EasyReg International [September 20, 2012]

Session date: Monday April 1, 2013

Session time: 19:21:45
---------------------------------------------KPSS trend stationarity test
Reference: Kwiatkowski, D., P. Phillips, P. Schmidt, and Y. Shin (1992)
Testing the Null of Stationarity Against the Alternative of a Unit Root
Journal of Econometrics 54, 159-178.
Null hypothesis H0: z(t) = c + d.t + u(t), where u(t) is a zero-mean
stationary process and c and d are constants.
Alternative hypothesis H1: z(t) is a unit root process with drift:
z(t) = z(t-1) + c + u(t)
The KPSS test employs a Newey-West type variance estimator of the long-run
variance of u(t), with truncation lag m = [c.n^s], where c > 0 and 0< s <1/2.
The default values of c and s are c = 5, s = .25

m = 18 = [c.n^s], where c=5, s=.25, n=193

5% critical region 10% critical region
> 0.146
> 0.119
Test results:
Test statistic Conclusion (5%) Conclusion (10%)
0.0500
(accept H0)
(accept H0)
---------------------------------------------EasyReg International [September 20, 2012]
Session date: Monday April 1, 2013
Session time: 19:22:01
---------------------------------------------KPSS trend stationarity test
Reference: Kwiatkowski, D., P. Phillips, P. Schmidt, and Y. Shin (1992)
Testing the Null of Stationarity Against the Alternative of a Unit Root
Journal of Econometrics 54, 159-178.
Null hypothesis H0: z(t) = c + d.t + u(t), where u(t) is a zero-mean
stationary process and c and d are constants.
Alternative hypothesis H1: z(t) is a unit root process with drift:
z(t) = z(t-1) + c + u(t)
The KPSS test employs a Newey-West type variance estimator of the long-run
variance of u(t), with truncation lag m = [c.n^s], where c > 0 and 0< s <1/2.
The default values of c and s are c = 5, s = .25

m = 18 = [c.n^s], where c=5, s=.25, n=193

5% critical region 10% critical region
> 0.146
> 0.119
Test results:
Test statistic Conclusion (5%) Conclusion (10%)
0.0525
(accept H0)
(accept H0)
---------------------------------------------EasyReg International [September 20, 2012]
Session date: Monday April 1, 2013
Session time: 19:22:07
----------------------------------------------

KPSS trend stationarity test

Reference: Kwiatkowski, D., P. Phillips, P. Schmidt, and Y. Shin (1992)
Testing the Null of Stationarity Against the Alternative of a Unit Root
Journal of Econometrics 54, 159-178.
Null hypothesis H0: z(t) = c + d.t + u(t), where u(t) is a zero-mean
stationary process and c and d are constants.
Alternative hypothesis H1: z(t) is a unit root process with drift:
z(t) = z(t-1) + c + u(t)
The KPSS test employs a Newey-West type variance estimator of the long-run
variance of u(t), with truncation lag m = [c.n^s], where c > 0 and 0< s <1/2.
The default values of c and s are c = 5, s = .25

m = 18 = [c.n^s], where c=5, s=.25, n=193

5% critical region 10% critical region
> 0.146
> 0.119
Test results:
Test statistic Conclusion (5%) Conclusion (10%)
0.0525
(accept H0)
(accept H0)
---------------------------------------------EasyReg International [September 20, 2012]
Session date: Monday April 1, 2013
Session time: 19:22:20
---------------------------------------------KPSS trend stationarity test
Reference: Kwiatkowski, D., P. Phillips, P. Schmidt, and Y. Shin (1992)
Testing the Null of Stationarity Against the Alternative of a Unit Root
Journal of Econometrics 54, 159-178.
Null hypothesis H0: z(t) = c + d.t + u(t), where u(t) is a zero-mean
stationary process and c and d are constants.
Alternative hypothesis H1: z(t) is a unit root process with drift:
z(t) = z(t-1) + c + u(t)
The KPSS test employs a Newey-West type variance estimator of the long-run
variance of u(t), with truncation lag m = [c.n^s], where c > 0 and 0< s <1/2.
The default values of c and s are c = 5, s = .25

m = 18 = [c.n^s], where c=5, s=.25, n=194

5% critical region 10% critical region
> 0.146
> 0.119
Test results:
Test statistic Conclusion (5%) Conclusion (10%)
0.2126
(reject H0)
(reject H0)
---------------------------------------------EasyReg International [September 20, 2012]
Session date: Monday April 1, 2013
Session time: 19:22:40
---------------------------------------------KPSS trend stationarity test
Reference: Kwiatkowski, D., P. Phillips, P. Schmidt, and Y. Shin (1992)
Testing the Null of Stationarity Against the Alternative of a Unit Root

Journal of Econometrics 54, 159-178.

Null hypothesis H0: z(t) = c + d.t + u(t), where u(t) is a zero-mean
stationary process and c and d are constants.
Alternative hypothesis H1: z(t) is a unit root process with drift:
z(t) = z(t-1) + c + u(t)
The KPSS test employs a Newey-West type variance estimator of the long-run
variance of u(t), with truncation lag m = [c.n^s], where c > 0 and 0< s <1/2.
The default values of c and s are c = 5, s = .25

m = 18 = [c.n^s], where c=5, s=.25, n=194

5% critical region 10% critical region
> 0.146
> 0.119
Test results:
Test statistic Conclusion (5%) Conclusion (10%)
0.1189
(accept H0)
(accept H0)
---------------------------------------------EasyReg International [September 20, 2012]
Session date: Monday April 1, 2013
Session time: 19:59:58
---------------------------------------------z(t,1)
z(t,2)
z(t,3)
z(t,4)

=
=
=
=

LN[IP]
DIF1[i]
DIF1[U]
DIF1[LN[CPI]]

Dependent variables:
Y(1) = LN[IP]
Y(2) = DIF1[i]
Y(3) = DIF1[U]
Y(4) = DIF1[LN[CPI]]
Characteristics:
LN[IP]
First observation = 2(=1960.02)
Last observation = 194(=1976.02)
Number of usable observations: 193
Minimum value: 3.2096332E+000
Maximum value: 4.7212629E+000
Sample mean: 4.0969490E+000
DIF1[i]
First observation = 2(=1960.02)
Last observation = 194(=1976.02)
Number of usable observations: 193
Minimum value: -3.4133000E+000
Maximum value: 4.4733300E+000
Sample mean: -9.5509326E-003
DIF1[U]
First observation = 2(=1960.02)
Last observation = 194(=1976.02)
Number of usable observations: 193
Minimum value: -8.4000000E-001
Maximum value: 1.6700000E+000
Sample mean:
1.0362694E-003
DIF1[LN[CPI]]
First observation = 2(=1960.02)

Last observation = 194(=1976.02)

Number of usable observations: 193
Minimum value: -9.7991189E-004
Maximum value: 3.6348553E-002
Sample mean:
1.0104905E-002
VAR(p) model:
z(t) = A(1)z(t-1) + ... +A(p)z(t-p) + B.d(t) + u(t),
where d(t) is a vector of deterministic variables:
d(t)=
1
t (1960.01=1)
Information criteria:
p
Akaike
1
-2.47724E+01
2
-2.51794E+01
3
-2.52782E+01
4
-2.52670E+01
5
-2.53856E+01
6
-2.54405E+01
7
-2.54623E+01
8
-2.55180E+01
9
-2.55698E+01
10
-2.55467E+01
11
-2.55393E+01
12
-2.55371E+01
13
-2.55086E+01
14
-2.54098E+01
15
-2.52931E+01
16
-2.52254E+01
17
-2.52374E+01
18
-2.52156E+01
19
-2.51891E+01
20
-2.54135E+01
p =
9

Hannan-Quinn
-2.46074E+01
-2.49035E+01
-2.48906E+01
-2.47667E+01
-2.47718E+01
-2.47124E+01
-2.46189E+01
-2.45586E+01
-2.44934E+01
-2.43524E+01
-2.42262E+01
-2.41042E+01
-2.39550E+01
-2.37347E+01
-2.34954E+01
-2.33041E+01
-2.31916E+01
-2.30443E+01
-2.28912E+01
-2.29881E+01
2

Schwarz
-2.43652E+01
-2.44983E+01
-2.43212E+01
-2.40321E+01
-2.38707E+01
-2.36436E+01
-2.33812E+01
-2.31506E+01
-2.29140E+01
-2.26003E+01
-2.23001E+01
-2.20029E+01
-2.16770E+01
-2.12787E+01
-2.08600E+01
-2.04881E+01
-2.01934E+01
-1.98626E+01
-1.95246E+01
-1.94350E+01
2

Chosen VAR(p) order: p = 9

Zeros in matrices A(1),..,A(9): (1 = nonzero)
1 1 0 1
1 1 1 1
1 1 1 1
1 1 1 1
SUR estimation results for SUR iteration round 8
y(1) = LN[IP]
Explanatory variables

SUR estimate

x(1,1) = LAG1[LN[IP]]

14.23626E-01

x(1,2) = LAG1[DIF1[i]]

93.59833E-05

x(1,3) = LAG1[DIF1[LN[CPI]]]

-10.17480E-01

x(1,4) = LAG2[LN[IP]]

-48.08654E-02

x(1,5) = LAG2[DIF1[i]]

-15.39971E-04

x(1,6) = LAG2[DIF1[LN[CPI]]]

-50.67864E-02

t-value
[p-value]
17.31
[0.00000]
0.70
[0.48616]
-3.65
[0.00026]
-3.57
[0.00036]
-1.04
[0.29619]
-1.53

[0.12663]
1.05
[0.29364]
x(1,8) = LAG3[DIF1[i]]
29.84032E-04
1.95
[0.05174]
x(1,9) = LAG3[DIF1[LN[CPI]]]
23.25157E-02
0.67
[0.50273]
x(1,10) = LAG4[LN[IP]]
-68.62744E-03
-0.50
[0.61632]
x(1,11) = LAG4[DIF1[i]]
-28.26920E-04
-1.85
[0.06417]
x(1,12) = LAG4[DIF1[LN[CPI]]]
61.82154E-02
1.78
[0.07537]
x(1,13) = LAG5[LN[IP]]
-17.24435E-02
-1.27
[0.20394]
x(1,14) = LAG5[DIF1[i]]
61.53650E-05
0.41
[0.68294]
x(1,15) = LAG5[DIF1[LN[CPI]]]
11.09608E-02
0.32
[0.74780]
x(1,16) = LAG6[LN[IP]]
21.30938E-02
1.65
[0.09934]
x(1,17) = LAG6[DIF1[i]]
-10.59383E-04
-0.71
[0.47467]
x(1,18) = LAG6[DIF1[LN[CPI]]]
27.95670E-02
0.81
[0.41932]
x(1,19) = LAG7[LN[IP]]
49.08602E-03
0.38
[0.70351]
x(1,20) = LAG7[DIF1[i]]
-47.13255E-04
-3.22
[0.00127]
x(1,21) = LAG7[DIF1[LN[CPI]]]
11.55841E-02
0.34
[0.73466]
x(1,22) = LAG8[LN[IP]]
-22.82344E-02
-1.88
[0.06025]
x(1,23) = LAG8[DIF1[i]]
18.79405E-04
1.32
[0.18830]
x(1,24) = LAG8[DIF1[LN[CPI]]]
-78.34725E-02
-2.41
[0.01613]
x(1,25) = LAG9[LN[IP]]
11.69853E-02
1.68
[0.09359]
x(1,26) = LAG9[DIF1[i]]
-27.80064E-05
-0.23
[0.82031]
x(1,27) = LAG9[DIF1[LN[CPI]]]
49.77989E-02
1.77
[0.07752]
x(1,28) = 1
25.39085E-03
0.49
[0.62066]
x(1,29) = t (1960.01=1)
-27.52596E-06
-0.24
[0.80789]
[The p-values are two-sided and based on the normal approximation]
s.e.:
10.26448E-03
R-Square:
0.9993
n:
184
x(1,7) = LAG3[LN[IP]]

14.41885E-02

y(2) = DIF1[i]
Explanatory variables

SUR estimate

x(2,1) = LAG1[LN[IP]]
x(2,2) = LAG1[DIF1[i]]
x(2,3) = LAG1[DIF1[U]]

t-value
[p-value]
21.02249E+00
3.47
[0.00052]
23.92881E-02
2.77
[0.00552]
56.54399E-03
0.20

x(2,4) = LAG1[DIF1[LN[CPI]]]

-72.25647E+00

x(2,5) = LAG2[LN[IP]]

-24.44027E+00

x(2,6) = LAG2[DIF1[i]]

-25.44925E-02

x(2,7) = LAG2[DIF1[U]]

-54.74984E-02

x(2,8) = LAG2[DIF1[LN[CPI]]]
x(2,9) = LAG3[LN[IP]]

51.72746E+00
-24.04074E-01

x(2,10) = LAG3[DIF1[i]]

31.81143E-02

x(2,11) = LAG3[DIF1[U]]

-44.46394E-02

x(2,12) = LAG3[DIF1[LN[CPI]]]

52.02122E+00

x(2,13) = LAG4[LN[IP]]

10.87759E-01

x(2,14) = LAG4[DIF1[i]]

-10.01118E-04

x(2,15) = LAG4[DIF1[U]]

41.87399E-02

x(2,16) = LAG4[DIF1[LN[CPI]]]

17.69363E+00

x(2,17) = LAG5[LN[IP]]

14.75572E+00

x(2,18) = LAG5[DIF1[i]]

17.37161E-02

x(2,19) = LAG5[DIF1[U]]

11.24082E-01

x(2,20) = LAG5[DIF1[LN[CPI]]]

-49.43034E-01

x(2,21) = LAG6[LN[IP]]

-26.60360E-01

x(2,22) = LAG6[DIF1[i]]

-84.28278E-03

x(2,23) = LAG6[DIF1[U]]

-15.48023E-02

x(2,24) = LAG6[DIF1[LN[CPI]]]

-69.76780E+00

x(2,25) = LAG7[LN[IP]]

-44.81488E-01

x(2,26) = LAG7[DIF1[i]]

-21.13221E-02

x(2,27) = LAG7[DIF1[U]]

-64.49994E-02

x(2,28) = LAG7[DIF1[LN[CPI]]]

-88.85317E-01

x(2,29) = LAG8[LN[IP]]

-16.66692E+00

x(2,30) = LAG8[DIF1[i]]

12.95664E-02

x(2,31) = LAG8[DIF1[U]]

-69.95096E-02

x(2,32) = LAG8[DIF1[LN[CPI]]]

11.61848E+00

x(2,33) = LAG9[LN[IP]]

15.15709E+00

[0.83905]
-4.15
[0.00003]
-2.68
[0.00737]
-2.77
[0.00564]
-2.01
[0.04442]
2.47
[0.01365]
-0.27
[0.79027]
3.27
[0.00108]
-1.68
[0.09341]
2.38
[0.01725]
0.12
[0.90543]
-0.01
[0.99152]
1.58
[0.11448]
0.81
[0.41810]
1.63
[0.10341]
1.89
[0.05906]
4.32
[0.00002]
-0.22
[0.82204]
-0.31
[0.75782]
-0.91
[0.36309]
-0.59
[0.55212]
-3.16
[0.00159]
-0.52
[0.60649]
-2.30
[0.02158]
-2.52
[0.01166]
-0.41
[0.68263]
-1.92
[0.05443]
1.46
[0.14502]
-2.58
[0.00986]
0.57
[0.57050]
2.75

[0.00599]
-0.40
[0.68813]
x(2,35) = LAG9[DIF1[U]]
48.58063E-02
2.62
[0.00868]
x(2,36) = LAG9[DIF1[LN[CPI]]]
17.29768E+00
0.97
[0.33227]
x(2,37) = 1
-45.36783E-01
-1.41
[0.15871]
x(2,38) = t (1960.01=1)
-10.53899E-03
-1.43
[0.15317]
[The p-values are two-sided and based on the normal approximation]
s.e.:
63.63191E-02
R-Square:
0.4687
n:
184
x(2,34) = LAG9[DIF1[i]]

-33.67113E-03

y(3) = DIF1[U]
Explanatory variables

SUR estimate

x(3,1) = LAG1[LN[IP]]

-76.81962E-01

x(3,2) = LAG1[DIF1[i]]

46.25416E-04

x(3,3) = LAG1[DIF1[U]]

18.81392E-02

x(3,4) = LAG1[DIF1[LN[CPI]]]

29.24337E+00

x(3,5) = LAG2[LN[IP]]

92.21151E-01

x(3,6) = LAG2[DIF1[i]]

-41.50253E-03

x(3,7) = LAG2[DIF1[U]]

71.90529E-03

x(3,8) = LAG2[DIF1[LN[CPI]]]
x(3,9) = LAG3[LN[IP]]

-35.17148E-02
46.01748E-02

x(3,10) = LAG3[DIF1[i]]

-51.97115E-03

x(3,11) = LAG3[DIF1[U]]

15.54265E-02

x(3,12) = LAG3[DIF1[LN[CPI]]]

-86.41591E-01

x(3,13) = LAG4[LN[IP]]

-19.90606E-01

x(3,14) = LAG4[DIF1[i]]

26.68899E-03

x(3,15) = LAG4[DIF1[U]]

-17.23932E-02

x(3,16) = LAG4[DIF1[LN[CPI]]]

-23.21514E+00

x(3,17) = LAG5[LN[IP]]

36.85563E-01

x(3,18) = LAG5[DIF1[i]]

46.27745E-03

x(3,19) = LAG5[DIF1[U]]

-17.25967E-03

x(3,20) = LAG5[DIF1[LN[CPI]]]
x(3,21) = LAG6[LN[IP]]

72.11163E-01
-83.96964E-01

t-value
[p-value]
-4.25
[0.00002]
0.17
[0.86163]
2.53
[0.01126]
5.42
[0.00000]
3.33
[0.00088]
-1.46
[0.14529]
0.99
[0.32214]
-0.05
[0.95670]
0.17
[0.86778]
-1.73
[0.08358]
2.20
[0.02785]
-1.28
[0.20078]
-0.71
[0.47552]
0.91
[0.36220]
-2.44
[0.01481]
-3.43
[0.00059]
1.33
[0.18204]
1.61
[0.10663]
-0.25
[0.80366]
1.06
[0.28721]
-3.19

[0.00141]
1.38
[0.16779]
x(3,23) = LAG6[DIF1[U]]
-43.99713E-03
-0.63
[0.52623]
x(3,24) = LAG6[DIF1[LN[CPI]]]
66.15769E-01
0.97
[0.33114]
x(3,25) = LAG7[LN[IP]]
62.77988E-01
2.37
[0.01764]
x(3,26) = LAG7[DIF1[i]]
12.47899E-02
4.39
[0.00001]
x(3,27) = LAG7[DIF1[U]]
34.81310E-02
5.11
[0.00000]
x(3,28) = LAG7[DIF1[LN[CPI]]]
-31.56961E-02
-0.05
[0.96241]
x(3,29) = LAG8[LN[IP]]
-12.71316E-01
-0.49
[0.62518]
x(3,30) = LAG8[DIF1[i]]
-32.89494E-04
-0.12
[0.90504]
x(3,31) = LAG8[DIF1[U]]
-80.02248E-03
-1.11
[0.26819]
x(3,32) = LAG8[DIF1[LN[CPI]]]
79.99874E-01
1.26
[0.20660]
x(3,33) = LAG9[LN[IP]]
-86.37428E-03
-0.05
[0.95757]
x(3,34) = LAG9[DIF1[i]]
27.39979E-03
1.08
[0.28096]
x(3,35) = LAG9[DIF1[U]]
29.58429E-03
0.60
[0.54893]
x(3,36) = LAG9[DIF1[LN[CPI]]]
-16.23214E+00
-2.95
[0.00322]
x(3,37) = 1
-75.73745E-02
-0.76
[0.44709]
x(3,38) = t (1960.01=1)
-12.93209E-04
-0.57
[0.56748]
[The p-values are two-sided and based on the normal approximation]
s.e.:
19.91367E-02
R-Square:
0.6650
n:
184
x(3,22) = LAG6[DIF1[i]]

39.59247E-03

y(4) = DIF1[LN[CPI]]
Explanatory variables

SUR estimate

x(4,1) = LAG1[LN[IP]]

98.01008E-04

x(4,2) = LAG1[DIF1[i]]

17.63979E-04

x(4,3) = LAG1[DIF1[U]]

-23.90779E-04

x(4,4) = LAG1[DIF1[LN[CPI]]]

52.08872E-02

x(4,5) = LAG2[LN[IP]]

-73.45420E-03

x(4,6) = LAG2[DIF1[i]]

-10.85588E-04

x(4,7) = LAG2[DIF1[U]]

-21.32189E-04

x(4,8) = LAG2[DIF1[LN[CPI]]]

29.13954E-02

x(4,9) = LAG3[LN[IP]]

78.95660E-03

t-value
[p-value]
0.37
[0.71427]
4.81
[0.00000]
-1.75
[0.07960]
7.10
[0.00000]
-1.86
[0.06233]
-2.81
[0.00503]
-1.60
[0.11004]
3.28
[0.00102]
2.04

[0.04151]
2.89
[0.00389]
x(4,11) = LAG3[DIF1[U]]
15.83161E-04
1.22
[0.22269]
x(4,12) = LAG3[DIF1[LN[CPI]]]
-11.79012E-03
-0.13
[0.89832]
x(4,13) = LAG4[LN[IP]]
-54.72506E-03
-1.39
[0.16503]
x(4,14) = LAG4[DIF1[i]]
26.84682E-05
0.68
[0.49686]
x(4,15) = LAG4[DIF1[U]]
-17.54472E-04
-1.35
[0.17702]
x(4,16) = LAG4[DIF1[LN[CPI]]]
-11.23645E-02
-1.22
[0.22312]
x(4,17) = LAG5[LN[IP]]
44.41388E-03
1.14
[0.25466]
x(4,18) = LAG5[DIF1[i]]
33.47117E-05
0.87
[0.38394]
x(4,19) = LAG5[DIF1[U]]
16.73336E-04
1.31
[0.18953]
x(4,20) = LAG5[DIF1[LN[CPI]]]
66.20967E-03
0.71
[0.47736]
x(4,21) = LAG6[LN[IP]]
22.71490E-03
0.61
[0.54062]
x(4,22) = LAG6[DIF1[i]]
41.97952E-05
1.08
[0.28232]
x(4,23) = LAG6[DIF1[U]]
-13.22182E-04
-1.04
[0.29988]
x(4,24) = LAG6[DIF1[LN[CPI]]]
-76.31869E-03
-0.81
[0.41552]
x(4,25) = LAG7[LN[IP]]
39.59510E-04
0.11
[0.91603]
x(4,26) = LAG7[DIF1[i]]
30.47160E-06
0.08
[0.93744]
x(4,27) = LAG7[DIF1[U]]
14.85428E-04
1.19
[0.23573]
x(4,28) = LAG7[DIF1[LN[CPI]]]
12.66492E-02
1.37
[0.16935]
x(4,29) = LAG8[LN[IP]]
-46.37456E-03
-1.22
[0.22195]
x(4,30) = LAG8[DIF1[i]]
-45.55630E-05
-1.22
[0.22315]
x(4,31) = LAG8[DIF1[U]]
-24.07355E-04
-1.81
[0.06982]
x(4,32) = LAG8[DIF1[LN[CPI]]]
-16.67801E-02
-1.93
[0.05373]
x(4,33) = LAG9[LN[IP]]
29.45695E-03
1.19
[0.23340]
x(4,34) = LAG9[DIF1[i]]
-49.85461E-05
-1.37
[0.17046]
x(4,35) = LAG9[DIF1[U]]
-37.96671E-05
-0.42
[0.67545]
x(4,36) = LAG9[DIF1[LN[CPI]]]
20.34022E-02
2.69
[0.00704]
x(4,37) = 1
-46.21152E-03
-3.40
[0.00067]
x(4,38) = t (1960.01=1)
-11.62953E-05
-3.69
[0.00022]
[The p-values are two-sided and based on the normal approximation]
x(4,10) = LAG3[DIF1[i]]

11.89780E-04

s.e.:
R-Square:
n:
Error variance matrix based on
8.87540E-005 2.90458E-003
2.90458E-003 3.21281E-001
-1.16839E-003 -5.19285E-002
3.17726E-006 2.68670E-004
= LL', where L =
9.42093E-003
0
3.08311E-001 4.75631E-001
-1.24021E-001 -2.87858E-002
3.37255E-004 3.46256E-004

26.42947E-04
0.8754
184
SUR residuals:
-1.16839E-003 3.17726E-006
-5.19285E-002 2.68670E-004
3.14657E-002 -2.30808E-005
-2.30808E-005 5.54258E-006
0
0
1.23515E-001
2.32468E-004

0
0
0
2.29236E-003

Maximum absolute difference of the elements of the matrix L with

the corresponding elements of the previous matrix L: 53.11229E-012
L =
9.42093E-003
0
0
0
(21.47)
[0.00000]
3.08311E-001 4.75631E-001
0
0
(9.58)
(21.07)
[0.00000]
[0.00000]
-1.24021E-001 -2.87858E-002 1.23515E-001
0
(-11.25)
(-2.75)
(16.12)
[0.00000]
[0.00595]
[0.00000]
3.37255E-004 3.46256E-004 2.32468E-004 2.29236E-003
(2.37)
(1.97)
(1.26)
(24.90)
[0.01787]
[0.04940]
[0.20705]
[0.00000]
(t-values in parenthesis)
[p-values in parenthesis (two-sided, based on the normal approximation)]
Log-likelihood: 14.539217E+002
x(1,1) = LAG1[LN[IP]]
x(1,2) = LAG1[DIF1[i]]
x(1,3) = LAG1[DIF1[LN[CPI]]]
x(1,4) = LAG2[LN[IP]]
x(1,5) = LAG2[DIF1[i]]
x(1,6) = LAG2[DIF1[LN[CPI]]]
x(1,7) = LAG3[LN[IP]]
x(1,8) = LAG3[DIF1[i]]
x(1,9) = LAG3[DIF1[LN[CPI]]]
x(1,10) = LAG4[LN[IP]]
x(1,11) = LAG4[DIF1[i]]
x(1,12) = LAG4[DIF1[LN[CPI]]]
x(1,13) = LAG5[LN[IP]]
x(1,14) = LAG5[DIF1[i]]
x(1,15) = LAG5[DIF1[LN[CPI]]]
x(1,16) = LAG6[LN[IP]]
x(1,17) = LAG6[DIF1[i]]
x(1,18) = LAG6[DIF1[LN[CPI]]]
x(1,19) = LAG7[LN[IP]]
x(1,20) = LAG7[DIF1[i]]
x(1,21) = LAG7[DIF1[LN[CPI]]]

14.23626E-01
93.59833E-05
-10.17480E-01
-48.08654E-02
-15.39971E-04
-50.67864E-02
14.41885E-02
29.84032E-04
23.25157E-02
-68.62744E-03
-28.26920E-04
61.82154E-02
-17.24435E-02
61.53650E-05
11.09608E-02
21.30938E-02
-10.59383E-04
27.95670E-02
49.08602E-03
-47.13255E-04
11.55841E-02

17.31
0.70
-3.65
-3.57
-1.04
-1.53
1.05
1.95
0.67
-0.50
-1.85
1.78
-1.27
0.41
0.32
1.65
-0.71
0.81
0.38
-3.22
0.34

x(1,22) = LAG8[LN[IP]]
x(1,23) = LAG8[DIF1[i]]
x(1,24) = LAG8[DIF1[LN[CPI]]]
x(1,25) = LAG9[LN[IP]]
x(1,26) = LAG9[DIF1[i]]
x(1,27) = LAG9[DIF1[LN[CPI]]]
x(1,28) = 1
x(1,29) = t (1960.01=1)
x(2,1) = LAG1[LN[IP]]
x(2,2) = LAG1[DIF1[i]]
x(2,3) = LAG1[DIF1[U]]
x(2,4) = LAG1[DIF1[LN[CPI]]]
x(2,5) = LAG2[LN[IP]]
x(2,6) = LAG2[DIF1[i]]
x(2,7) = LAG2[DIF1[U]]
x(2,8) = LAG2[DIF1[LN[CPI]]]
x(2,9) = LAG3[LN[IP]]
x(2,10) = LAG3[DIF1[i]]
x(2,11) = LAG3[DIF1[U]]
x(2,12) = LAG3[DIF1[LN[CPI]]]
x(2,13) = LAG4[LN[IP]]
x(2,14) = LAG4[DIF1[i]]
x(2,15) = LAG4[DIF1[U]]
x(2,16) = LAG4[DIF1[LN[CPI]]]
x(2,17) = LAG5[LN[IP]]
x(2,18) = LAG5[DIF1[i]]
x(2,19) = LAG5[DIF1[U]]
x(2,20) = LAG5[DIF1[LN[CPI]]]
x(2,21) = LAG6[LN[IP]]
x(2,22) = LAG6[DIF1[i]]
x(2,23) = LAG6[DIF1[U]]
x(2,24) = LAG6[DIF1[LN[CPI]]]
x(2,25) = LAG7[LN[IP]]
x(2,26) = LAG7[DIF1[i]]
x(2,27) = LAG7[DIF1[U]]
x(2,28) = LAG7[DIF1[LN[CPI]]]
x(2,29) = LAG8[LN[IP]]
x(2,30) = LAG8[DIF1[i]]
x(2,31) = LAG8[DIF1[U]]
x(2,32) = LAG8[DIF1[LN[CPI]]]
x(2,33) = LAG9[LN[IP]]
x(2,34) = LAG9[DIF1[i]]
x(2,35) = LAG9[DIF1[U]]
x(2,36) = LAG9[DIF1[LN[CPI]]]
x(2,37) = 1
x(2,38) = t (1960.01=1)
x(3,1) = LAG1[LN[IP]]
x(3,2) = LAG1[DIF1[i]]
x(3,3) = LAG1[DIF1[U]]
x(3,4) = LAG1[DIF1[LN[CPI]]]
x(3,5) = LAG2[LN[IP]]
x(3,6) = LAG2[DIF1[i]]
x(3,7) = LAG2[DIF1[U]]
x(3,8) = LAG2[DIF1[LN[CPI]]]
x(3,9) = LAG3[LN[IP]]
x(3,10) = LAG3[DIF1[i]]
x(3,11) = LAG3[DIF1[U]]
x(3,12) = LAG3[DIF1[LN[CPI]]]
x(3,13) = LAG4[LN[IP]]
x(3,14) = LAG4[DIF1[i]]

-22.82344E-02
18.79405E-04
-78.34725E-02
11.69853E-02
-27.80064E-05
49.77989E-02
25.39085E-03
-27.52596E-06
21.02249E+00
23.92881E-02
56.54399E-03
-72.25647E+00
-24.44027E+00
-25.44925E-02
-54.74984E-02
51.72746E+00
-24.04074E-01
31.81143E-02
-44.46394E-02
52.02122E+00
10.87759E-01
-10.01118E-04
41.87399E-02
17.69363E+00
14.75572E+00
17.37161E-02
11.24082E-01
-49.43034E-01
-26.60360E-01
-84.28278E-03
-15.48023E-02
-69.76780E+00
-44.81488E-01
-21.13221E-02
-64.49994E-02
-88.85317E-01
-16.66692E+00
12.95664E-02
-69.95096E-02
11.61848E+00
15.15709E+00
-33.67113E-03
48.58063E-02
17.29768E+00
-45.36783E-01
-10.53899E-03
-76.81962E-01
46.25416E-04
18.81392E-02
29.24337E+00
92.21151E-01
-41.50253E-03
71.90529E-03
-35.17148E-02
46.01748E-02
-51.97115E-03
15.54265E-02
-86.41591E-01
-19.90606E-01
26.68899E-03

-1.88
1.32
-2.41
1.68
-0.23
1.77
0.49
-0.24
3.47
2.77
0.20
-4.15
-2.68
-2.77
-2.01
2.47
-0.27
3.27
-1.68
2.38
0.12
-0.01
1.58
0.81
1.63
1.89
4.32
-0.22
-0.31
-0.91
-0.59
-3.16
-0.52
-2.30
-2.52
-0.41
-1.92
1.46
-2.58
0.57
2.75
-0.40
2.62
0.97
-1.41
-1.43
-4.25
0.17
2.53
5.42(*)
3.33
-1.46
0.99
-0.05(*)
0.17
-1.73
2.20(*)
-1.28
-0.71
0.91

x(3,15) = LAG4[DIF1[U]]
x(3,16) = LAG4[DIF1[LN[CPI]]]
x(3,17) = LAG5[LN[IP]]
x(3,18) = LAG5[DIF1[i]]
x(3,19) = LAG5[DIF1[U]]
x(3,20) = LAG5[DIF1[LN[CPI]]]
x(3,21) = LAG6[LN[IP]]
x(3,22) = LAG6[DIF1[i]]
x(3,23) = LAG6[DIF1[U]]
x(3,24) = LAG6[DIF1[LN[CPI]]]
x(3,25) = LAG7[LN[IP]]
x(3,26) = LAG7[DIF1[i]]
x(3,27) = LAG7[DIF1[U]]
x(3,28) = LAG7[DIF1[LN[CPI]]]
x(3,29) = LAG8[LN[IP]]
x(3,30) = LAG8[DIF1[i]]
x(3,31) = LAG8[DIF1[U]]
x(3,32) = LAG8[DIF1[LN[CPI]]]
x(3,33) = LAG9[LN[IP]]
x(3,34) = LAG9[DIF1[i]]
x(3,35) = LAG9[DIF1[U]]
x(3,36) = LAG9[DIF1[LN[CPI]]]
x(3,37) = 1
x(3,38) = t (1960.01=1)
x(4,1) = LAG1[LN[IP]]
x(4,2) = LAG1[DIF1[i]]
x(4,3) = LAG1[DIF1[U]]
x(4,4) = LAG1[DIF1[LN[CPI]]]
x(4,5) = LAG2[LN[IP]]
x(4,6) = LAG2[DIF1[i]]
x(4,7) = LAG2[DIF1[U]]
x(4,8) = LAG2[DIF1[LN[CPI]]]
x(4,9) = LAG3[LN[IP]]
x(4,10) = LAG3[DIF1[i]]
x(4,11) = LAG3[DIF1[U]]
x(4,12) = LAG3[DIF1[LN[CPI]]]
x(4,13) = LAG4[LN[IP]]
x(4,14) = LAG4[DIF1[i]]
x(4,15) = LAG4[DIF1[U]]
x(4,16) = LAG4[DIF1[LN[CPI]]]
x(4,17) = LAG5[LN[IP]]
x(4,18) = LAG5[DIF1[i]]
x(4,19) = LAG5[DIF1[U]]
x(4,20) = LAG5[DIF1[LN[CPI]]]
x(4,21) = LAG6[LN[IP]]
x(4,22) = LAG6[DIF1[i]]
x(4,23) = LAG6[DIF1[U]]
x(4,24) = LAG6[DIF1[LN[CPI]]]
x(4,25) = LAG7[LN[IP]]
x(4,26) = LAG7[DIF1[i]]
x(4,27) = LAG7[DIF1[U]]
x(4,28) = LAG7[DIF1[LN[CPI]]]
x(4,29) = LAG8[LN[IP]]
x(4,30) = LAG8[DIF1[i]]
x(4,31) = LAG8[DIF1[U]]
x(4,32) = LAG8[DIF1[LN[CPI]]]
x(4,33) = LAG9[LN[IP]]
x(4,34) = LAG9[DIF1[i]]
x(4,35) = LAG9[DIF1[U]]
x(4,36) = LAG9[DIF1[LN[CPI]]]

-17.23932E-02
-23.21514E+00
36.85563E-01
46.27745E-03
-17.25967E-03
72.11163E-01
-83.96964E-01
39.59247E-03
-43.99713E-03
66.15769E-01
62.77988E-01
12.47899E-02
34.81310E-02
-31.56961E-02
-12.71316E-01
-32.89494E-04
-80.02248E-03
79.99874E-01
-86.37428E-03
27.39979E-03
29.58429E-03
-16.23214E+00
-75.73745E-02
-12.93209E-04
98.01008E-04
17.63979E-04
-23.90779E-04
52.08872E-02
-73.45420E-03
-10.85588E-04
-21.32189E-04
29.13954E-02
78.95660E-03
11.89780E-04
15.83161E-04
-11.79012E-03
-54.72506E-03
26.84682E-05
-17.54472E-04
-11.23645E-02
44.41388E-03
33.47117E-05
16.73336E-04
66.20967E-03
22.71490E-03
41.97952E-05
-13.22182E-04
-76.31869E-03
39.59510E-04
30.47160E-06
14.85428E-04
12.66492E-02
-46.37456E-03
-45.55630E-05
-24.07355E-04
-16.67801E-02
29.45695E-03
-49.85461E-05
-37.96671E-05
20.34022E-02

-2.44
-3.43
1.33
1.61
-0.25
1.06
-3.19
1.38
-0.63
0.97
2.37
4.39
5.11
-0.05
-0.49
-0.12
-1.11
1.26
-0.05
1.08
0.60
-2.95
-0.76
-0.57
0.37
4.81
-1.75
7.10
-1.86
-2.81
-1.60
3.28
2.04
2.89
1.22
-0.13
-1.39
0.68
-1.35
-1.22
1.14
0.87
1.31
0.71
0.61
1.08
-1.04
-0.81
0.11
0.08
1.19
1.37
-1.22
-1.22
-1.81
-1.93
1.19
-1.37
-0.42
2.69

x(4,37) = 1
x(4,38) = t (1960.01=1)
L(1,1)
L(2,1)
L(2,2)
L(3,1)
L(3,2)
L(3,3)
L(4,1)
L(4,2)
L(4,3)
L(4,4)

-46.21152E-03
-11.62953E-05
94.20934E-04
30.83109E-02
47.56315E-02
-12.40210E-02
-28.78580E-03
12.35147E-02
33.72553E-05
34.62561E-05
23.24684E-05
22.92358E-04

-3.40
-3.69
21.47
9.58
21.07
-11.25
-2.75
16.12
2.37
1.97
1.26
24.90

Test of the null hypothesis that the parameters indicated by (*) are
jointly zero:
Wald test:
39.64
Asymptotic null distribution: Chi-square(3)
p-value = 0.00000
Significance levels:
10%
5%
Critical values:
6.25
7.81
Conclusions:
reject
reject
x(1,1) = LAG1[LN[IP]]
x(1,2) = LAG1[DIF1[i]]
x(1,3) = LAG1[DIF1[LN[CPI]]]
x(1,4) = LAG2[LN[IP]]
x(1,5) = LAG2[DIF1[i]]
x(1,6) = LAG2[DIF1[LN[CPI]]]
x(1,7) = LAG3[LN[IP]]
x(1,8) = LAG3[DIF1[i]]
x(1,9) = LAG3[DIF1[LN[CPI]]]
x(1,10) = LAG4[LN[IP]]
x(1,11) = LAG4[DIF1[i]]
x(1,12) = LAG4[DIF1[LN[CPI]]]
x(1,13) = LAG5[LN[IP]]
x(1,14) = LAG5[DIF1[i]]
x(1,15) = LAG5[DIF1[LN[CPI]]]
x(1,16) = LAG6[LN[IP]]
x(1,17) = LAG6[DIF1[i]]
x(1,18) = LAG6[DIF1[LN[CPI]]]
x(1,19) = LAG7[LN[IP]]
x(1,20) = LAG7[DIF1[i]]
x(1,21) = LAG7[DIF1[LN[CPI]]]
x(1,22) = LAG8[LN[IP]]
x(1,23) = LAG8[DIF1[i]]
x(1,24) = LAG8[DIF1[LN[CPI]]]
x(1,25) = LAG9[LN[IP]]
x(1,26) = LAG9[DIF1[i]]
x(1,27) = LAG9[DIF1[LN[CPI]]]
x(1,28) = 1
x(1,29) = t (1960.01=1)
x(2,1) = LAG1[LN[IP]]
x(2,2) = LAG1[DIF1[i]]
x(2,3) = LAG1[DIF1[U]]
x(2,4) = LAG1[DIF1[LN[CPI]]]
x(2,5) = LAG2[LN[IP]]
x(2,6) = LAG2[DIF1[i]]
x(2,7) = LAG2[DIF1[U]]
x(2,8) = LAG2[DIF1[LN[CPI]]]
x(2,9) = LAG3[LN[IP]]

14.23626E-01
93.59833E-05
-10.17480E-01
-48.08654E-02
-15.39971E-04
-50.67864E-02
14.41885E-02
29.84032E-04
23.25157E-02
-68.62744E-03
-28.26920E-04
61.82154E-02
-17.24435E-02
61.53650E-05
11.09608E-02
21.30938E-02
-10.59383E-04
27.95670E-02
49.08602E-03
-47.13255E-04
11.55841E-02
-22.82344E-02
18.79405E-04
-78.34725E-02
11.69853E-02
-27.80064E-05
49.77989E-02
25.39085E-03
-27.52596E-06
21.02249E+00
23.92881E-02
56.54399E-03
-72.25647E+00
-24.44027E+00
-25.44925E-02
-54.74984E-02
51.72746E+00
-24.04074E-01

17.31
0.70
-3.65
-3.57
-1.04
-1.53
1.05
1.95
0.67
-0.50
-1.85
1.78
-1.27
0.41
0.32
1.65
-0.71
0.81
0.38
-3.22
0.34
-1.88
1.32
-2.41
1.68
-0.23
1.77
0.49
-0.24
3.47
2.77
0.20
-4.15
-2.68
-2.77
-2.01
2.47
-0.27

x(2,10) = LAG3[DIF1[i]]
x(2,11) = LAG3[DIF1[U]]
x(2,12) = LAG3[DIF1[LN[CPI]]]
x(2,13) = LAG4[LN[IP]]
x(2,14) = LAG4[DIF1[i]]
x(2,15) = LAG4[DIF1[U]]
x(2,16) = LAG4[DIF1[LN[CPI]]]
x(2,17) = LAG5[LN[IP]]
x(2,18) = LAG5[DIF1[i]]
x(2,19) = LAG5[DIF1[U]]
x(2,20) = LAG5[DIF1[LN[CPI]]]
x(2,21) = LAG6[LN[IP]]
x(2,22) = LAG6[DIF1[i]]
x(2,23) = LAG6[DIF1[U]]
x(2,24) = LAG6[DIF1[LN[CPI]]]
x(2,25) = LAG7[LN[IP]]
x(2,26) = LAG7[DIF1[i]]
x(2,27) = LAG7[DIF1[U]]
x(2,28) = LAG7[DIF1[LN[CPI]]]
x(2,29) = LAG8[LN[IP]]
x(2,30) = LAG8[DIF1[i]]
x(2,31) = LAG8[DIF1[U]]
x(2,32) = LAG8[DIF1[LN[CPI]]]
x(2,33) = LAG9[LN[IP]]
x(2,34) = LAG9[DIF1[i]]
x(2,35) = LAG9[DIF1[U]]
x(2,36) = LAG9[DIF1[LN[CPI]]]
x(2,37) = 1
x(2,38) = t (1960.01=1)
x(3,1) = LAG1[LN[IP]]
x(3,2) = LAG1[DIF1[i]]
x(3,3) = LAG1[DIF1[U]]
x(3,4) = LAG1[DIF1[LN[CPI]]]
x(3,5) = LAG2[LN[IP]]
x(3,6) = LAG2[DIF1[i]]
x(3,7) = LAG2[DIF1[U]]
x(3,8) = LAG2[DIF1[LN[CPI]]]
x(3,9) = LAG3[LN[IP]]
x(3,10) = LAG3[DIF1[i]]
x(3,11) = LAG3[DIF1[U]]
x(3,12) = LAG3[DIF1[LN[CPI]]]
x(3,13) = LAG4[LN[IP]]
x(3,14) = LAG4[DIF1[i]]
x(3,15) = LAG4[DIF1[U]]
x(3,16) = LAG4[DIF1[LN[CPI]]]
x(3,17) = LAG5[LN[IP]]
x(3,18) = LAG5[DIF1[i]]
x(3,19) = LAG5[DIF1[U]]
x(3,20) = LAG5[DIF1[LN[CPI]]]
x(3,21) = LAG6[LN[IP]]
x(3,22) = LAG6[DIF1[i]]
x(3,23) = LAG6[DIF1[U]]
x(3,24) = LAG6[DIF1[LN[CPI]]]
x(3,25) = LAG7[LN[IP]]
x(3,26) = LAG7[DIF1[i]]
x(3,27) = LAG7[DIF1[U]]
x(3,28) = LAG7[DIF1[LN[CPI]]]
x(3,29) = LAG8[LN[IP]]
x(3,30) = LAG8[DIF1[i]]
x(3,31) = LAG8[DIF1[U]]

31.81143E-02
-44.46394E-02
52.02122E+00
10.87759E-01
-10.01118E-04
41.87399E-02
17.69363E+00
14.75572E+00
17.37161E-02
11.24082E-01
-49.43034E-01
-26.60360E-01
-84.28278E-03
-15.48023E-02
-69.76780E+00
-44.81488E-01
-21.13221E-02
-64.49994E-02
-88.85317E-01
-16.66692E+00
12.95664E-02
-69.95096E-02
11.61848E+00
15.15709E+00
-33.67113E-03
48.58063E-02
17.29768E+00
-45.36783E-01
-10.53899E-03
-76.81962E-01
46.25416E-04
18.81392E-02
29.24337E+00
92.21151E-01
-41.50253E-03
71.90529E-03
-35.17148E-02
46.01748E-02
-51.97115E-03
15.54265E-02
-86.41591E-01
-19.90606E-01
26.68899E-03
-17.23932E-02
-23.21514E+00
36.85563E-01
46.27745E-03
-17.25967E-03
72.11163E-01
-83.96964E-01
39.59247E-03
-43.99713E-03
66.15769E-01
62.77988E-01
12.47899E-02
34.81310E-02
-31.56961E-02
-12.71316E-01
-32.89494E-04
-80.02248E-03

3.27
-1.68
2.38
0.12
-0.01
1.58
0.81
1.63
1.89
4.32
-0.22
-0.31
-0.91
-0.59
-3.16
-0.52
-2.30
-2.52
-0.41
-1.92
1.46
-2.58
0.57
2.75
-0.40
2.62
0.97
-1.41
-1.43
-4.25
0.17
2.53
5.42(*)
3.33
-1.46
0.99
-0.05(*)
0.17
-1.73
2.20
-1.28(*)
-0.71
0.91
-2.44
-3.43(*)
1.33
1.61
-0.25
1.06(*)
-3.19
1.38
-0.63
0.97(*)
2.37
4.39
5.11
-0.05(*)
-0.49
-0.12
-1.11

x(3,32) = LAG8[DIF1[LN[CPI]]]
x(3,33) = LAG9[LN[IP]]
x(3,34) = LAG9[DIF1[i]]
x(3,35) = LAG9[DIF1[U]]
x(3,36) = LAG9[DIF1[LN[CPI]]]
x(3,37) = 1
x(3,38) = t (1960.01=1)
x(4,1) = LAG1[LN[IP]]
x(4,2) = LAG1[DIF1[i]]
x(4,3) = LAG1[DIF1[U]]
x(4,4) = LAG1[DIF1[LN[CPI]]]
x(4,5) = LAG2[LN[IP]]
x(4,6) = LAG2[DIF1[i]]
x(4,7) = LAG2[DIF1[U]]
x(4,8) = LAG2[DIF1[LN[CPI]]]
x(4,9) = LAG3[LN[IP]]
x(4,10) = LAG3[DIF1[i]]
x(4,11) = LAG3[DIF1[U]]
x(4,12) = LAG3[DIF1[LN[CPI]]]
x(4,13) = LAG4[LN[IP]]
x(4,14) = LAG4[DIF1[i]]
x(4,15) = LAG4[DIF1[U]]
x(4,16) = LAG4[DIF1[LN[CPI]]]
x(4,17) = LAG5[LN[IP]]
x(4,18) = LAG5[DIF1[i]]
x(4,19) = LAG5[DIF1[U]]
x(4,20) = LAG5[DIF1[LN[CPI]]]
x(4,21) = LAG6[LN[IP]]
x(4,22) = LAG6[DIF1[i]]
x(4,23) = LAG6[DIF1[U]]
x(4,24) = LAG6[DIF1[LN[CPI]]]
x(4,25) = LAG7[LN[IP]]
x(4,26) = LAG7[DIF1[i]]
x(4,27) = LAG7[DIF1[U]]
x(4,28) = LAG7[DIF1[LN[CPI]]]
x(4,29) = LAG8[LN[IP]]
x(4,30) = LAG8[DIF1[i]]
x(4,31) = LAG8[DIF1[U]]
x(4,32) = LAG8[DIF1[LN[CPI]]]
x(4,33) = LAG9[LN[IP]]
x(4,34) = LAG9[DIF1[i]]
x(4,35) = LAG9[DIF1[U]]
x(4,36) = LAG9[DIF1[LN[CPI]]]
x(4,37) = 1
x(4,38) = t (1960.01=1)
L(1,1)
L(2,1)
L(2,2)
L(3,1)
L(3,2)
L(3,3)
L(4,1)
L(4,2)
L(4,3)
L(4,4)

79.99874E-01
-86.37428E-03
27.39979E-03
29.58429E-03
-16.23214E+00
-75.73745E-02
-12.93209E-04
98.01008E-04
17.63979E-04
-23.90779E-04
52.08872E-02
-73.45420E-03
-10.85588E-04
-21.32189E-04
29.13954E-02
78.95660E-03
11.89780E-04
15.83161E-04
-11.79012E-03
-54.72506E-03
26.84682E-05
-17.54472E-04
-11.23645E-02
44.41388E-03
33.47117E-05
16.73336E-04
66.20967E-03
22.71490E-03
41.97952E-05
-13.22182E-04
-76.31869E-03
39.59510E-04
30.47160E-06
14.85428E-04
12.66492E-02
-46.37456E-03
-45.55630E-05
-24.07355E-04
-16.67801E-02
29.45695E-03
-49.85461E-05
-37.96671E-05
20.34022E-02
-46.21152E-03
-11.62953E-05
94.20934E-04
30.83109E-02
47.56315E-02
-12.40210E-02
-28.78580E-03
12.35147E-02
33.72553E-05
34.62561E-05
23.24684E-05
22.92358E-04

1.26(*)
-0.05
1.08
0.60
-2.95(*)
-0.76
-0.57
0.37
4.81
-1.75
7.10
-1.86
-2.81
-1.60
3.28
2.04
2.89
1.22
-0.13
-1.39
0.68
-1.35
-1.22
1.14
0.87
1.31
0.71
0.61
1.08
-1.04
-0.81
0.11
0.08
1.19
1.37
-1.22
-1.22
-1.81
-1.93
1.19
-1.37
-0.42
2.69
-3.40
-3.69
21.47
9.58
21.07
-11.25
-2.75
16.12
2.37
1.97
1.26
24.90

Test of the null hypothesis that the parameters indicated by (*) are
jointly zero:
Wald test:
60.58
Asymptotic null distribution: Chi-square(9)

p-value = 0.00000
Significance levels:
Critical values:
Conclusions:

10%
14.68
reject

x(1,1) = LAG1[LN[IP]]
x(1,2) = LAG1[DIF1[i]]
x(1,3) = LAG1[DIF1[LN[CPI]]]
x(1,4) = LAG2[LN[IP]]
x(1,5) = LAG2[DIF1[i]]
x(1,6) = LAG2[DIF1[LN[CPI]]]
x(1,7) = LAG3[LN[IP]]
x(1,8) = LAG3[DIF1[i]]
x(1,9) = LAG3[DIF1[LN[CPI]]]
x(1,10) = LAG4[LN[IP]]
x(1,11) = LAG4[DIF1[i]]
x(1,12) = LAG4[DIF1[LN[CPI]]]
x(1,13) = LAG5[LN[IP]]
x(1,14) = LAG5[DIF1[i]]
x(1,15) = LAG5[DIF1[LN[CPI]]]
x(1,16) = LAG6[LN[IP]]
x(1,17) = LAG6[DIF1[i]]
x(1,18) = LAG6[DIF1[LN[CPI]]]
x(1,19) = LAG7[LN[IP]]
x(1,20) = LAG7[DIF1[i]]
x(1,21) = LAG7[DIF1[LN[CPI]]]
x(1,22) = LAG8[LN[IP]]
x(1,23) = LAG8[DIF1[i]]
x(1,24) = LAG8[DIF1[LN[CPI]]]
x(1,25) = LAG9[LN[IP]]
x(1,26) = LAG9[DIF1[i]]
x(1,27) = LAG9[DIF1[LN[CPI]]]
x(1,28) = 1
x(1,29) = t (1960.01=1)
x(2,1) = LAG1[LN[IP]]
x(2,2) = LAG1[DIF1[i]]
x(2,3) = LAG1[DIF1[U]]
x(2,4) = LAG1[DIF1[LN[CPI]]]
x(2,5) = LAG2[LN[IP]]
x(2,6) = LAG2[DIF1[i]]
x(2,7) = LAG2[DIF1[U]]
x(2,8) = LAG2[DIF1[LN[CPI]]]
x(2,9) = LAG3[LN[IP]]
x(2,10) = LAG3[DIF1[i]]
x(2,11) = LAG3[DIF1[U]]
x(2,12) = LAG3[DIF1[LN[CPI]]]
x(2,13) = LAG4[LN[IP]]
x(2,14) = LAG4[DIF1[i]]
x(2,15) = LAG4[DIF1[U]]
x(2,16) = LAG4[DIF1[LN[CPI]]]
x(2,17) = LAG5[LN[IP]]
x(2,18) = LAG5[DIF1[i]]
x(2,19) = LAG5[DIF1[U]]
x(2,20) = LAG5[DIF1[LN[CPI]]]
x(2,21) = LAG6[LN[IP]]
x(2,22) = LAG6[DIF1[i]]
x(2,23) = LAG6[DIF1[U]]
x(2,24) = LAG6[DIF1[LN[CPI]]]
x(2,25) = LAG7[LN[IP]]
x(2,26) = LAG7[DIF1[i]]

5%
16.92
reject
14.23626E-01
93.59833E-05
-10.17480E-01
-48.08654E-02
-15.39971E-04
-50.67864E-02
14.41885E-02
29.84032E-04
23.25157E-02
-68.62744E-03
-28.26920E-04
61.82154E-02
-17.24435E-02
61.53650E-05
11.09608E-02
21.30938E-02
-10.59383E-04
27.95670E-02
49.08602E-03
-47.13255E-04
11.55841E-02
-22.82344E-02
18.79405E-04
-78.34725E-02
11.69853E-02
-27.80064E-05
49.77989E-02
25.39085E-03
-27.52596E-06
21.02249E+00
23.92881E-02
56.54399E-03
-72.25647E+00
-24.44027E+00
-25.44925E-02
-54.74984E-02
51.72746E+00
-24.04074E-01
31.81143E-02
-44.46394E-02
52.02122E+00
10.87759E-01
-10.01118E-04
41.87399E-02
17.69363E+00
14.75572E+00
17.37161E-02
11.24082E-01
-49.43034E-01
-26.60360E-01
-84.28278E-03
-15.48023E-02
-69.76780E+00
-44.81488E-01
-21.13221E-02

17.31
0.70
-3.65(*)
-3.57
-1.04
-1.53(*)
1.05
1.95
0.67(*)
-0.50
-1.85
1.78(*)
-1.27
0.41
0.32(*)
1.65
-0.71
0.81(*)
0.38
-3.22
0.34(*)
-1.88
1.32
-2.41(*)
1.68
-0.23
1.77(*)
0.49
-0.24
3.47
2.77
0.20
-4.15
-2.68
-2.77
-2.01
2.47
-0.27
3.27
-1.68
2.38
0.12
-0.01
1.58
0.81
1.63
1.89
4.32
-0.22
-0.31
-0.91
-0.59
-3.16
-0.52
-2.30

x(2,27) = LAG7[DIF1[U]]
x(2,28) = LAG7[DIF1[LN[CPI]]]
x(2,29) = LAG8[LN[IP]]
x(2,30) = LAG8[DIF1[i]]
x(2,31) = LAG8[DIF1[U]]
x(2,32) = LAG8[DIF1[LN[CPI]]]
x(2,33) = LAG9[LN[IP]]
x(2,34) = LAG9[DIF1[i]]
x(2,35) = LAG9[DIF1[U]]
x(2,36) = LAG9[DIF1[LN[CPI]]]
x(2,37) = 1
x(2,38) = t (1960.01=1)
x(3,1) = LAG1[LN[IP]]
x(3,2) = LAG1[DIF1[i]]
x(3,3) = LAG1[DIF1[U]]
x(3,4) = LAG1[DIF1[LN[CPI]]]
x(3,5) = LAG2[LN[IP]]
x(3,6) = LAG2[DIF1[i]]
x(3,7) = LAG2[DIF1[U]]
x(3,8) = LAG2[DIF1[LN[CPI]]]
x(3,9) = LAG3[LN[IP]]
x(3,10) = LAG3[DIF1[i]]
x(3,11) = LAG3[DIF1[U]]
x(3,12) = LAG3[DIF1[LN[CPI]]]
x(3,13) = LAG4[LN[IP]]
x(3,14) = LAG4[DIF1[i]]
x(3,15) = LAG4[DIF1[U]]
x(3,16) = LAG4[DIF1[LN[CPI]]]
x(3,17) = LAG5[LN[IP]]
x(3,18) = LAG5[DIF1[i]]
x(3,19) = LAG5[DIF1[U]]
x(3,20) = LAG5[DIF1[LN[CPI]]]
x(3,21) = LAG6[LN[IP]]
x(3,22) = LAG6[DIF1[i]]
x(3,23) = LAG6[DIF1[U]]
x(3,24) = LAG6[DIF1[LN[CPI]]]
x(3,25) = LAG7[LN[IP]]
x(3,26) = LAG7[DIF1[i]]
x(3,27) = LAG7[DIF1[U]]
x(3,28) = LAG7[DIF1[LN[CPI]]]
x(3,29) = LAG8[LN[IP]]
x(3,30) = LAG8[DIF1[i]]
x(3,31) = LAG8[DIF1[U]]
x(3,32) = LAG8[DIF1[LN[CPI]]]
x(3,33) = LAG9[LN[IP]]
x(3,34) = LAG9[DIF1[i]]
x(3,35) = LAG9[DIF1[U]]
x(3,36) = LAG9[DIF1[LN[CPI]]]
x(3,37) = 1
x(3,38) = t (1960.01=1)
x(4,1) = LAG1[LN[IP]]
x(4,2) = LAG1[DIF1[i]]
x(4,3) = LAG1[DIF1[U]]
x(4,4) = LAG1[DIF1[LN[CPI]]]
x(4,5) = LAG2[LN[IP]]
x(4,6) = LAG2[DIF1[i]]
x(4,7) = LAG2[DIF1[U]]
x(4,8) = LAG2[DIF1[LN[CPI]]]
x(4,9) = LAG3[LN[IP]]
x(4,10) = LAG3[DIF1[i]]

-64.49994E-02
-88.85317E-01
-16.66692E+00
12.95664E-02
-69.95096E-02
11.61848E+00
15.15709E+00
-33.67113E-03
48.58063E-02
17.29768E+00
-45.36783E-01
-10.53899E-03
-76.81962E-01
46.25416E-04
18.81392E-02
29.24337E+00
92.21151E-01
-41.50253E-03
71.90529E-03
-35.17148E-02
46.01748E-02
-51.97115E-03
15.54265E-02
-86.41591E-01
-19.90606E-01
26.68899E-03
-17.23932E-02
-23.21514E+00
36.85563E-01
46.27745E-03
-17.25967E-03
72.11163E-01
-83.96964E-01
39.59247E-03
-43.99713E-03
66.15769E-01
62.77988E-01
12.47899E-02
34.81310E-02
-31.56961E-02
-12.71316E-01
-32.89494E-04
-80.02248E-03
79.99874E-01
-86.37428E-03
27.39979E-03
29.58429E-03
-16.23214E+00
-75.73745E-02
-12.93209E-04
98.01008E-04
17.63979E-04
-23.90779E-04
52.08872E-02
-73.45420E-03
-10.85588E-04
-21.32189E-04
29.13954E-02
78.95660E-03
11.89780E-04

-2.52
-0.41
-1.92
1.46
-2.58
0.57
2.75
-0.40
2.62
0.97
-1.41
-1.43
-4.25
0.17
2.53
5.42
3.33
-1.46
0.99
-0.05
0.17
-1.73
2.20
-1.28
-0.71
0.91
-2.44
-3.43
1.33
1.61
-0.25
1.06
-3.19
1.38
-0.63
0.97
2.37
4.39
5.11
-0.05
-0.49
-0.12
-1.11
1.26
-0.05
1.08
0.60
-2.95
-0.76
-0.57
0.37
4.81
-1.75
7.10
-1.86
-2.81
-1.60
3.28
2.04
2.89

x(4,11)
x(4,12)
x(4,13)
x(4,14)
x(4,15)
x(4,16)
x(4,17)
x(4,18)
x(4,19)
x(4,20)
x(4,21)
x(4,22)
x(4,23)
x(4,24)
x(4,25)
x(4,26)
x(4,27)
x(4,28)
x(4,29)
x(4,30)
x(4,31)
x(4,32)
x(4,33)
x(4,34)
x(4,35)
x(4,36)
x(4,37)
x(4,38)
L(1,1)
L(2,1)
L(2,2)
L(3,1)
L(3,2)
L(3,3)
L(4,1)
L(4,2)
L(4,3)
L(4,4)

=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=

LAG3[DIF1[U]]
LAG3[DIF1[LN[CPI]]]
LAG4[LN[IP]]
LAG4[DIF1[i]]
LAG4[DIF1[U]]
LAG4[DIF1[LN[CPI]]]
LAG5[LN[IP]]
LAG5[DIF1[i]]
LAG5[DIF1[U]]
LAG5[DIF1[LN[CPI]]]
LAG6[LN[IP]]
LAG6[DIF1[i]]
LAG6[DIF1[U]]
LAG6[DIF1[LN[CPI]]]
LAG7[LN[IP]]
LAG7[DIF1[i]]
LAG7[DIF1[U]]
LAG7[DIF1[LN[CPI]]]
LAG8[LN[IP]]
LAG8[DIF1[i]]
LAG8[DIF1[U]]
LAG8[DIF1[LN[CPI]]]
LAG9[LN[IP]]
LAG9[DIF1[i]]
LAG9[DIF1[U]]
LAG9[DIF1[LN[CPI]]]
1
t (1960.01=1)

15.83161E-04
-11.79012E-03
-54.72506E-03
26.84682E-05
-17.54472E-04
-11.23645E-02
44.41388E-03
33.47117E-05
16.73336E-04
66.20967E-03
22.71490E-03
41.97952E-05
-13.22182E-04
-76.31869E-03
39.59510E-04
30.47160E-06
14.85428E-04
12.66492E-02
-46.37456E-03
-45.55630E-05
-24.07355E-04
-16.67801E-02
29.45695E-03
-49.85461E-05
-37.96671E-05
20.34022E-02
-46.21152E-03
-11.62953E-05
94.20934E-04
30.83109E-02
47.56315E-02
-12.40210E-02
-28.78580E-03
12.35147E-02
33.72553E-05
34.62561E-05
23.24684E-05
22.92358E-04

1.22
-0.13
-1.39
0.68
-1.35
-1.22
1.14
0.87
1.31
0.71
0.61
1.08
-1.04
-0.81
0.11
0.08
1.19
1.37
-1.22
-1.22
-1.81
-1.93
1.19
-1.37
-0.42
2.69
-3.40
-3.69
21.47
9.58
21.07
-11.25
-2.75
16.12
2.37
1.97
1.26
24.90

Test of the null hypothesis that the parameters indicated by (*) are
jointly zero:
Wald test:
43.66
Asymptotic null distribution: Chi-square(9)
p-value = 0.00000
Significance levels:
10%
5%
Critical values:
14.68
16.92
Conclusions:
reject
reject
****************************
Non-structural VAR analysis
****************************
The standard errors of the innovation responses are computed according to
the method of Richard T. Baillie (1987), Inference in Dynamic Models
Containing 'Surprise' Variables, Journal of Econometrics 35, 101-117.
Response of LN[IP] to a unit shock in LN[IP]
Horizon Innovation response
Standard error
0
94.20934E-004
43.88238E-005

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

13.35731E-003
12.93723E-003
12.76580E-003
12.48499E-003
10.05560E-003
86.40591E-004
75.90152E-004
47.00644E-004
20.61964E-004
11.02101E-004
44.31713E-005
-15.87730E-005
16.35158E-005
80.88001E-005
10.89736E-004
15.55499E-004
25.47268E-004
29.89646E-004
32.17774E-004
35.02978E-004
33.29325E-004
28.84625E-004
26.12087E-004
21.86252E-004
14.72815E-004
97.62832E-005
59.53527E-005
22.20222E-005
-53.82424E-006
-19.31206E-005

93.01626E-005
13.79650E-004
17.57287E-004
20.81075E-004
23.46674E-004
25.29864E-004
26.81932E-004
28.04874E-004
29.26485E-004
29.97305E-004
30.03479E-004
29.71455E-004
29.01397E-004
27.90183E-004
26.72174E-004
25.60277E-004
24.49573E-004
23.27241E-004
22.11487E-004
21.18555E-004
20.38310E-004
19.79408E-004
19.41726E-004
19.09815E-004
18.79298E-004
18.40437E-004
17.85516E-004
17.19744E-004
16.47315E-004
15.69164E-004

Response of LN[IP] to a unit shock in DIF1[i]

Horizon Innovation response
Standard error
0
00.00000E+000
00.00000E+000
1
92.87439E-006
65.40568E-005
2
-18.01339E-004
11.70747E-004
3
-22.85692E-004
15.79426E-004
4
-34.58491E-004
19.45743E-004
5
-52.12401E-004
22.64644E-004
6
-65.18983E-004
24.67116E-004
7
-93.50984E-004
26.03961E-004
8
-10.64293E-003
27.60365E-004
9
-10.22110E-003
28.57780E-004
10
-95.03469E-004
29.35092E-004
11
-87.19023E-004
29.72549E-004
12
-75.64272E-004
29.92190E-004
13
-64.43469E-004
29.75472E-004
14
-52.19829E-004
29.10473E-004
15
-42.43345E-004
28.44147E-004
16
-33.30998E-004
27.67290E-004
17
-22.28456E-004
26.78110E-004
18
-16.21186E-004
25.83219E-004
19
-12.83415E-004
25.07430E-004
20
-97.46999E-005
24.36534E-004
21
-98.60877E-005
23.57881E-004
22
-10.71083E-004
22.74548E-004
23
-11.28108E-004
21.84194E-004
24
-14.64826E-004
20.92667E-004
25
-18.02466E-004
19.96100E-004
26
-18.49128E-004
18.94307E-004

27
28
29
30

-18.26571E-004
-17.57060E-004
-16.25186E-004
-15.08175E-004

17.99794E-004
17.07324E-004
16.15805E-004
15.28993E-004

Response of LN[IP] to a unit shock in DIF1[U]

Horizon Innovation response
Standard error
0
00.00000E+000
00.00000E+000
1
-23.65319E-005
19.83463E-005
2
-28.64784E-005
50.57333E-005
3
20.22325E-005
80.97768E-005
4
89.48533E-005
10.48979E-004
5
15.86662E-004
12.27794E-004
6
20.57469E-004
13.39370E-004
7
19.86323E-004
14.27837E-004
8
17.04183E-004
15.83810E-004
9
19.99857E-004
17.54782E-004
10
27.60262E-004
18.90640E-004
11
27.25943E-004
19.64657E-004
12
24.53055E-004
20.06898E-004
13
25.58197E-004
20.08854E-004
14
28.24236E-004
19.84865E-004
15
29.47631E-004
19.52209E-004
16
29.94525E-004
18.99181E-004
17
28.90681E-004
18.30111E-004
18
26.15518E-004
17.43589E-004
19
24.25132E-004
16.56046E-004
20
22.86677E-004
15.71986E-004
21
22.20556E-004
14.94432E-004
22
21.68979E-004
14.28354E-004
23
22.03180E-004
13.80800E-004
24
20.29969E-004
13.42671E-004
25
18.11280E-004
13.13088E-004
26
17.55798E-004
12.96665E-004
27
17.26902E-004
12.86035E-004
28
17.00930E-004
12.75994E-004
29
16.39975E-004
12.67122E-004
30
15.74338E-004
12.57080E-004
Response of LN[IP] to a unit shock in DIF1[LN[CPI]]
Horizon Innovation response
Standard error
0
00.00000E+000
00.00000E+000
1
-23.32429E-004
64.56340E-005
2
-58.52209E-004
11.40913E-004
3
-79.04918E-004
15.12664E-004
4
-85.19945E-004
18.35551E-004
5
-82.16725E-004
21.03092E-004
6
-66.14055E-004
22.86878E-004
7
-50.19756E-004
24.18691E-004
8
-51.25301E-004
25.24953E-004
9
-48.51569E-004
25.13288E-004
10
-45.86071E-004
24.69656E-004
11
-40.70226E-004
24.15417E-004
12
-37.55659E-004
23.63169E-004
13
-27.79977E-004
23.13189E-004
14
-22.35817E-004
22.63057E-004
15
-23.85365E-004
22.09368E-004
16
-19.19939E-004
21.37799E-004
17
-18.10909E-004
20.52877E-004
18
-22.26155E-004
19.85739E-004

19
20
21
22
23
24
25
26
27
28
29
30

-27.25814E-004
-28.96895E-004
-31.39220E-004
-31.16747E-004
-29.31891E-004
-29.24950E-004
-28.48767E-004
-27.13562E-004
-26.00279E-004
-25.24561E-004
-23.45507E-004
-21.45105E-004

19.38563E-004
19.04055E-004
18.87554E-004
18.70273E-004
18.44714E-004
18.18941E-004
17.84788E-004
17.41341E-004
16.95963E-004
16.53656E-004
16.12867E-004
15.78431E-004

Response of DIF1[i] to a unit shock in LN[IP]

Horizon Innovation response
Standard error
0
30.83109E-002
32.18258E-003
1
24.04450E-002
44.75442E-003
2
30.11340E-003
47.51315E-003
3
93.64572E-003
47.85033E-003
4
61.41776E-003
48.08868E-003
5
-63.39153E-004
49.18267E-003
6
33.69407E-003
48.20661E-003
7
-51.32336E-003
48.49821E-003
8
-93.45151E-003
48.13508E-003
9
-24.59398E-003
44.91578E-003
10
-17.12641E-003
41.29845E-003
11
-51.65959E-003
35.58421E-003
12
-48.68982E-003
33.35529E-003
13
-28.68009E-003
31.92214E-003
14
20.24051E-003
29.14413E-003
15
10.75304E-004
28.27676E-003
16
-22.25427E-003
26.97346E-003
17
23.34186E-003
25.81394E-003
18
29.29392E-003
22.67217E-003
19
11.78577E-003
19.68199E-003
20
19.69191E-003
19.46566E-003
21
43.74114E-004
18.30623E-003
22
-51.69990E-004
17.38154E-003
23
18.53570E-003
16.53625E-003
24
60.62656E-004
15.72274E-003
25
-23.09185E-003
15.46122E-003
26
-99.62528E-004
14.35596E-003
27
70.57989E-005
13.00166E-003
28
-74.48944E-004
11.87972E-003
29
-93.97256E-004
11.25482E-003
30
-94.03076E-004
10.68052E-003
Response of DIF1[i] to a unit shock in DIF1[i]
Horizon Innovation response
Standard error
0
47.56315E-002
22.57498E-003
1
87.16603E-003
41.83422E-003
2
-14.28009E-002
45.17676E-003
3
11.33909E-002
46.17351E-003
4
10.20838E-002
46.14214E-003
5
-22.30250E-003
47.24347E-003
6
-82.16675E-004
45.76449E-003
7
-17.00307E-002
45.64853E-003
8
-35.36268E-003
45.70427E-003
9
71.51674E-003
45.44159E-003

10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

-56.60473E-003
-47.45884E-003
56.50791E-004
-73.31062E-004
25.95939E-003
-52.38352E-004
-26.82054E-003
45.93685E-003
49.60098E-003
-50.90047E-004
18.24866E-004
-23.88219E-004
29.78214E-004
20.15721E-003
-18.25679E-003
-28.25629E-003
67.60473E-004
70.51042E-004
-58.31211E-004
-81.61715E-004
-71.92288E-004

42.33548E-003
39.76957E-003
39.01700E-003
38.04211E-003
34.18200E-003
33.14617E-003
32.90682E-003
31.19421E-003
29.58055E-003
27.30538E-003
25.79997E-003
23.06197E-003
22.04846E-003
21.26879E-003
20.59673E-003
19.77364E-003
18.60402E-003
17.95569E-003
15.33091E-003
14.17612E-003
13.42065E-003

Response of DIF1[i] to a unit shock in DIF1[U]

Horizon Innovation response
Standard error
0
00.00000E+000
00.00000E+000
1
-98.13330E-004
36.90666E-003
2
-48.63388E-003
35.53665E-003
3
-49.73638E-003
36.82672E-003
4
32.44164E-003
37.13143E-003
5
16.01856E-002
38.41058E-003
6
-85.46199E-004
38.70561E-003
7
-10.63556E-002
38.71344E-003
8
-52.25252E-003
40.58433E-003
9
60.03492E-003
35.64361E-003
10
44.32501E-003
30.33927E-003
11
-41.18802E-003
27.50030E-003
12
-76.82724E-004
25.07513E-003
13
67.11782E-004
23.34281E-003
14
15.81213E-003
22.15024E-003
15
16.63939E-003
20.35876E-003
16
-20.00743E-003
19.04200E-003
17
-37.93867E-004
17.24219E-003
18
15.26161E-003
16.52996E-003
19
10.79483E-003
16.25701E-003
20
-10.85926E-003
15.60213E-003
21
-12.99189E-003
14.46065E-003
22
12.17779E-003
13.60725E-003
23
15.43048E-003
13.16616E-003
24
-12.95364E-004
12.68024E-003
25
-16.46762E-003
12.29851E-003
26
-49.22266E-004
11.51140E-003
27
11.79532E-003
10.83901E-003
28
53.79164E-004
94.31032E-004
29
-15.28271E-004
87.43693E-004
30
-61.78472E-004
86.38188E-004
Response of DIF1[i] to a unit shock in DIF1[LN[CPI]]
Horizon Innovation response
Standard error
0
00.00000E+000
00.00000E+000
1
-16.56377E-002
40.45339E-003

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

-52.57878E-003
52.61254E-003
-83.85238E-004
31.44752E-003
-26.51352E-003
-20.44204E-003
30.46390E-003
-65.78590E-003
-67.76602E-003
20.21953E-003
37.67966E-003
35.41720E-003
10.41042E-003
-19.61293E-003
11.56496E-003
35.28986E-003
-25.34694E-003
-34.32894E-003
56.11209E-004
-75.46190E-006
47.21220E-004
-16.94166E-004
-18.22881E-003
-17.48244E-004
64.55088E-004
-55.02436E-004
-93.81707E-004
13.45456E-004
94.05520E-004

44.54382E-003
45.83238E-003
45.90381E-003
45.80692E-003
46.82886E-003
45.43855E-003
46.24733E-003
39.39389E-003
36.08105E-003
34.85697E-003
33.14756E-003
31.45466E-003
30.01584E-003
28.75764E-003
24.90396E-003
22.40749E-003
21.05318E-003
20.05619E-003
17.03889E-003
16.63740E-003
15.79737E-003
14.77514E-003
14.34465E-003
13.76006E-003
12.86814E-003
11.65615E-003
11.11109E-003
10.17048E-003
97.87040E-004

Response of DIF1[U] to a unit shock in LN[IP]

Horizon Innovation response
Standard error
0
-12.40210E-002
11.02060E-003
1
-84.41593E-003
14.25752E-003
2
-19.92798E-003
15.72760E-003
3
-10.54153E-003
16.17077E-003
4
12.60748E-003
16.27758E-003
5
63.60678E-003
16.48094E-003
6
31.30997E-003
16.98268E-003
7
39.53422E-003
17.77116E-003
8
63.89159E-003
18.10976E-003
9
57.50805E-003
17.88203E-003
10
25.56296E-003
17.37685E-003
11
26.14522E-003
16.53445E-003
12
24.06479E-003
15.95307E-003
13
-21.83609E-004
15.57162E-003
14
-23.16124E-004
15.07918E-003
15
-10.27400E-004
14.46511E-003
16
-11.53636E-003
13.84453E-003
17
-19.18892E-003
13.26849E-003
18
-66.08620E-004
12.03017E-003
19
-85.98384E-004
10.95427E-003
20
-13.47054E-003
10.59910E-003
21
-10.82506E-004
10.42265E-003
22
46.71289E-004
99.93566E-004
23
26.51182E-005
92.18942E-004
24
56.45519E-004
86.65136E-004
25
12.43306E-003
82.76067E-004
26
71.57249E-004
75.05134E-004

27
28
29
30

67.81665E-004
81.59305E-004
50.24062E-004
18.00830E-004

68.63314E-004
65.62672E-004
64.03664E-004
61.93448E-004

Response of DIF1[U] to a unit shock in DIF1[i]

Horizon Innovation response
Standard error
0
-28.78580E-003
10.46651E-003
1
69.09954E-004
13.41659E-003
2
10.88040E-003
15.12007E-003
3
-93.46482E-004
15.57984E-003
4
20.77473E-003
15.51386E-003
5
43.25874E-003
15.22506E-003
6
42.52001E-003
15.64659E-003
7
67.74124E-003
15.97190E-003
8
53.85369E-003
16.34804E-003
9
13.49678E-003
17.10110E-003
10
-12.21262E-003
16.15968E-003
11
-10.12663E-003
14.66147E-003
12
-17.47158E-003
14.05025E-003
13
-15.68781E-003
14.01919E-003
14
-21.28581E-003
13.52311E-003
15
-22.18330E-003
13.17111E-003
16
-21.73449E-003
13.07784E-003
17
-25.09100E-003
12.39101E-003
18
-16.93943E-003
11.40343E-003
19
-16.60946E-003
10.91312E-003
20
-14.80965E-003
10.63715E-003
21
-43.30439E-004
10.15134E-003
22
-20.94234E-004
96.36952E-004
23
-13.52231E-004
92.30164E-004
24
42.29141E-004
88.47058E-004
25
58.20181E-004
83.34271E-004
26
17.12259E-004
81.19592E-004
27
17.87059E-005
78.08697E-004
28
-65.21116E-005
72.37773E-004
29
-27.10361E-004
68.27385E-004
30
-12.85121E-004
63.37519E-004
Response of DIF1[U] to a unit shock in DIF1[U]
Horizon Innovation response
Standard error
0
12.35147E-002
76.63214E-004
1
30.03611E-003
10.70318E-003
2
11.12782E-003
11.41463E-003
3
10.65705E-003
11.72278E-003
4
-25.60681E-003
11.54220E-003
5
-15.44629E-003
11.42316E-003
6
-49.55052E-004
12.10944E-003
7
25.31563E-003
12.88618E-003
8
54.26518E-004
13.41017E-003
9
-47.83421E-004
12.89164E-003
10
38.07843E-004
11.65219E-003
11
-42.27238E-004
10.87696E-003
12
50.45266E-004
10.31779E-003
13
80.03773E-004
10.08640E-003
14
-12.33563E-004
98.38399E-004
15
-49.80617E-004
89.30449E-004
16
-45.41653E-004
79.81216E-004
17
95.59584E-004
69.21679E-004
18
89.75187E-004
64.80195E-004

19
20
21
22
23
24
25
26
27
28
29
30

49.49944E-004
78.06351E-004
17.05598E-004
40.82770E-004
24.91072E-004
62.94225E-004
64.83324E-004
34.08921E-004
58.00290E-004
22.28026E-004
24.99479E-004
35.60234E-004

62.39151E-004
59.28831E-004
55.99011E-004
51.65276E-004
48.15169E-004
43.92713E-004
40.48727E-004
36.60657E-004
34.07134E-004
32.22845E-004
29.78557E-004
26.86843E-004

Response of DIF1[U] to a unit shock in DIF1[LN[CPI]]

Horizon Innovation response
Standard error
0
00.00000E+000
00.00000E+000
1
67.03627E-003
12.65304E-003
2
63.87572E-003
14.64797E-003
3
50.51106E-003
15.29643E-003
4
-35.58481E-004
15.45974E-003
5
-18.48983E-003
15.59229E-003
6
-30.13658E-003
16.58594E-003
7
-39.13152E-003
16.81451E-003
8
10.22322E-003
17.57155E-003
9
-11.69695E-003
16.99277E-003
10
95.13049E-005
16.66082E-003
11
-89.11883E-004
16.23226E-003
12
-12.21803E-003
15.51724E-003
13
-26.90063E-003
14.33941E-003
14
-29.72283E-003
13.09514E-003
15
-10.43489E-003
12.35294E-003
16
-21.76526E-003
11.44554E-003
17
-77.34194E-004
10.38422E-003
18
36.47675E-004
99.13344E-004
19
33.81025E-004
94.54203E-004
20
19.35030E-004
87.92027E-004
21
20.89493E-004
83.78058E-004
22
-49.48113E-004
78.06359E-004
23
-91.63738E-004
72.68217E-004
24
-38.91838E-004
63.79680E-004
25
-24.65531E-004
58.65989E-004
26
-53.95536E-004
56.97052E-004
27
-40.84434E-004
53.38502E-004
28
-28.80220E-004
51.22120E-004
29
-61.68723E-004
49.25685E-004
30
-57.68381E-004
45.63640E-004
Response of DIF1[LN[CPI]] to a unit shock in LN[IP]
Horizon Innovation response
Standard error
0
33.72553E-005
14.23981E-005
1
11.08367E-004
20.21134E-005
2
67.02146E-005
23.45160E-005
3
74.78015E-005
24.72562E-005
4
90.07522E-005
26.81797E-005
5
58.21831E-005
27.89980E-005
6
93.15252E-005
28.70038E-005
7
11.18209E-004
29.66337E-005
8
74.74505E-005
30.18482E-005
9
46.76960E-005
29.31650E-005

10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

68.44044E-005
45.94149E-005
37.70392E-005
32.80145E-005
18.52583E-005
15.90618E-005
12.60836E-005
17.00845E-005
15.56838E-005
19.29970E-005
23.54459E-005
32.14929E-005
28.88953E-005
30.49495E-005
39.29924E-005
33.85197E-005
30.53178E-005
30.78964E-005
28.00612E-005
24.43345E-005
24.25544E-005

28.15054E-005
26.59244E-005
25.31480E-005
24.02948E-005
22.66819E-005
21.58168E-005
20.79571E-005
20.12767E-005
19.24360E-005
18.43072E-005
17.90072E-005
17.15796E-005
15.98858E-005
15.15371E-005
14.33740E-005
13.58815E-005
13.22655E-005
12.77639E-005
12.59333E-005
12.50407E-005
12.24648E-005

Response of DIF1[LN[CPI]] to a unit shock in DIF1[i]

Horizon Innovation response
Standard error
0
34.62561E-005
17.61981E-005
1
10.88185E-004
20.18238E-005
2
35.09052E-005
22.95696E-005
3
60.43690E-005
23.90619E-005
4
11.29602E-004
25.41788E-005
5
64.45791E-005
26.56151E-005
6
83.24408E-005
27.05988E-005
7
60.39559E-005
27.71821E-005
8
-15.84162E-005
28.51730E-005
9
-20.77612E-005
28.74488E-005
10
-83.78263E-006
27.10725E-005
11
-31.49244E-005
26.53031E-005
12
-33.72105E-005
26.37704E-005
13
-40.65684E-005
26.04581E-005
14
-54.82279E-005
25.11643E-005
15
-38.23497E-005
24.48872E-005
16
-39.92704E-005
23.76968E-005
17
-50.65947E-005
22.48165E-005
18
-34.87793E-005
21.67592E-005
19
-31.42268E-005
20.87136E-005
20
-28.05053E-005
19.97076E-005
21
-19.04508E-005
18.94783E-005
22
-21.74592E-005
18.28435E-005
23
-16.33425E-005
17.45317E-005
24
-10.40593E-005
16.52810E-005
25
-17.00888E-005
16.18648E-005
26
-20.47939E-005
15.79157E-005
27
-16.91607E-005
15.00843E-005
28
-17.47769E-005
14.47638E-005
29
-17.37652E-005
14.07618E-005
30
-17.05373E-005
13.53507E-005
Response of DIF1[LN[CPI]] to a unit shock in DIF1[U]
Horizon Innovation response
Standard error
0
23.24684E-005
18.42483E-005
1
-17.42065E-005
19.52143E-005

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

-37.77969E-005
-20.59661E-005
-50.20608E-005
-37.05362E-006
-31.37916E-006
-71.44673E-006
-38.44567E-005
-36.32006E-005
-62.07579E-006
-26.77247E-005
-10.01496E-005
-21.95145E-005
-24.46909E-005
-97.62108E-006
20.69378E-006
15.35570E-006
-10.31460E-005
-25.22221E-007
-36.61728E-007
-19.72793E-006
10.11750E-006
18.51536E-006
42.69888E-006
33.92785E-006
18.52089E-006
24.41206E-006
26.52366E-006
51.36039E-006
46.99512E-006

21.06966E-005
20.76067E-005
20.88368E-005
21.75419E-005
21.99743E-005
22.20448E-005
22.28867E-005
20.28965E-005
18.23377E-005
17.20310E-005
16.09527E-005
14.60442E-005
13.72363E-005
12.86510E-005
11.49080E-005
10.65036E-005
10.99811E-005
10.60219E-005
10.24895E-005
99.13679E-006
98.42583E-006
97.00953E-006
92.78847E-006
87.43917E-006
84.21805E-006
81.90595E-006
77.75257E-006
74.66457E-006
72.47648E-006

Response of DIF1[LN[CPI]] to a unit shock in DIF1[LN[CPI]]

Horizon Innovation response
Standard error
0
22.92358E-004
92.05338E-006
1
11.94060E-004
17.47678E-005
2
81.46426E-005
21.78811E-005
3
65.06420E-005
23.14063E-005
4
27.48561E-005
24.26380E-005
5
20.88699E-005
26.30172E-005
6
32.10905E-005
26.79392E-005
7
26.21974E-005
27.51577E-005
8
-39.72304E-006
27.57070E-005
9
19.07037E-005
25.07748E-005
10
-60.44246E-006
22.67924E-005
11
-12.67349E-005
21.52216E-005
12
-10.58448E-005
21.04237E-005
13
-68.81318E-006
20.35376E-005
14
-52.54716E-006
20.34959E-005
15
44.26749E-006
20.24152E-005
16
16.18004E-006
19.78310E-005
17
10.22569E-005
17.96065E-005
18
18.35586E-005
17.53927E-005
19
33.88946E-006
16.83059E-005
20
52.09030E-006
15.95296E-005
21
-32.86676E-006
15.31521E-005
22
-28.39025E-006
14.91092E-005
23
18.38220E-006
14.20202E-005
24
90.03926E-007
13.76902E-005
25
-46.60405E-006
13.56840E-005
26
-50.80243E-006
12.96074E-005
27
-19.99695E-006
12.64326E-005

28
29
30

-73.82646E-006
-76.39872E-006
-85.86664E-006

12.18381E-005
11.85073E-005
11.43003E-005

Forecast error variance decomposition of

LN[IP]
Column 1: Horizon
Column 2: Contribution (%) of the innovation
LN[IP]
Column 3: Contribution (%) of the innovation
DIF1[i]
Column 4: Contribution (%) of the innovation
DIF1[U]
Column 5: Contribution (%) of the innovation
DIF1[LN[CPI]]
1 2 3 4 5
-------------------1 98 0 0 2
2 91 1 0 8
3 84 1 0 14
4 79 2 0 18
5 74 4 0 21
6 71 7 1 22
7 66 12 1 21
8 61 18 1 20
9 57 22 1 20
10 53 25 1 20
11 51 28 2 20
12 49 30 2 20
13 47 31 2 20
14 47 32 2 19
15 46 32 3 19
16 45 32 3 19
17 45 32 4 19
18 45 32 4 19
19 45 31 4 19
20 45 31 4 20
21 45 31 4 20
22 45 30 5 20
23 45 30 5 20
24 45 30 5 20
25 45 30 5 21
26 44 30 5 21
27 44 30 5 21
28 44 30 5 21
29 44 30 5 21
30 43 30 5 21

in
in
in
in

Forecast error variance decomposition of

DIF1[i]
Column 1: Horizon
Column 2: Contribution (%) of the innovation in
LN[IP]
Column 3: Contribution (%) of the innovation in
DIF1[i]
Column 4: Contribution (%) of the innovation in

DIF1[U]
Column 5: Contribution (%) of the innovation in
DIF1[LN[CPI]]
1 2 3 4 5
-------------------1 37 56 0 7
2 35 58 1 7
3 35 57 1 7
4 34 57 1 7
5 33 55 6 7
6 33 54 6 7
7 31 55 8 6
8 31 54 8 6
9 31 54 8 7
10 30 53 9 8
11 30 53 9 8
12 31 53 9 8
13 31 53 9 8
14 31 53 9 8
15 31 53 9 8
16 31 53 9 8
17 30 53 9 8
18 30 53 9 8
19 30 52 9 8
20 30 52 9 8
21 30 52 9 8
22 30 52 9 8
23 30 52 9 8
24 30 52 9 8
25 30 52 9 8
26 30 52 9 8
27 30 52 9 8
28 30 52 9 8
29 30 52 9 8
30 30 52 9 8
Forecast error variance decomposition of
DIF1[U]
Column 1: Horizon
Column 2: Contribution (%) of the innovation
LN[IP]
Column 3: Contribution (%) of the innovation
DIF1[i]
Column 4: Contribution (%) of the innovation
DIF1[U]
Column 5: Contribution (%) of the innovation
DIF1[LN[CPI]]
1 2 3 4 5
-------------------1 51 2 37 10
2 47 2 33 18
3 45 2 32 22
4 44 3 32 21
5 46 6 29 19
6 45 8 27 20
7 42 14 25 19
8 43 16 23 18
9 45 16 22 17
10 46 16 22 17
11 46 16 22 17

in
in
in
in

12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

46
45
45
44
44
44
44
44
44
44
44
44
44
44
44
44
44
44
44

16
16
16
17
17
17
18
18
18
18
18
18
18
18
18
18
18
18
18

21
21
21
21
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20

17
18
18
18
19
18
18
18
18
18
18
18
18
18
18
18
18
18
18

Forecast error variance decomposition of

DIF1[LN[CPI]]
Column 1: Horizon
Column 2: Contribution (%) of the innovation
LN[IP]
Column 3: Contribution (%) of the innovation
DIF1[i]
Column 4: Contribution (%) of the innovation
DIF1[U]
Column 5: Contribution (%) of the innovation
DIF1[LN[CPI]]
1 2 3 4 5
-------------------1 14 14 1 71
2 17 13 2 68
3 19 15 2 64
4 22 21 4 54
5 23 23 3 51
6 26 24 3 47
7 30 24 3 43
8 32 23 3 41
9 32 23 4 41
10 34 23 4 40
11 34 23 4 39
12 34 23 4 39
13 34 23 4 38
14 34 24 5 37
15 34 25 5 37
16 33 25 5 37
17 33 26 5 36
18 33 26 5 36
19 33 27 4 36
20 33 27 4 36
21 33 27 4 36
22 33 27 4 35
23 34 27 4 35
24 34 27 4 35
25 34 27 4 35
26 34 27 4 34
27 35 27 4 34

in
in
in
in

28 35 27
29 35 27
30 35 27

4 34
4 34
4 34

Insert picture file EASYREG.DAT\IRP00001.BMP

Insert picture file EASYREG.DAT\IRP00002.BMP
---------------------------------------------EasyReg International [September 20, 2012]
Session date: Monday April 1, 2013
Session time: 20:05:41
---------------------------------------------z(t,1) = DIF1[LN[CPI]]
z(t,2) = DIF1[U]
Dependent variables:
Y(1) = DIF1[LN[CPI]]
Y(2) = DIF1[U]
Characteristics:
DIF1[LN[CPI]]
First observation = 2(=1960.02)
Last observation = 194(=1976.02)
Number of usable observations: 193
Minimum value: -9.7991189E-004
Maximum value: 3.6348553E-002
Sample mean:
1.0104905E-002
DIF1[U]
First observation = 2(=1960.02)
Last observation = 194(=1976.02)
Number of usable observations: 193
Minimum value: -8.4000000E-001
Maximum value: 1.6700000E+000
Sample mean:
1.0362694E-003
VAR(p) model:
z(t) = A(1)z(t-1) + ... +A(p)z(t-p) + B.d(t) + u(t),
where d(t) is a vector of deterministic variables:
d(t)=
1
t (1960.01=1)
Information criteria:
p
Akaike
1
-1.42651E+01
2
-1.43793E+01
3
-1.44820E+01
4
-1.45204E+01
5
-1.44786E+01
6
-1.44948E+01
7
-1.44646E+01
8
-1.44942E+01
9
-1.45274E+01
10
-1.44874E+01
11
-1.44688E+01
12
-1.44943E+01

Hannan-Quinn
-1.42101E+01
-1.42965E+01
-1.43712E+01
-1.43814E+01
-1.43112E+01
-1.42988E+01
-1.42397E+01
-1.42402E+01
-1.42442E+01
-1.41746E+01
-1.41262E+01
-1.41218E+01

Schwarz
-1.41293E+01
-1.41750E+01
-1.42086E+01
-1.41773E+01
-1.40654E+01
-1.40110E+01
-1.39096E+01
-1.38675E+01
-1.38285E+01
-1.37157E+01
-1.36237E+01
-1.35754E+01

13
14
15
16
17
18
19
20
p =

-1.44852E+01
-1.44403E+01
-1.43878E+01
-1.43486E+01
-1.43270E+01
-1.42878E+01
-1.42641E+01
-1.43099E+01
9

-1.40824E+01
-1.40070E+01
-1.39239E+01
-1.38537E+01
-1.38010E+01
-1.37303E+01
-1.36749E+01
-1.36887E+01
4

-1.34918E+01
-1.33719E+01
-1.32438E+01
-1.31284E+01
-1.30300E+01
-1.29134E+01
-1.28117E+01
-1.27788E+01
3

Chosen VAR(p) order: p = 9

Zeros in matrices A(1),..,A(9): (1 = nonzero)
1 1
1 1
OLS estimation results:
y(1) = DIF1[LN[CPI]]
Explanatory variables

OLS estimate

x(1,1) = LAG1[DIF1[LN[CPI]]]

61.34211E-02

x(1,2) = LAG1[DIF1[U]]

-49.41441E-04

x(1,3) = LAG2[DIF1[LN[CPI]]]

21.20058E-02

x(1,4) = LAG2[DIF1[U]]

11.10434E-04

x(1,5) = LAG3[DIF1[LN[CPI]]]

20.23514E-02

x(1,6) = LAG3[DIF1[U]]

25.68208E-05

x(1,7) = LAG4[DIF1[LN[CPI]]]

-12.12272E-02

x(1,8) = LAG4[DIF1[U]]

-17.80215E-04

x(1,9) = LAG5[DIF1[LN[CPI]]]

91.78916E-03

x(1,10) = LAG5[DIF1[U]]

15.31936E-04

x(1,11) = LAG6[DIF1[LN[CPI]]]

68.21629E-03

x(1,12) = LAG6[DIF1[U]]

-18.91143E-04

x(1,13) = LAG7[DIF1[LN[CPI]]]

-54.72479E-03

x(1,14) = LAG7[DIF1[U]]

89.30668E-05

x(1,15) = LAG8[DIF1[LN[CPI]]]

-22.53987E-02

x(1,16) = LAG8[DIF1[U]]

-69.51732E-05

x(1,17) = LAG9[DIF1[LN[CPI]]]
x(1,18) = LAG9[DIF1[U]]
x(1,19) = 1
x(1,20) = t (1960.01=1)

19.13920E-02
-12.50161E-04
80.16343E-05
-57.02072E-07

t-value
[p-value]
8.49
[0.00000]
-4.75
[0.00000]
2.35
[0.01902]
0.94
[0.34763]
2.23
[0.02602]
0.22
[0.82730]
-1.34
[0.18188]
-1.51
[0.13030]
1.00
[0.31889]
1.27
[0.20291]
0.75
[0.45363]
-1.63
[0.10395]
-0.62
[0.53814]
0.77
[0.44184]
-2.68
[0.00739]
-0.59
[0.55444]
2.55
[0.01063]
-1.33
[0.18232]
1.11
[0.26702]
-1.36
[0.17275]

[The p-values are two-sided and based on the normal approximation]

s.e.:
30.11294E-04
R-Square:
0.8184
n:
184
y(2) = DIF1[U]
Explanatory variables

OLS estimate

t-value
[p-value]
x(2,1) = LAG1[DIF1[LN[CPI]]]
31.83229E+00
6.31
[0.00000]
x(2,2) = LAG1[DIF1[U]]
55.07131E-02
7.58
[0.00000]
x(2,3) = LAG2[DIF1[LN[CPI]]]
-48.75218E-01
-0.77
[0.43952]
x(2,4) = LAG2[DIF1[U]]
12.84927E-02
1.56
[0.11930]
x(2,5) = LAG3[DIF1[LN[CPI]]]
-31.49696E-01
-0.50
[0.61946]
x(2,6) = LAG3[DIF1[U]]
10.42319E-02
1.27
[0.20440]
x(2,7) = LAG4[DIF1[LN[CPI]]]
-17.47485E+00
-2.76
[0.00581]
x(2,8) = LAG4[DIF1[U]]
-23.42435E-02
-2.85
[0.00433]
x(2,9) = LAG5[DIF1[LN[CPI]]]
58.03486E-01
0.90
[0.36637]
x(2,10) = LAG5[DIF1[U]]
10.61320E-03
0.13
[0.89938]
x(2,11) = LAG6[DIF1[LN[CPI]]]
26.84656E-01
0.42
[0.67251]
x(2,12) = LAG6[DIF1[U]]
70.35094E-03
0.87
[0.38595]
x(2,13) = LAG7[DIF1[LN[CPI]]]
-40.65868E-01
-0.66
[0.51209]
x(2,14) = LAG7[DIF1[U]]
17.31525E-02
2.14
[0.03257]
x(2,15) = LAG8[DIF1[LN[CPI]]]
34.47386E-01
0.59
[0.55703]
x(2,16) = LAG8[DIF1[U]]
-24.84273E-02
-3.03
[0.00246]
x(2,17) = LAG9[DIF1[LN[CPI]]]
-76.31074E-01
-1.46
[0.14432]
x(2,18) = LAG9[DIF1[U]]
12.37650E-02
1.89
[0.05843]
x(2,19) = 1
-11.27421E-02
-2.24
[0.02526]
x(2,20) = t (1960.01=1)
42.58957E-05
1.46
[0.14439]
[The p-values are two-sided and based on the normal approximation]
s.e.:
21.00917E-02
R-Square:
0.5812
n:
184
Error variance matrix based on OLS residuals:
8.08225E-006 -1.67554E-005
-1.67554E-005 3.93408E-002
= LL', where L =
2.84293E-003

-5.89371E-003

1.98258E-001

Since no restrictions have been imposed on the VAR parameters,

the OLS results are also maximum likelihood results.
L =
2.84293E-003
0
(35.90)
[0.00000]
-5.89371E-003 1.98258E-001
(-0.56)
(24.78)
[0.57579]
[0.00000]
(t-values in parenthesis)
[p-values in parenthesis (two-sided, based on the normal approximation)]
Log-likelihood: 85.435446E+001
x(1,1) = LAG1[DIF1[LN[CPI]]]
x(1,2) = LAG1[DIF1[U]]
x(1,3) = LAG2[DIF1[LN[CPI]]]
x(1,4) = LAG2[DIF1[U]]
x(1,5) = LAG3[DIF1[LN[CPI]]]
x(1,6) = LAG3[DIF1[U]]
x(1,7) = LAG4[DIF1[LN[CPI]]]
x(1,8) = LAG4[DIF1[U]]
x(1,9) = LAG5[DIF1[LN[CPI]]]
x(1,10) = LAG5[DIF1[U]]
x(1,11) = LAG6[DIF1[LN[CPI]]]
x(1,12) = LAG6[DIF1[U]]
x(1,13) = LAG7[DIF1[LN[CPI]]]
x(1,14) = LAG7[DIF1[U]]
x(1,15) = LAG8[DIF1[LN[CPI]]]
x(1,16) = LAG8[DIF1[U]]
x(1,17) = LAG9[DIF1[LN[CPI]]]
x(1,18) = LAG9[DIF1[U]]
x(1,19) = 1
x(1,20) = t (1960.01=1)
x(2,1) = LAG1[DIF1[LN[CPI]]]
x(2,2) = LAG1[DIF1[U]]
x(2,3) = LAG2[DIF1[LN[CPI]]]
x(2,4) = LAG2[DIF1[U]]
x(2,5) = LAG3[DIF1[LN[CPI]]]
x(2,6) = LAG3[DIF1[U]]
x(2,7) = LAG4[DIF1[LN[CPI]]]
x(2,8) = LAG4[DIF1[U]]
x(2,9) = LAG5[DIF1[LN[CPI]]]
x(2,10) = LAG5[DIF1[U]]
x(2,11) = LAG6[DIF1[LN[CPI]]]
x(2,12) = LAG6[DIF1[U]]
x(2,13) = LAG7[DIF1[LN[CPI]]]
x(2,14) = LAG7[DIF1[U]]
x(2,15) = LAG8[DIF1[LN[CPI]]]
x(2,16) = LAG8[DIF1[U]]
x(2,17) = LAG9[DIF1[LN[CPI]]]
x(2,18) = LAG9[DIF1[U]]
x(2,19) = 1
x(2,20) = t (1960.01=1)
L(1,1)

61.34211E-02
-49.41441E-04
21.20058E-02
11.10434E-04
20.23514E-02
25.68208E-05
-12.12272E-02
-17.80215E-04
91.78916E-03
15.31936E-04
68.21629E-03
-18.91143E-04
-54.72479E-03
89.30668E-05
-22.53987E-02
-69.51732E-05
19.13920E-02
-12.50161E-04
80.16343E-05
-57.02072E-07
31.83229E+00
55.07131E-02
-48.75218E-01
12.84927E-02
-31.49696E-01
10.42319E-02
-17.47485E+00
-23.42435E-02
58.03486E-01
10.61320E-03
26.84656E-01
70.35094E-03
-40.65868E-01
17.31525E-02
34.47386E-01
-24.84273E-02
-76.31074E-01
12.37650E-02
-11.27421E-02
42.58957E-05
28.42930E-04

8.49
-4.75(*)
2.35
0.94(*)
2.23
0.22
-1.34
-1.51
1.00
1.27
0.75
-1.63
-0.62
0.77
-2.68
-0.59
2.55
-1.33
1.11
-1.36
6.31
7.58
-0.77
1.56
-0.50
1.27
-2.76
-2.85
0.90
0.13
0.42
0.87
-0.66
2.14
0.59
-3.03
-1.46
1.89
-2.24
1.46
35.90

L(2,1)
L(2,2)

-58.93715E-04
19.82577E-02

-0.56
24.78

Test of the null hypothesis that the parameters indicated by (*) are
jointly zero:
Wald test:
24.08
Asymptotic null distribution: Chi-square(2)
p-value = 0.00001
Significance levels:
10%
5%
Critical values:
4.61
5.99
Conclusions:
reject
reject
x(1,1) = LAG1[DIF1[LN[CPI]]]
x(1,2) = LAG1[DIF1[U]]
x(1,3) = LAG2[DIF1[LN[CPI]]]
x(1,4) = LAG2[DIF1[U]]
x(1,5) = LAG3[DIF1[LN[CPI]]]
x(1,6) = LAG3[DIF1[U]]
x(1,7) = LAG4[DIF1[LN[CPI]]]
x(1,8) = LAG4[DIF1[U]]
x(1,9) = LAG5[DIF1[LN[CPI]]]
x(1,10) = LAG5[DIF1[U]]
x(1,11) = LAG6[DIF1[LN[CPI]]]
x(1,12) = LAG6[DIF1[U]]
x(1,13) = LAG7[DIF1[LN[CPI]]]
x(1,14) = LAG7[DIF1[U]]
x(1,15) = LAG8[DIF1[LN[CPI]]]
x(1,16) = LAG8[DIF1[U]]
x(1,17) = LAG9[DIF1[LN[CPI]]]
x(1,18) = LAG9[DIF1[U]]
x(1,19) = 1
x(1,20) = t (1960.01=1)
x(2,1) = LAG1[DIF1[LN[CPI]]]
x(2,2) = LAG1[DIF1[U]]
x(2,3) = LAG2[DIF1[LN[CPI]]]
x(2,4) = LAG2[DIF1[U]]
x(2,5) = LAG3[DIF1[LN[CPI]]]
x(2,6) = LAG3[DIF1[U]]
x(2,7) = LAG4[DIF1[LN[CPI]]]
x(2,8) = LAG4[DIF1[U]]
x(2,9) = LAG5[DIF1[LN[CPI]]]
x(2,10) = LAG5[DIF1[U]]
x(2,11) = LAG6[DIF1[LN[CPI]]]
x(2,12) = LAG6[DIF1[U]]
x(2,13) = LAG7[DIF1[LN[CPI]]]
x(2,14) = LAG7[DIF1[U]]
x(2,15) = LAG8[DIF1[LN[CPI]]]
x(2,16) = LAG8[DIF1[U]]
x(2,17) = LAG9[DIF1[LN[CPI]]]
x(2,18) = LAG9[DIF1[U]]
x(2,19) = 1
x(2,20) = t (1960.01=1)
L(1,1)
L(2,1)
L(2,2)

61.34211E-02
-49.41441E-04
21.20058E-02
11.10434E-04
20.23514E-02
25.68208E-05
-12.12272E-02
-17.80215E-04
91.78916E-03
15.31936E-04
68.21629E-03
-18.91143E-04
-54.72479E-03
89.30668E-05
-22.53987E-02
-69.51732E-05
19.13920E-02
-12.50161E-04
80.16343E-05
-57.02072E-07
31.83229E+00
55.07131E-02
-48.75218E-01
12.84927E-02
-31.49696E-01
10.42319E-02
-17.47485E+00
-23.42435E-02
58.03486E-01
10.61320E-03
26.84656E-01
70.35094E-03
-40.65868E-01
17.31525E-02
34.47386E-01
-24.84273E-02
-76.31074E-01
12.37650E-02
-11.27421E-02
42.58957E-05
28.42930E-04
-58.93715E-04
19.82577E-02

8.49
-4.75
2.35
0.94
2.23
0.22
-1.34
-1.51
1.00
1.27
0.75
-1.63
-0.62
0.77
-2.68
-0.59
2.55
-1.33
1.11
-1.36
6.31(*)
7.58
-0.77(*)
1.56
-0.50(*)
1.27
-2.76(*)
-2.85
0.90(*)
0.13
0.42(*)
0.87
-0.66(*)
2.14
0.59(*)
-3.03
-1.46(*)
1.89
-2.24
1.46
35.90
-0.56
24.78

Test of the null hypothesis that the parameters indicated by (*) are
jointly zero:
Wald test:
62.65
Asymptotic null distribution: Chi-square(9)

p-value = 0.00000
Significance levels:
Critical values:
Conclusions:

10%
14.68
reject

x(1,1) = LAG1[DIF1[LN[CPI]]]
x(1,2) = LAG1[DIF1[U]]
x(1,3) = LAG2[DIF1[LN[CPI]]]
x(1,4) = LAG2[DIF1[U]]
x(1,5) = LAG3[DIF1[LN[CPI]]]
x(1,6) = LAG3[DIF1[U]]
x(1,7) = LAG4[DIF1[LN[CPI]]]
x(1,8) = LAG4[DIF1[U]]
x(1,9) = LAG5[DIF1[LN[CPI]]]
x(1,10) = LAG5[DIF1[U]]
x(1,11) = LAG6[DIF1[LN[CPI]]]
x(1,12) = LAG6[DIF1[U]]
x(1,13) = LAG7[DIF1[LN[CPI]]]
x(1,14) = LAG7[DIF1[U]]
x(1,15) = LAG8[DIF1[LN[CPI]]]
x(1,16) = LAG8[DIF1[U]]
x(1,17) = LAG9[DIF1[LN[CPI]]]
x(1,18) = LAG9[DIF1[U]]
x(1,19) = 1
x(1,20) = t (1960.01=1)
x(2,1) = LAG1[DIF1[LN[CPI]]]
x(2,2) = LAG1[DIF1[U]]
x(2,3) = LAG2[DIF1[LN[CPI]]]
x(2,4) = LAG2[DIF1[U]]
x(2,5) = LAG3[DIF1[LN[CPI]]]
x(2,6) = LAG3[DIF1[U]]
x(2,7) = LAG4[DIF1[LN[CPI]]]
x(2,8) = LAG4[DIF1[U]]
x(2,9) = LAG5[DIF1[LN[CPI]]]
x(2,10) = LAG5[DIF1[U]]
x(2,11) = LAG6[DIF1[LN[CPI]]]
x(2,12) = LAG6[DIF1[U]]
x(2,13) = LAG7[DIF1[LN[CPI]]]
x(2,14) = LAG7[DIF1[U]]
x(2,15) = LAG8[DIF1[LN[CPI]]]
x(2,16) = LAG8[DIF1[U]]
x(2,17) = LAG9[DIF1[LN[CPI]]]
x(2,18) = LAG9[DIF1[U]]
x(2,19) = 1
x(2,20) = t (1960.01=1)
L(1,1)
L(2,1)
L(2,2)

5%
16.92
reject
61.34211E-02
-49.41441E-04
21.20058E-02
11.10434E-04
20.23514E-02
25.68208E-05
-12.12272E-02
-17.80215E-04
91.78916E-03
15.31936E-04
68.21629E-03
-18.91143E-04
-54.72479E-03
89.30668E-05
-22.53987E-02
-69.51732E-05
19.13920E-02
-12.50161E-04
80.16343E-05
-57.02072E-07
31.83229E+00
55.07131E-02
-48.75218E-01
12.84927E-02
-31.49696E-01
10.42319E-02
-17.47485E+00
-23.42435E-02
58.03486E-01
10.61320E-03
26.84656E-01
70.35094E-03
-40.65868E-01
17.31525E-02
34.47386E-01
-24.84273E-02
-76.31074E-01
12.37650E-02
-11.27421E-02
42.58957E-05
28.42930E-04
-58.93715E-04
19.82577E-02

8.49
-4.75(*)
2.35
0.94(*)
2.23
0.22(*)
-1.34
-1.51(*)
1.00
1.27(*)
0.75
-1.63(*)
-0.62
0.77(*)
-2.68
-0.59(*)
2.55
-1.33(*)
1.11
-1.36
6.31
7.58
-0.77
1.56
-0.50
1.27
-2.76
-2.85
0.90
0.13
0.42
0.87
-0.66
2.14
0.59
-3.03
-1.46
1.89
-2.24
1.46
35.90
-0.56
24.78

Test of the null hypothesis that the parameters indicated by (*) are
jointly zero:
Wald test:
40.20
Asymptotic null distribution: Chi-square(9)
p-value = 0.00001
Significance levels:
10%
5%
Critical values:
14.68
16.92
Conclusions:
reject
reject
****************************

Non-structural VAR analysis

****************************
The standard errors of the innovation responses are computed according to
the method of Richard T. Baillie (1987), Inference in Dynamic Models
Containing 'Surprise' Variables, Journal of Econometrics 35, 101-117.
Response of DIF1[LN[CPI]] to a unit shock in DIF1[LN[CPI]]
Horizon Innovation response
Standard error
0
28.42930E-004
79.18633E-006
1
17.73036E-004
21.76995E-005
2
12.52644E-004
25.85431E-005
3
13.70834E-004
28.09673E-005
4
84.62873E-005
30.40625E-005
5
81.40905E-005
31.73337E-005
6
10.80695E-004
32.63889E-005
7
66.91854E-005
33.53532E-005
8
94.67824E-006
33.66015E-005
9
29.66058E-005
30.08534E-005
10
23.62599E-005
29.74796E-005
11
11.04732E-005
30.06739E-005
12
17.62834E-005
29.84266E-005
13
19.23012E-005
28.84973E-005
14
73.70354E-007
28.05143E-005
15
19.38594E-005
26.57087E-005
16
27.28481E-005
24.85578E-005
17
18.14752E-005
23.41691E-005
18
25.45201E-005
21.70350E-005
19
28.12108E-005
19.81817E-005
20
27.60865E-005
18.47145E-005
Response of DIF1[LN[CPI]] to a unit shock in DIF1[U]
Horizon Innovation response
Standard error
0
00.00000E+000
00.00000E+000
1
-97.96786E-005
21.01823E-005
2
-92.03253E-005
25.51061E-005
3
-86.89897E-005
27.68501E-005
4
-13.89246E-004
30.22296E-005
5
-80.72635E-005
32.07460E-005
6
-10.35056E-004
32.88977E-005
7
-10.68901E-004
33.77882E-005
8
-99.52292E-005
33.72222E-005
9
-99.59029E-005
33.50420E-005
10
-10.50008E-004
33.34312E-005
11
-10.07800E-004
32.58566E-005
12
-73.95867E-005
31.58032E-005
13
-84.59481E-005
29.22761E-005
14
-65.82473E-005
27.22947E-005
15
-55.00883E-005
26.68569E-005
16
-58.33248E-005
26.16616E-005
17
-49.39606E-005
25.18583E-005
18
-41.17417E-005
24.76456E-005
19
-41.98710E-005
24.48001E-005
20
-42.46951E-005
24.26014E-005
Response of DIF1[U] to a unit shock in DIF1[LN[CPI]]
Horizon Innovation response
Standard error
0
-58.93715E-004
10.53295E-003
1
87.25122E-003
15.60469E-003

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

89.87300E-003
82.36731E-003
49.64928E-003
28.61921E-003
23.68819E-003
12.95749E-003
37.89187E-003
-12.18633E-003
-19.31166E-003
-15.49839E-003
-20.83571E-003
-14.72774E-003
-78.89218E-004
-69.12979E-004
-15.18004E-003
14.56916E-004
23.61211E-004
-35.24572E-005
63.95285E-004

17.85264E-003
19.19704E-003
19.91341E-003
20.24298E-003
20.33008E-003
20.01704E-003
19.36886E-003
16.42294E-003
14.99862E-003
14.66541E-003
14.58761E-003
13.35260E-003
12.49124E-003
11.95294E-003
11.16313E-003
99.69344E-004
90.68316E-004
81.89727E-004
73.95657E-004

Response of DIF1[U] to a unit shock in DIF1[U]

Horizon Innovation response
Standard error
0
19.82577E-002
79.99408E-004
1
10.91831E-002
15.06101E-003
2
54.41783E-003
17.64234E-003
3
40.14270E-003
19.02192E-003
4
-26.05026E-003
19.92289E-003
5
-46.95528E-003
20.23788E-003
6
-28.45275E-003
20.35642E-003
7
-86.56293E-004
19.98290E-003
8
-38.99877E-003
19.27617E-003
9
-24.30584E-003
18.51752E-003
10
-13.99388E-003
17.96342E-003
11
-29.47418E-003
16.91521E-003
12
-20.50340E-003
15.57208E-003
13
-28.90077E-004
13.22247E-003
14
-10.57703E-003
11.44648E-003
15
-88.07358E-004
10.46953E-003
16
27.97900E-004
94.78012E-004
17
-11.16828E-004
92.40589E-004
18
-32.66385E-004
83.92967E-004
19
43.42561E-004
77.65870E-004
20
53.19814E-004
76.23181E-004

Forecast error variance decomposition of

DIF1[LN[CPI]]
Column 1: Horizon
Column 2: Contribution (%) of the innovation in
DIF1[LN[CPI]]
Column 3: Contribution (%) of the innovation in
DIF1[U]
1 2 3
-----------1 92 8
2 88 12
3 85 15

4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

77
76
73
71
68
66
63
61
60
58
58
57
57
56
56
56
56

23
24
27
29
32
34
37
39
40
42
42
43
43
44
44
44
44

Forecast error variance decomposition of

DIF1[U]
Column 1: Horizon
Column 2: Contribution (%) of the innovation in
DIF1[LN[CPI]]
Column 3: Contribution (%) of the innovation in
DIF1[U]
1 2 3
-----------1 13 87
2 22 78
3 29 71
4 31 69
5 31 69
6 31 69
7 31 69
8 31 69
9 31 69
10 32 68
11 31 69
12 32 68
13 32 68
14 32 68
15 32 68
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Insert picture file EASYREG.DAT\IRP00004.BMP