OFB does not Granger Cause IR
35
0.61466
1.17274
0.5475
0.3233
EX does not Granger Cause OFB

OFB does not Granger Cause EX
35
0.69775
1.61672
0.5056
0.2154
EX does not Granger Cause IR

IR does not Granger Cause EX
35
0.52529
0.72411
0.5967
0.4930
Cointegration
df bd= + ir + ex
Date: 10/03/14 Time: 11:59

Series: OFB IR EX
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None
At most 1
At most 2 *
0.387583
0.173891
0.139724
29.11550
11.95355
5.267556
29.79707
15.49471
3.841466
0.0598
0.1592
0.0217
Trace test indicates no cointegration at the 0.05 level

Hypothesized
No. of CE(s)
Eigenvalue
Max-Eigen
Statistic
0.05
Critical Value
Prob.**
None
At most 1
At most 2 *
0.387583
0.173891
0.139724
17.16194
6.685997
5.267556
21.13162
14.26460
3.841466
0.1645
0.5269
0.0217
Max-eigenvalue test indicates no cointegration at the 0.05 level

OFB
0.248047
-0.087785
-0.134758
IR
-0.474096
-0.593305
0.308486
EX
0.077985
0.022504
0.054006

D(OFB)
D(IR)
D(EX)
-1.354142
0.124305
-4.087645
0.332440
0.378083
-0.444486
0.468480
-0.160565
-1.611246
Log likelihood
-244.5966

OFB
IR
EX
1.000000
-1.911313
0.314394
(0.68035)
(0.08449)
D(OFB)
-0.335891
(0.10231)
D(IR)
0.030833
(0.04598)
D(EX)
-1.013929
(0.30755)
Log likelihood
-241.2536

OFB
IR
EX
1.000000
0.000000
0.188571
(0.10674)
0.000000
1.000000
-0.065830
(0.04622)
D(OFB)
-0.365075
0.444755
(0.10735)
(0.30984)
D(IR)
-0.002357
-0.283251
(0.04527)
(0.13066)
D(EX)
-0.974910
2.201652
(0.32554)
(0.93961)
Date: 10/03/14 Time: 11:59

Series: OFB IR EX

Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None
At most 1
At most 2 *
0.387583
0.173891
0.139724
29.11550
11.95355
5.267556
29.79707
15.49471
3.841466
0.0598
0.1592
0.0217

Hypothesized
No. of CE(s)
Eigenvalue
Max-Eigen
Statistic
0.05
Critical Value
Prob.**
None
At most 1
At most 2 *
0.387583
0.173891
0.139724
17.16194
6.685997
5.267556
21.13162
14.26460
3.841466
0.1645
0.5269
0.0217

OFB
0.248047
-0.087785
-0.134758
IR
-0.474096
-0.593305
0.308486
EX
0.077985
0.022504
0.054006

D(OFB)
D(IR)
D(EX)
-1.354142
0.124305
-4.087645
0.332440
0.378083
-0.444486
0.468480
-0.160565
-1.611246
Log likelihood
-244.5966

OFB
IR
EX
1.000000
-1.911313
0.314394
(0.68035)
(0.08449)
D(OFB)
-0.335891
(0.10231)
D(IR)
0.030833
(0.04598)
D(EX)
-1.013929
(0.30755)
Log likelihood
-241.2536

OFB
IR
EX
1.000000
0.000000
0.000000
1.000000
0.188571
(0.10674)
-0.065830
(0.04622)

D(OFB)
-0.365075
0.444755
(0.10735)
(0.30984)
D(IR)
-0.002357
-0.283251
(0.04527)
(0.13066)
D(EX)
-0.974910
2.201652
(0.32554)
(0.93961)
Date: 10/03/14 Time: 11:59

Series: OFB IR EX
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None
At most 1
At most 2 *
0.387583
0.173891
0.139724
29.11550
11.95355
5.267556
29.79707
15.49471
3.841466
0.0598
0.1592
0.0217

Hypothesized
No. of CE(s)
Eigenvalue
Max-Eigen
Statistic
0.05
Critical Value
Prob.**
None
At most 1
At most 2 *
0.387583
0.173891
0.139724
17.16194
6.685997
5.267556
21.13162
14.26460
3.841466
0.1645
0.5269
0.0217

OFB
0.248047
-0.087785
-0.134758
IR
-0.474096
-0.593305
0.308486
EX
0.077985
0.022504
0.054006

D(OFB)
-1.354142
0.332440
0.468480
D(IR)
D(EX)
0.124305
-4.087645
0.378083
-0.444486
-0.160565
-1.611246
Log likelihood
-244.5966

OFB
IR
EX
1.000000
-1.911313
0.314394
(0.68035)
(0.08449)
D(OFB)
-0.335891
(0.10231)
D(IR)
0.030833
(0.04598)
D(EX)
-1.013929
(0.30755)
Log likelihood
-241.2536

OFB
IR
EX
1.000000
0.000000
0.188571
(0.10674)
0.000000
1.000000
-0.065830
(0.04622)
D(OFB)
-0.365075
0.444755
(0.10735)
(0.30984)
D(IR)
-0.002357
-0.283251
(0.04527)
(0.13066)
D(EX)
-0.974910
2.201652
(0.32554)
(0.93961)
Ganger Causality
Date: 10/03/14 Time: 12:00
Sample: 1976 2012
Lags: 2
Null Hypothesis:
Obs
F-Statistic
Prob.
IR does not Granger Cause OFB

OFB does not Granger Cause IR
35
0.61466
1.17274
0.5475
0.3233
EX does not Granger Cause OFB

OFB does not Granger Cause EX
35
0.69775
1.61672
0.5056
0.2154

35
0.52529
0.72411
0.5967
0.4930
Cointegration
f bd= ca+ ir + ex
Date: 10/03/14 Time: 12:05

Series: CA FD IR EX
Hypothesized
No. of CE(s)
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None *
At most 1
At most 2
At most 3
0.638317
0.346414
0.161413
0.075171
59.37588
23.78129
8.896432
2.735142
47.85613
29.79707
15.49471
3.841466
0.0029
0.2098
0.3750
0.0982
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

Hypothesized
No. of CE(s)
Eigenvalue
Max-Eigen
Statistic
0.05
Critical Value
Prob.**
None *
At most 1
At most 2
At most 3
0.638317
0.346414
0.161413
0.075171
35.59459
14.88486
6.161289
2.735142
27.58434
21.13162
14.26460
3.841466
0.0038
0.2970
0.5926
0.0982
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

CA
0.232545
0.204205
0.003243
-0.136667
FD
0.064420
-0.237308
0.180816
0.134330
IR
0.797397
1.378704
-0.203625
0.011205
EX
0.145339
0.013675
-0.046311
-0.050464

D(CA)
D(FD)
D(IR)
D(EX)
1.589248
-1.478830
-0.171910
-5.118515
-0.169685
0.370190
-0.423379
1.173177
-1.232058
-0.708437
0.043972
1.103238
Log likelihood
-324.2266

CA
FD
IR
EX
1.000000
0.277023
3.429007
0.624992
(0.17857)
(0.49969)
(0.05888)
0.805916
-0.020214
-0.065505
0.877694
D(CA)
D(FD)
D(IR)
D(EX)
0.369571
(0.19098)
-0.343894
(0.09411)
-0.039977
(0.03354)
-1.190283
(0.26127)
Log likelihood
-316.7842

CA
FD
IR
EX
1.000000
0.000000
4.068580
0.517576
(0.40924)
(0.04957)
0.000000
1.000000
-2.308736
0.387753
(0.72772)
(0.08815)
D(CA)
0.334920
0.142647
(0.25397)
(0.20179)
D(FD)
-0.268299
-0.183115
(0.12342)
(0.09807)
D(IR)
-0.126433
0.089397
(0.03742)
(0.02973)
D(EX)
-0.950714
-0.608139
(0.34110)
(0.27103)
Log likelihood
-313.7035

CA
FD
IR
EX
1.000000
0.000000
0.000000
2.912470
(0.81352)
0.000000
1.000000
0.000000
-0.971242
(0.43582)
0.000000
0.000000
1.000000
-0.588632
(0.19962)
D(CA)
0.330924
-0.080129
1.284194
(0.24391)
(0.24054)
(1.26542)
D(FD)
-0.270597
-0.311212
-0.524577
(0.11652)
(0.11491)
(0.60451)
D(IR)
-0.126290
0.097347
-0.729748
(0.03734)
(0.03682)
(0.19371)
D(EX)
-0.947136
-0.408656
-2.688671
(0.33518)
(0.33055)
(1.73890)
Granger Causality
Date: 10/03/14 Time: 12:06
Sample: 1976 2012
Lags: 2
Null Hypothesis:
Obs
F-Statistic
Prob.
FD does not Granger Cause CA

CA does not Granger Cause FD
35
0.27426
0.35166
0.7620
0.7064
IR does not Granger Cause CA

CA does not Granger Cause IR
35
0.52748
7.63810
0.5955
0.0021
EX does not Granger Cause CA

CA does not Granger Cause EX
35
2.10082
3.53142
0.1400
0.0420
IR does not Granger Cause FD

FD does not Granger Cause IR
35
0.61466
1.17274
0.5475
0.3233
EX does not Granger Cause FD

FD does not Granger Cause EX
35
0.69775
1.61672
0.5056
0.2154

35
0.52529
0.72411
0.5967
0.4930

Unit Root at Level OBD

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Unit Root at Level OBD

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Unit Root

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

Null Hypothesis: D(OBD) has a unit root

Augmented Dickey-Fuller test statistic

Augmented Dickey-Fuller Test Equation

Sample (adjusted): 1981 2012

Mean dependent var

Null Hypothesis: D(OBD) has a unit root

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

Augmented Dickey-Fuller test statistic

Augmented Dickey-Fuller Test Equation

Mean dependent var

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

Augmented Dickey-Fuller test statistic

Augmented Dickey-Fuller Test Equation

Date: 10/03/14 Time: 09:59

Mean dependent var

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

Date: 10/03/14 Time: 09:50

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

Unrestricted Adjustment Coefficients (alpha):

Normalized cointegrating coefficients (standard error in parentheses)

Adjustment coefficients (standard error in parentheses)

Normalized cointegrating coefficients (standard error in parentheses)

Normalized cointegrating coefficients (standard error in parentheses)

OFB does not Granger Cause DOBD

IR does not Granger Cause DOBD

EX does not Granger Cause DOBD

IR does not Granger Cause OFB

EX does not Granger Cause OFB

EX does not Granger Cause IR

Date: 10/03/14 Time: 11:59