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    OLS Full Period

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    Juana Montes Gadda
    This document provides the results of a vector autoregression (VAR) estimates analysis. The VAR model was estimated using monthly US data from 1962 to 2019. The model includes 4 variables: industrial production (I), money supply (M), price level (P), and real GDP (Y). The results show the coefficients and statistics for the VAR model, including R-squared, F-statistic, log likelihood, Akaike information criterion, and other measures of fit.

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    OLS Full Period

    Uploaded by

    Juana Montes Gadda
    6 views1 page
    This document provides the results of a vector autoregression (VAR) estimates analysis. The VAR model was estimated using monthly US data from 1962 to 2019. The model includes 4 variables: industrial production (I), money supply (M), price level (P), and real GDP (Y). The results show the coefficients and statistics for the VAR model, including R-squared, F-statistic, log likelihood, Akaike information criterion, and other measures of fit.

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    This document provides the results of a vector autoregression (VAR) estimates analysis. The VAR model was estimated using monthly US data from 1962 to 2019. The model includes 4 variables: industrial production (I), money supply (M), price level (P), and real GDP (Y). The results show the coefficients and statistics for the VAR model, including R-squared, F-statistic, log likelihood, Akaike information criterion, and other measures of fit.

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    6 views1 page

    OLS Full Period

    Uploaded by

    Juana Montes Gadda
    This document provides the results of a vector autoregression (VAR) estimates analysis. The VAR model was estimated using monthly US data from 1962 to 2019. The model includes 4 variables: industrial production (I), money supply (M), price level (P), and real GDP (Y). The results show the coefficients and statistics for the VAR model, including R-squared, F-statistic, log likelihood, Akaike information criterion, and other measures of fit.

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    Vector Autoregression Estimates

    Vector Autoregression Estimates


    Date: 07/03/23 Time: 20:12
    Sample (adjusted): 1962M03 2019M11
    Included observations: 693 after adjustments
    Standard errors in ( ) & t-statistics in [ ]

    I M P Y

    I(-1) 1.095164 -0.473342 0.069180 0.114495


    (0.03800) (0.93240) (0.02883) (0.03797)
    [ 28.8234] [-0.50766] [ 2.39989] [ 3.01553]

    I(-2) -0.114981 0.096570 -0.043535 -0.135944


    (0.03796) (0.93163) (0.02880) (0.03794)
    [-3.02868] [ 0.10366] [-1.51148] [-3.58341]

    M(-1) 0.001389 0.867487 1.06E-05 -0.000400


    (0.00155) (0.03793) (0.00117) (0.00154)
    [ 0.89868] [ 22.8711] [ 0.00905] [-0.25925]

    M(-2) -0.001357 0.137000 1.38E-07 0.000402


    (0.00155) (0.03809) (0.00118) (0.00155)
    [-0.87422] [ 3.59642] [ 0.00012] [ 0.25894]

    P(-1) 0.028786 -5.273297 1.414598 0.200105


    (0.04597) (1.12801) (0.03487) (0.04593)
    [ 0.62623] [-4.67486] [ 40.5628] [ 4.35635]

    P(-2) -0.031345 5.427508 -0.415325 -0.198918


    (0.04597) (1.12819) (0.03488) (0.04594)
    [-0.68180] [ 4.81082] [-11.9074] [-4.32985]

    Y(-1) 0.138508 -0.320398 -0.000601 1.222297


    (0.03727) (0.91449) (0.02827) (0.03724)
    [ 3.71676] [-0.35036] [-0.02124] [ 32.8231]

    Y(-2) -0.134453 -0.070518 0.005481 -0.227858


    (0.03720) (0.91296) (0.02823) (0.03718)
    [-3.61396] [-0.07724] [ 0.19420] [-6.12901]

    C 0.079820 11.77483 -0.181585 0.360014


    (0.10251) (2.51544) (0.07777) (0.10243)
    [ 0.77869] [ 4.68102] [-2.33494] [ 3.51467]

    R-squared 0.979440 0.999859 0.999977 0.999678


    Adj. R-squared 0.979200 0.999857 0.999976 0.999674
    Sum sq. resids 148.4494 89395.17 85.44687 148.2366
    S.E. equation 0.465866 11.43218 0.353444 0.465532
    F-statistic 4073.082 604487.2 3673212. 265274.3
    Log likelihood -449.4422 -2667.242 -258.0531 -448.9451
    Akaike AIC 1.323065 7.723643 0.770716 1.321631
    Schwarz SC 1.382040 7.782617 0.829690 1.380605
    Mean dependent 4.714921 1074.420 131.7939 69.35385
    S.D. dependent 3.230173 955.7519 72.83498 25.78453

    Determinant resid covariance (dof adj.) 0.734982


    Determinant resid covariance 0.697539
    Log likelihood -3808.489
    Akaike information criterion 11.09521
    Schwarz criterion 11.33110
    Number of coefficients 36

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