Targeted dependent variable ia1t (of Estimation 3) | Targeted dependent variable ia2t (of Estimation 4) | ||||||
---|---|---|---|---|---|---|---|
Parameters | Estimates | t-values | Prob. | Parameters | Estimates | t-values | Prob. |
α1 | 0.152 | 3.377 | 0.00 | α1 | 0.176 | 2.858 | 0.02 |
ia1t − 1 | 0.992 | 5.397 | 0.00 | ia2t − 1 | 1.206 | 5.295 | 0.00 |
ia1t − 2 | −0.550 | −2.119 | 0.05 | ia2t − 2 | −0.722 | −2.105 | 0.07 |
ia1t − 3 | −0.205 | −1.008 | 0.32 | ia2t − 3 | −0.257 | −0.905 | 0.39 |
M2at − 1 | 0.263 | 2.528 | 0.02 | M2at − 1 | 0.290 | 2.458 | 0.04 |
M2at − 2 | −0.231 | −1.837 | 0.08 | M2at − 2 | −0.280 | −1.991 | 0.08 |
M2at − 3 | 0.189 | 1.341 | 0.19 | M2at − 3 | 0.311 | 1.876 | 0.10 |
Yat − 1 | 0.131 | 0.766 | 0.45 | Yat − 1 | 0.139 | 0.664 | 0.52 |
Yat − 2 | −0.128 | −0.865 | 0.39 | Yat − 2 | −0.202 | −1.195 | 0.27 |
Yat − 3 | −0.397 | −2.832 | 0.01 | Yat − 3 | −0.568 | −3.086 | 0.01 |
Eat − 1 | 0.087 | 0.776 | 0.44 | Eat − 1 | 0.059 | 0.417 | 0.68 |
Eat − 2 | −0.171 | −1.639 | 0.12 | Eat − 2 | −0.205 | −1.754 | 0.12 |
Eat − 3 | 0.007 | 0.078 | 0.93 | Eat − 3 | −0.003 | −0.002 | 0.99 |
Bt − 1 | 0.160 | 0.479 | 0.63 | Bt − 1 | 0.454 | 0.810 | 0.44 |
Bt − 2 | −0.530 | −1.718 | 0.10 | Bt − 2 | −1.069 | −2.448 | 0.04 |
Bt − 3 | 0.600 | 2.279 | 0.03 | Bt − 3 | 0.915 | 1.790 | 0.11 |
Dt | −0.039 | −3.329 | 0.00 | Dt | −0.037 | −2.312 | 0.05 |
R2 = 0.875, \( {\overline{\mathrm{R}}}^2 \) = 0.75, F-statistic = 7.02 | R2 = 0.94, \( {\overline{\mathrm{R}}}^2 \) = 0.80, F-statistic = 6.92 | ||||||
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. | ||
M2at | 14.18 | 0.00 | M2at | 13.57 | 0.00 | ||
Yat | 8.08 | 0.04 | Yt | 9.87 | 0.01 | ||
Eat | 3.43 | 0.32 | Et | 3.57 | 0.31 | ||
Bt | 7.48 | 0.05 | Bt | 7.29 | 0.06 | ||
All: | 35.46 | 0.00 | All: | 30.42 | 0.00 |