Targeted dependent variable ia1t (of Estimation 1) | Targeted dependent variable ia2t (of Estimation 2) | ||||||
---|---|---|---|---|---|---|---|
Parameters | Estimates | t-values | Prob. | Parameters | Estimates | t-values | Prob. |
α1 | 0.184 | 3.467 | 0.00 | α1 | 0.197 | 2.015 | 0.08 |
ia1t − 1 | 1.055 | 5.175 | 0.00 | ia2t − 1 | 1.113 | 4.350 | 0.00 |
ia1t − 2 | −0.563 | −2.139 | 0.04 | ia2t − 2 | −0.359 | −1.089 | 0.31 |
ia1t − 3 | −0.430 | −2.202 | 0.04 | ia2t − 3 | −0.506 | −1.591 | 0.15 |
M1at − 1 | 0.212 | 2.097 | 0.05 | M1at − 1 | 0.282 | 2.339 | 0.05 |
M1at − 2 | −0.435 | −3.139 | 0.00 | M1at − 2 | −0.383 | −2.209 | 0.06 |
M1at − 3 | 0.281 | 2.967 | 0.00 | M1at − 3 | 0.373 | 2.056 | 0.07 |
Yat − 1 | 0.471 | 2.674 | 0.01 | Yat − 1 | 0.473 | 2.018 | 0.08 |
Yat − 2 | 0.075 | 0.520 | 0.60 | Yat − 2 | 0.023 | 0.116 | 0.91 |
Yat − 3 | −0.674 | −4.486 | 0.00 | Yat − 3 | −0.818 | −3.036 | 0.01 |
Eat − 1 | 0.109 | 0.915 | 0.37 | Eat − 1 | 0.117 | 0.779 | 0.46 |
Eat − 2 | −0.292 | −2.626 | 0.01 | Eat − 2 | −0.268 | −2.077 | 0.07 |
Eat − 3 | 0.134 | 1.198 | 0.24 | Eat − 3 | 0.180 | 1.077 | 0.31 |
Bt − 1 | 0.460 | 1.283 | 0.21 | Bt − 1 | 1.042 | 1.534 | 0.16 |
Bt − 2 | −1.340 | −2.994 | 0.00 | Bt − 2 | −1.628 | −2.441 | 0.04 |
Bt − 3 | 1.186 | 3.248 | 0.00 | Bt − 3 | 1.314 | 1.781 | 0.11 |
Dt | −0.052 | −3.652 | 0.00 | Dt | −0.047 | −2.655 | 0.03 |
R 2 = 0.87, \( {\overline{\mathrm{R}}}^2 \) = 0.75, F-statistic = 7.198 | R 2 = 0.93, \( {\overline{\mathrm{R}}}^2 \) = 0.77, F-statistic = 6.03 | ||||||
Wald test for Granger causality Dependent Variable: ia1t | Wald test for Granger causality Dependent Variable: ia2t | ||||||
Excluded | Wald test statistic (χ 2) | prob. | Excluded | Wald test statistic (χ 2) | prob. | ||
M1at | 14.83 | 0.00 | M1at | 11.10 | 0.01 | ||
Yat | 20.63 | 0.00 | Yat | 10.07 | 0.01 | ||
Eat | 9.05 | 0.02 | Eat | 6.29 | 0.09 | ||
Bt | 14.13 | 0.00 | Bt | 8.14 | 0.04 | ||
All: | 36.58 | 0.00 | All: | 25.94 | 0.01 |