Date: 06/15/17 Time: 23:36

Sample (adjusted): 1978 2014

Included observations: 37 after adjustments
Trend assumption: Linear deterministic trend
Series: L_GDP L_DT INF L_EXP
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(sEigenvalueStatistic Critical Va Prob.**

None 0.443912 44.36848 47.85613 0.1025

At most 1 0.321314 22.6558 29.79707 0.2634
At most 2 0.199808 8.314743 15.49471 0.4324
At most 3 0.001817 0.067305 3.841466 0.7953

Trace test indicates no cointegration 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 Max-Eigen 0.05

No. of CE(sEigenvalueStatistic Critical Va Prob.**

None 0.443912 21.71268 27.58434 0.2355

At most 1 0.321314 14.34105 21.13162 0.3377
At most 2 0.199808 8.247438 14.2646 0.3541
At most 3 0.001817 0.067305 3.841466 0.7953

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

L_GDP L_DT INF L_EXP

-6.96762 7.785584 -0.30296 -1.59914
-18.665 8.401323 0.093284 8.263617
1.344592 10.00226 0.076445 -13.1616
16.76045 -6.98891 -0.05687 -4.37135

Unrestricted Adjustment Coefficients (alpha):

D(L_GDP) 0.00668 -0.00193 -0.00165 0.001052
D(L_DT) -0.01644 0.000885 -0.0165 0.001579
D(INF) 3.108942 -0.32362 -1.42891 0.045715
D(L_EXP) -0.00503 -0.02022 -0.00225 0.000878

1 Cointegrating EquatiLog likelih 112.6685

Normalized cointegrating coefficients (standard error in parentheses)

L_GDP L_DT INF L_EXP
1 -1.1174 0.043482 0.22951
-0.33438 -0.00954 -0.38983

Adjustment coefficients (standard error in parentheses)

D(L_GDP) -0.04655
-0.03286
D(L_DT) 0.114549
-0.0694
D(INF) -21.6619
-6.10542
D(L_EXP) 0.035043
-0.0524

2 Cointegrating EquatiLog likelih 119.839

Normalized cointegrating coefficients (standard error in parentheses)

L_GDP L_DT INF L_EXP
1 0 -0.0377 -0.89619
-0.00992 -0.09343
0 1 -0.07265 -1.00744
-0.01566 -0.14743

Adjustment coefficients (standard error in parentheses)

D(L_GDP) -0.01044 0.035758
-0.09372 -0.05388
D(L_DT) 0.098035 -0.12056
-0.19842 -0.11407
D(INF) -15.6215 21.48606
-17.4192 -10.0147
D(L_EXP) 0.412386 -0.209
-0.1312 -0.07543
3 Cointegrating EquatiLog likelih 123.9627

Normalized cointegrating coefficients (standard error in parentheses)

L_GDP L_DT INF L_EXP
1 0 0 -0.9792
-0.05762
0 1 0 -1.1674
-0.08727
0 0 1 -2.20182
-2.08747

Adjustment coefficients (standard error in parentheses)

D(L_GDP) -0.01266 0.019261 -0.00233
-0.09374 -0.07139 -0.00153
D(L_DT) 0.075855 -0.28555 0.003802
-0.18986 -0.14459 -0.0031
D(INF) -17.5428 7.19376 -1.08132
-16.6898 -12.7099 -0.27255
D(L_EXP) 0.409361 -0.2315 -0.00053
-0.13125 -0.09995 -0.00214
Vector Autoregression Estimates
Date: 06/15/17 Time: 23:36
Sample (adjusted): 1977 2014
Included observations: 38 after adjustments
Standard errors in ( ) & t-statistics in [ ]

L_GDP L_DT INF L_EXP

L_GDP(-1) 1.040218 0.191499 -12.8847 0.37741

-0.11969 -0.24011 -18.8604 -0.15523
[ 8.69099] [ 0.79753] [-0.68316][ 2.43124]

L_DT(-1) -0.05699 0.626336 4.614876 -0.23061

-0.07458 -0.14962 -11.7522 -0.09673
[-0.76408][ 4.18623] [ 0.39268] [-2.38414]

INF(-1) -0.00163 0.000906 -0.02571 -0.00187

-0.0011 -0.00222 -0.17399 -0.00143
[-1.47135][ 0.40894] [-0.14777][-1.30762]

L_EXP(-1) 0.029132 0.251575 9.50137 0.913505

-0.07578 -0.15202 -11.941 -0.09828
[ 0.38444] [ 1.65487] [ 0.79570] [ 9.29477]

C -0.14895 -1.08642 12.1518 -1.03614

-0.41504 -0.83264 -65.4019 -0.5383
[-0.35887][-1.30480][ 0.18580] [-1.92484]

R-squared 0.992166 0.982021 0.08572 0.989082

Adj. R-sq 0.991216 0.979842 -0.0251 0.987759
Sum sq. re 0.032738 0.13176 812.9249 0.05507
S.E. equat 0.031497 0.063188 4.963274 0.040851
F-statistic 1044.81 450.6176 0.77349 747.4017
Log likeli 80.15941 53.70321 -112.118 70.27828
Akaike AIC -3.95576 -2.56333 6.164087 -3.4357
Schwarz S -3.74029 -2.34786 6.379559 -3.22023
Mean dep 10.79051 9.215785 9.58459 9.922954
S.D. depe 0.336068 0.445048 4.902128 0.369225

Determinant resid co 5.30E-08

Determinant resid co 3.01E-08
Log likelihood 113.3617
Akaike information cr -4.91377
Schwarz criterion -4.05188
L_GDP = C(1)*L_GDP(-1) + C(2)*L_DT(-1) + C(3)*INF(-1) + C(4)*L_EXP(-1) + C(5)

L_DT = C(6)*L_GDP(-1) + C(7)*L_DT(-1) + C(8)*INF(-1) + C(9)*L_EXP(-1) + C(10)

INF = C(11)*L_GDP(-1) + C(12)*L_DT(-1) + C(13)*INF(-1) + C(14)*L_EXP(-1) + C(15)

L_EXP = C(16)*L_GDP(-1) + C(17)*L_DT(-1) + C(18)*INF(-1) + C(19)*L_EXP(-1) + C(20)

Dependent Variable: L_GDP Dependent Variable: L_DT

Method: Least Squares Method: Least Squares
Date: 06/15/17 Time: 23:37 Date: 06/15/17 Time: 23:38
Sample (adjusted): 1977 2014 Sample (adjusted): 1977 2014
Included observations: 38 after adjustments Included observations: 38 after adjustmen
L_GDP = C(1)*L_GDP(-1) + C(2)*L_DT(-1) + C(3)*INF(-1) + C(4)*L_EXP(-1) L_DT = C(6)*L_GDP(-1) + C(7)*L_DT(-1) +
+ C(5) C(10)

CoefficientStd. Error t-Statistic Prob. Coefficient

C(1) 1.040218 0.119689 8.690992 0 C(6) 0.191499

C(2) -0.05699 0.07458 -0.76408 0.4502 C(7) 0.626336
C(3) -0.00163 0.001104 -1.47135 0.1507 C(8) 0.000906
C(4) 0.029132 0.075778 0.384444 0.7031 C(9) 0.251575
C(5) -0.14895 0.415044 -0.35887 0.722 C(10) -1.08642

R-squared 0.992166 Mean dependent v 10.79051 R-squared 0.982021

Adjusted R 0.991216 S.D. dependent var 0.336068 Adjusted R 0.979842
S.E. of reg 0.031497 Akaike info criterio -3.95576 S.E. of reg 0.063188
Sum square0.032738 Schwarz criterion -3.74029 Sum square 0.13176
Log likelih 80.15941 Hannan-Quinn crite -3.8791 Log likelih 53.70321
F-statistic 1044.81 Durbin-Watson sta 1.486528 F-statistic 450.6176
Prob(F-stati 0 Prob(F-stati 0
nt Variable: L_DT Dependent Variable: INF
Least Squares Method: Least Squares
15/17 Time: 23:38 Date: 06/15/17 Time: 23:38
adjusted): 1977 2014 Sample (adjusted): 1977 2014
observations: 38 after adjustments Included observations: 38 after adjustments
6)*L_GDP(-1) + C(7)*L_DT(-1) + C(8)*INF(-1) + C(9)*L_EXP(-1) + INF = C(11)*L_GDP(-1) + C(12)*L_DT(-1) + C(13)*INF(-1) + C(14
-1) + C(15)

Std. Error t-Statistic Prob. CoefficientStd. Error t-Statistic

0.240114 0.797533 0.4308 C(11) -12.8847 18.86043 -0.68316

0.149618 4.186234 0.0002 C(12) 4.614876 11.75216 0.392683
0.002215 0.408936 0.6852 C(13) -0.02571 0.173994 -0.14777
0.152022 1.654865 0.1074 C(14) 9.50137 11.94097 0.795695
0.832639 -1.3048 0.201 C(15) 12.1518 65.40193 0.185802

Mean dependent v 9.215785 R-squared 0.08572 Mean dependent v

S.D. dependent var 0.445048 Adjusted R -0.0251 S.D. dependent var
Akaike info criterio -2.56333 S.E. of reg 4.963274 Akaike info criterio
Schwarz criterion -2.34786 Sum square812.9249 Schwarz criterion
Hannan-Quinn crite -2.48666 Log likelih -112.118 Hannan-Quinn crite
Durbin-Watson sta 1.549015 F-statistic 0.77349 Durbin-Watson sta
Prob(F-stati0.550319

r adjustments
*L_DT(-1) + C(13)*INF(-1) + C(14)*L_EXP(
Dependent Variable: L_EXP
Method: Least Squares
Date: 06/15/17 Time: 23:39
Sample (adjusted): 1977 2014
Included observations: 38 after adjustments
L_EXP = C(16)*L_GDP(-1) + C(17)*L_DT(-1) + C(18)*INF(-1) + C(19)
*L_EXP(-1) + C(20)

Prob. CoefficientStd. Error t-Statistic Prob.

0.4993 C(16) 0.37741 0.155233 2.431243 0.0206

0.6971 C(17) -0.23061 0.096728 -2.38414 0.023
0.8834 C(18) -0.00187 0.001432 -1.30762 0.2
0.4319 C(19) 0.913505 0.098282 9.294765 0
0.8537 C(20) -1.03614 0.538299 -1.92484 0.0629

9.58459 R-squared 0.989082 Mean dependent v 9.922954

4.902128 Adjusted R 0.987759 S.D. dependent var 0.369225
6.164087 S.E. of reg 0.040851 Akaike info criterio -3.4357
6.379559 Sum square 0.05507 Schwarz criterion -3.22023
6.240751 Log likelih 70.27828 Hannan-Quinn crite -3.35904
2.013983 F-statistic 747.4017 Durbin-Watson sta 1.848101
Prob(F-stati 0
NF(-1) + C(19)
Pairwise Granger Causality Tests
Date: 06/15/17 Time: 23:41
Sample: 1976 2016
Lags: 2

Null HypotObs F-Statistic Prob.

L_DT does 37 0.50735 0.6069

L_GDP does not Gra 2.76764 0.0779

INF does 37 2.78282 0.0769

L_GDP does not Gran 1.12497 0.3372

L_EXP doe 37 3.58381 0.0394

L_GDP does not Gra 1.47068 0.2449

INF does 37 0.13508 0.8741

L_DT does not Grang 1.25166 0.2997

L_EXP doe 37 5.70823 0.0076

L_DT does not Grang 0.59079 0.5598

L_EXP doe 37 1.36488 0.2699

INF does not Grange 0.4891 0.6177
Pairwise Granger Causality Tests
Date: 06/15/17 Time: 23:44
Sample: 1976 2016
Lags: 1

Null HypotObs F-Statistic Prob.

L_DT does 38 0.53872 0.4679

L_GDP does not Gra 4.43216 0.0425

INF does 38 2.40151 0.1302

L_GDP does not Gran 2.20953 0.1461

L_EXP doe 38 0.14456 0.7061

L_GDP does not Gra 0.66263 0.4211

INF does 38 0.09898 0.7549

L_DT does not Grang 2.42627 0.1283

L_EXP doe 38 6.71754 0.0138

L_DT does not Grang 0.9911 0.3263

L_EXP doe 38 2.67972 0.1106

INF does not Grange 1.38319 0.2475
VAR Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag order h
Date: 06/15/17 Time: 23:50
Sample: 1976 2016
Included observations: 38

Lags LM-Stat Prob

1 19.93279 0.2233
2 16.0749 0.4477

Probs from chi-square with 16 df.

VAR Residual Normality Tests
Orthogonalization: Cholesky (Lutkepohl)
Null Hypothesis: residuals are multivariate normal
Date: 06/15/17 Time: 23:51
Sample: 1976 2016
Included observations: 38

ComponenSkewness Chi-sq df Prob.

1 0.115007 0.083768 1 0.7723

2 0.391252 0.969495 1 0.3248
3 0.900719 5.1382 1 0.0234
4 -0.58229 2.147418 1 0.1428

Joint 8.338881 4 0.0799

ComponenKurtosis Chi-sq df Prob.

1 1.954646 1.730211 1 0.1884

2 3.005741 5.22E-05 1 0.9942
3 4.608731 4.097691 1 0.0429
4 3.002443 9.45E-06 1 0.9975

Joint 5.827964 4 0.2124

ComponenJarque-Berdf Prob.

1 1.81398 2 0.4037
2 0.969547 2 0.6158
3 9.235892 2 0.0099
4 2.147427 2 0.3417

Joint 14.16685 8 0.0775

VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares)
Date: 06/15/17 Time: 23:52
Sample: 1976 2016
Included observations: 38

Joint test:

Chi-sq df Prob.

83.13787 80 0.3831

Individual components:

DependentR-squared F(8,29) Prob. Chi-sq(8) Prob.

res1*res1 0.255147 1.241733 0.3111 9.695592 0.287

res2*res2 0.150114 0.64028 0.7376 5.704346 0.6803
res3*res3 0.211798 0.974076 0.4752 8.04833 0.4288
res4*res4 0.135509 0.568218 0.795 5.149334 0.7415
res2*res1 0.189839 0.849418 0.5683 7.213871 0.5137
res3*res1 0.093299 0.373009 0.9263 3.545347 0.8956
res3*res2 0.270062 1.341177 0.2633 10.26237 0.2471
res4*res1 0.083597 0.330684 0.9471 3.17669 0.9228
res4*res2 0.096203 0.385857 0.9194 3.655722 0.8868
res4*res3 0.113733 0.46519 0.8704 4.32186 0.827
VAR Residual Heteroskedasticity Tests: Includes Cross Terms
Date: 06/15/17 Time: 23:54
Sample: 1976 2016
Included observations: 38

Joint test:

Chi-sq df Prob.

141.6021 140 0.4462

Individual components:

DependentR-squared F(14,23) Prob. Chi-sq(14) Prob.

res1*res1 0.329964 0.809036 0.6527 12.53862 0.5631

res2*res2 0.293104 0.681187 0.7693 11.13796 0.6752
res3*res3 0.346981 0.872931 0.5944 13.18528 0.512
res4*res4 0.32619 0.795302 0.6654 12.3952 0.5746
res2*res1 0.295922 0.690487 0.761 11.24502 0.6667
res3*res1 0.235694 0.506619 0.9051 8.956381 0.8338
res3*res2 0.454305 1.367719 0.245 17.26358 0.2424
res4*res1 0.29695 0.693901 0.758 11.28411 0.6636
res4*res2 0.265534 0.593947 0.8427 10.09029 0.7556
res4*res3 0.198891 0.407872 0.957 7.557859 0.9111