Full sample analysis: CATS for RATS version 2 - 12/14/2006 11:29 MODEL SUMMARY Sample: 1960:02 to 2002:01 (168 observations) Effective Sample: 1960:04 to 2002:01 (166 observations) Obs. - No. of variables: 150 System variables: LY LC LH LKP Shift-dummy series: C(1978:01) Dummy-series: DUMP7004{0} DUMP7403{0} DUMP7404{0} DUMTR8001{0} Constant/Trend: Restricted Trend Lags in VAR: 2 The unrestricted estimates: BETA(transposed) LY LC LH LKP C(1978:01) TREND Beta(1) 216.92 -164.41 -10.79 -39.23 1.71 -0.06 Beta(2) 72.25 -79.07 -6.44 -17.68 -2.54 0.15 Beta(3) 28.47 20.10 -29.95 -11.14 2.01 -0.15 Beta(4) 1.94 23.39 32.49 -17.98 1.58 -0.05 ALPHA Alpha(1) Alpha(2) Alpha(3) Alpha(4) DLY -0.00 0.00 -0.00 -0.00 (-5.77) (4.02) (-0.30) (-0.61) DLC -0.00 0.00 -0.00 -0.00 (-0.60) (2.87) (-1.20) (-1.43) DLH -0.00 0.00 0.00 -0.00 (-2.74) (2.03) (2.19) (-1.05) DLKP 0.00 0.00 0.00 0.00 (3.10) (4.17) (0.65) (0.99) PI LY LC LH LKP C(1978:01) TREND DLY -0.52 0.33 0.01 0.09 -0.01 0.00 (-4.22) (3.30) (0.56) (3.54) (-5.43) (4.56) DLC 0.02 -0.08 -0.01 0.01 -0.01 0.00 (0.17) (-1.00) (-0.49) (0.25) (-3.26) (3.18) DLH -0.12 0.10 -0.03 0.02 -0.00 0.00 (-1.68) (1.67) (-1.81) (1.38) (-1.78) (0.88) DLKP 0.91 -0.73 -0.04 -0.20 -0.00 0.00 (4.31) (-4.34) (-1.04) (-4.60) (-0.60) (1.18) Log-Likelihood = 3436.87 RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP C(1978:01) TREND Beta(1) 216.92 -164.41 -10.79 -39.23 1.71 -0.06 Beta(2) 72.25 -79.07 -6.44 -17.68 -2.54 0.15 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP C(1978:01) TREND Beta(1) 1.00 -0.76 -0.05 -0.18 0.01 -0.00 Beta(2) -0.91 1.00 0.08 0.22 0.03 -0.00 ALPHA Alpha(1) Alpha(2) DLY -0.67 -0.17 (-5.77) (-4.02) DLC -0.06 -0.10 (-0.60) (-2.84) DLH -0.19 -0.05 (-2.69) (-1.99) DLKP 0.62 -0.30 (3.09) (-4.15) PI LY LC LH LKP C(1978:01) TREND DLY -0.52 0.34 0.02 0.08 -0.01 0.00 (-4.20) (3.46) (2.89) (3.61) (-6.55) (5.95) DLC 0.03 -0.06 -0.01 -0.01 -0.00 0.00 (0.33) (-0.70) (-0.95) (-0.63) (-2.69) (2.85) DLH -0.14 0.09 0.01 0.02 -0.00 0.00 (-1.92) (1.56) (1.29) (1.64) (-3.16) (2.89) DLKP 0.89 -0.77 -0.06 -0.18 -0.00 0.00 (4.24) (-4.58) (-4.78) (-4.52) (-1.72) (2.61) Log-Likelihood = 3430.20 TEST OF RESTRICTED MODEL: CHISQR(3) = 19.84 [0.00] RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP C(1978:01) TREND Beta(1) 47.79 0.00 -37.27 -10.51 0.00 -0.13 Beta(2) 204.00 -165.18 0.00 -36.31 1.70 -0.02 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP C(1978:01) TREND Beta(1) 1.00 0.00 -0.78 -0.22 0.00 -0.00 (.NA) (.NA) (.NA) (.NA) (.NA) (-17.24) Beta(2) -1.24 1.00 0.00 0.22 -0.01 0.00 (-30.00) (.NA) (.NA) (12.83) (-3.18) (1.11) ALPHA Alpha(1) Alpha(2) DLY -0.04 0.51 (-1.55) (5.49) DLC -0.02 0.04 (-0.75) (0.52) DLH 0.02 0.15 (1.31) (2.92) DLKP 0.06 -0.46 (1.36) (-2.86) PI LY LC LH LKP C(1978:01) TREND DLY -0.67 0.51 0.03 0.12 -0.01 0.00 (-5.47) (5.49) (1.55) (5.43) (-5.49) (2.46) DLC -0.06 0.04 0.01 0.01 -0.00 0.00 (-0.65) (0.52) (0.75) (0.67) (-0.52) (0.81) DLH -0.17 0.15 -0.02 0.03 -0.00 -0.00 (-2.44) (2.92) (-1.31) (2.33) (-2.92) (-0.72) DLKP 0.63 -0.46 -0.05 -0.11 0.00 -0.00 (2.97) (-2.86) (-1.36) (-2.98) (2.86) (-1.81) Log-Likelihood = 3420.28 TEST OF RESTRICTED MODEL: CHISQR(3) = 19.8354 [0.0002] RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP C(1978:01) TREND Beta(1) 47.7867 0.0000 -37.2737 -10.5131 0.0000 -0.1311 Beta(2) 204.0047 -165.1841 0.0000 -36.3104 1.7032 -0.0248 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP C(1978:01) TREND Beta(1) 1.0000 0.0000 -0.7800 -0.2200 0.0000 -0.0027 (.NA) (.NA) (.NA) (.NA) (.NA) (-17.2432) Beta(2) -1.2350 1.0000 0.0000 0.2198 -0.0103 0.0002 (-29.9952) (.NA) (.NA) (12.8293) (-3.1824) (1.1106) ALPHA Alpha(1) Alpha(2) DLY -0.0417 0.5096 (-1.5501) (5.4855) DLC -0.0165 0.0391 (-0.7537) (0.5158) DLH 0.0197 0.1524 (1.3065) (2.9181) DLKP 0.0629 -0.4555 (1.3641) (-2.8593) PI LY LC LH LKP C(1978:01) TREND DLY -0.6710 0.5096 0.0325 0.1212 -0.0053 0.0002 (-5.4710) (5.4855) (1.5501) (5.4343) (-5.4855) (2.4601) DLC -0.0647 0.0391 0.0129 0.0122 -0.0004 0.0001 (-0.6476) (0.5158) (0.7537) (0.6721) (-0.5158) (0.8092) DLH -0.1685 0.1524 -0.0154 0.0292 -0.0016 -0.0000 (-2.4435) (2.9181) (-1.3065) (2.3258) (-2.9181) (-0.7170) DLKP 0.6254 -0.4555 -0.0490 -0.1140 0.0047 -0.0002 (2.9736) (-2.8593) (-1.3641) (-2.9800) (2.8593) (-1.8109) Log-Likelihood = 3420.2846 RESIDUAL ANALYSIS Residual S.E. and Cross-Correlations DLY DLC DLH DLKP 0.0072454 0.0059061 0.0040742 0.0124249 DLY 1.0000 DLC 0.7218 1.0000 DLH 0.5659 0.3970 1.0000 DLKP 0.2531 -0.0340 0.0796 1.0000 LOG(|Sigma|) = -41.2082 Information Criteria: SC = -39.4837 H-Q = -40.1074 Trace Correlation = 0.4343 Tests for Autocorrelation Ljung-Box(41): ChiSqr(632) = 1082.0875 [0.0000] LM(1): ChiSqr(16) = 31.3345 [0.0122] LM(2): ChiSqr(16) = 22.4011 [0.1307] Test for Normality: ChiSqr(8) = 5.8557 [0.6634] Test for ARCH: LM(1): ChiSqr(100) = 144.3628 [0.0025] LM(2): ChiSqr(200) = 281.1238 [0.0001] Univariate Statistics Mean Std.Dev Skewness Kurtosis Maximum Minimum DLY -0.0000 0.0072 0.0667 3.7326 0.0251 -0.0194 DLC -0.0000 0.0059 0.1094 3.4147 0.0159 -0.0170 DLH -0.0000 0.0041 -0.1566 2.8812 0.0101 -0.0103 DLKP 0.0000 0.0124 -0.0751 3.4126 0.0352 -0.0389 ARCH(2) Normality R-Squared DLY 1.1830 [0.5535] 5.3717 [0.0682] 0.5426 DLC 2.6691 [0.2633] 2.4929 [0.2875] 0.3100 DLH 10.3163 [0.0058] 0.7397 [0.6908] 0.7149 DLKP 9.0211 [0.0110] 2.4225 [0.2978] 0.7094 Second half of split sample analysis: MODEL SUMMARY Sample: 1981:02 to 2002:01 (84 observations) Effective Sample: 1981:04 to 2002:01 (82 observations) Obs. - No. of variables: 73 System variables: LY LC LH LKP Constant/Trend: Unrestricted Constant Lags in VAR: 2 I(2) analysis not available for the specified model. The unrestricted estimates: BETA(transposed) LY LC LH LKP Beta(1) 201.09 -165.18 -19.02 -32.32 Beta(2) -104.00 62.61 -5.29 35.12 Beta(3) -70.34 40.90 78.92 5.49 Beta(4) 26.63 0.92 -59.52 0.61 ALPHA Alpha(1) Alpha(2) Alpha(3) Alpha(4) DLY -0.00 0.00 -0.00 0.00 (-5.19) (0.98) (-1.91) (0.35) DLC 0.00 0.00 -0.00 0.00 (1.21) (2.77) (-2.51) (0.03) DLH -0.00 -0.00 -0.00 -0.00 (-4.30) (-1.78) (-2.15) (-0.28) DLKP 0.00 -0.00 -0.00 0.00 (2.79) (-3.39) (-1.00) (0.45) PI LY LC LH LKP DLY -0.56 0.47 -0.04 0.11 (-4.20) (4.64) (-0.77) (4.00) DLC 0.06 -0.06 -0.11 0.02 (0.56) (-0.71) (-2.35) (0.92) DLH -0.15 0.15 -0.02 0.02 (-2.25) (2.82) (-0.62) (1.34) DLKP 1.06 -0.76 -0.15 -0.23 (4.18) (-3.94) (-1.40) (-4.46) Log-Likelihood = 1782.37 RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP Beta(1) 201.09 -165.18 -19.02 -32.32 Beta(2) -104.00 62.61 -5.29 35.12 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP Beta(1) -1.22 1.00 0.12 0.20 Beta(2) 1.00 -0.60 0.05 -0.34 ALPHA Alpha(1) Alpha(2) DLY 0.48 -0.06 (5.08) (-0.96) DLC -0.09 -0.13 (-1.17) (-2.67) DLH 0.20 0.05 (4.18) (1.73) DLKP -0.49 0.37 (-2.77) (3.36) PI LY LC LH LKP DLY -0.64 0.51 0.05 0.11 (-4.95) (5.09) (4.63) (4.14) DLC -0.02 -0.01 -0.02 0.03 (-0.19) (-0.15) (-1.84) (1.17) DLH -0.19 0.17 0.03 0.02 (-2.92) (3.30) (4.50) (1.56) DLKP 0.97 -0.71 -0.04 -0.22 (4.01) (-3.78) (-1.77) (-4.35) Log-Likelihood = 1777.87 TEST OF RESTRICTED MODEL: CHISQR(2) = 1.44 [0.49] RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP Beta(1) -60.35 0.00 23.69 36.66 Beta(2) 178.27 -178.27 0.00 -12.74 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP Beta(1) 1.00 0.00 -0.39 -0.61 (.NA) (.NA) (-11.26) (-17.43) Beta(2) -1.00 1.00 0.00 0.07 (.NA) (.NA) (.NA) (10.41) ALPHA Alpha(1) Alpha(2) DLY -0.11 0.50 (-3.32) (4.95) DLC -0.03 -0.01 (-1.04) (-0.14) DLH -0.01 0.16 (-0.65) (3.10) DLKP 0.29 -0.75 (4.50) (-3.95) PI LY LC LH LKP DLY -0.62 0.50 0.04 0.11 (-4.68) (4.95) (3.32) (3.85) DLC -0.02 -0.01 0.01 0.02 (-0.17) (-0.14) (1.04) (0.76) DLH -0.17 0.16 0.00 0.02 (-2.55) (3.10) (0.65) (1.32) DLKP 1.04 -0.75 -0.11 -0.23 (4.21) (-3.95) (-4.50) (-4.49) Log-Likelihood = 1777.15 TEST OF RESTRICTED MODEL: CHISQR(4) = 34.12 [0.00] RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP Beta(1) 242.70 -189.81 -22.50 -45.44 Beta(2) 13.04 22.12 -26.26 -15.69 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP Beta(1) -1.28 1.00 0.12 0.24 Beta(2) -0.50 -0.84 1.00 0.60 ALPHA Alpha(1) Alpha(2) DLY 0.40 -0.02 (3.57) (-1.26) DLC 0.00 0.00 (0.00) (0.00) DLH 0.00 0.00 (0.00) (0.00) DLKP -0.85 -0.05 (-4.43) (-1.99) PI LY LC LH LKP DLY -0.50 0.41 0.03 0.08 (-3.47) (3.74) (1.40) (2.89) DLC 0.00 0.00 0.00 0.00 (0.00) (0.00) (0.00) (0.00) DLH 0.00 0.00 0.00 0.00 (0.00) (0.00) (0.00) (0.00) DLKP 1.11 -0.81 -0.15 -0.23 (4.49) (-4.26) (-4.17) (-4.62) Log-Likelihood = 1760.82 TEST OF RESTRICTED MODEL: CHISQR(2) = 5.66 [0.06] RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP Beta(1) 205.36 -167.92 -16.23 -34.25 Beta(2) -110.99 63.53 20.86 33.44 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP Beta(1) -1.22 1.00 0.10 0.20 Beta(2) -5.32 3.05 1.00 1.60 ALPHA Alpha(1) Alpha(2) DLY 0.55 -0.01 (5.95) (-1.00) DLC 0.00 0.00 (0.00) (0.00) DLH 0.22 -0.02 (4.66) (-3.31) DLKP -0.53 -0.07 (-3.00) (-3.41) PI LY LC LH LKP DLY -0.61 0.51 0.04 0.09 (-4.74) (5.19) (2.87) (3.55) DLC 0.00 0.00 0.00 0.00 (0.00) (0.00) (0.00) (0.00) DLH -0.17 0.16 0.00 0.01 (-2.53) (3.19) (0.28) (1.05) DLKP 1.05 -0.76 -0.13 -0.23 (4.22) (-3.98) (-4.50) (-4.49) Log-Likelihood = 1775.04 THE MA-REPRESENTATION AND DECOMPOSITION OF THE TREND (Restricted Model) The Coefficients of the Common Trends: RE-NORMALIZATION OF ALPHA Orthogonal: ALPHA Orthogonal (transposed) LY LC LH LKP CT(1) 0.00 -1.00 0.00 0.00 CT(2) 0.49 0.00 -0.86 0.15 ALPHA Orthogonal (transposed) LY LC LH LKP CT(1) 0.00 1.00 0.00 0.00 (.NA) (.NA) (.NA) (.NA) CT(2) -0.56 0.00 1.00 -0.17 (-4.23) (.NA) (.NA) (-1.83) The Loadings to the Common Trends, BETA_ORT(tilde): CT1 CT2 LY 1.25 -0.74 (4.64) (-1.52) LC 1.16 -0.61 (4.74) (-1.39) LH 0.91 0.88 (5.04) (2.73) LKP 1.39 -1.84 (3.51) (-2.59) The Long-Run Impact Matrix, C LY LC LH LKP LY 0.42 1.25 -0.74 0.12 (1.32) (4.64) (-1.52) (0.91) LC 0.35 1.16 -0.61 0.10 (1.21) (4.74) (-1.39) (0.84) LH -0.50 0.91 0.88 -0.15 (-2.37) (5.04) (2.73) (-1.63) LKP 1.03 1.39 -1.84 0.31 (2.24) (3.51) (-2.59) (1.55) The Linear Trends in the Levels, C*MJU LY LC LH LKP 0.01 0.01 0.00 0.01 Residual S.E. and Cross-Correlations LY LC LH LKP 0.00678818 0.00616074 0.00452668 0.00992199 LY 1.00 LC 1.00 1.00 LH 0.47 0.50 1.00 LKP 0.96 0.95 0.20 1.00 THE MA-REPRESENTATION AND DECOMPOSITION OF THE TREND (Restricted Model) The Coefficients of the Common Trends: RE-NORMALIZATION OF ALPHA Orthogonal: ALPHA Orthogonal (transposed) LY LC LH LKP CT(1) 0.0000 -1.0000 0.0000 0.0000 CT(2) 0.4854 0.0000 -0.8621 0.1456 ALPHA Orthogonal (transposed) LY LC LH LKP CT(1) 0.0000 1.0000 0.0000 0.0000 (.NA) (.NA) (.NA) (.NA) CT(2) -0.5631 0.0000 1.0000 -0.1689 (-4.2293) (.NA) (.NA) (-1.8272) The Loadings to the Common Trends, BETA_ORT(tilde): CT1 CT2 LY 1.2535 -0.7393 (4.6430) (-1.5213) LC 1.1627 -0.6149 (4.7450) (-1.3942) LH 0.9078 0.8842 (5.0420) (2.7286) LKP 1.3855 -1.8369 (3.5109) (-2.5861) The Long-Run Impact Matrix, C LY LC LH LKP LY 0.4162 1.2535 -0.7393 0.1248 (1.3206) (4.6430) (-1.5213) (0.9113) LC 0.3462 1.1627 -0.6149 0.1038 (1.2103) (4.7450) (-1.3942) (0.8351) LH -0.4979 0.9078 0.8842 -0.1493 (-2.3687) (5.0420) (2.7286) (-1.6345) LKP 1.0343 1.3855 -1.8369 0.3102 (2.2450) (3.5109) (-2.5861) (1.5491) The Linear Trends in the Levels, C*MJU LY LC LH LKP 0.0067 0.0061 0.0022 0.0093 Residual S.E. and Cross-Correlations LY LC LH LKP 0.00678818 0.00616074 0.00452668 0.00992199 LY 1.0000 LC 0.9995 1.0000 LH 0.4721 0.5003 1.0000 LKP 0.9574 0.9475 0.1972 1.0000 PARAMETERS OF THE STRUCTURAL MA-MODEL: X(t) = C(tilde)*SUM(U(i)) + C*(tilde)(L)*U(t) + Deterministics, where U(t) = [Trans(1), Trans(2); Perm(1), Perm(2)] *** Convergence of C*-polynomial in 64 steps. Structural Long-Run Impact Matrix, C(tilde) (Normalized) Trans(1) Trans(2) Perm(1) Perm(2) LY -0.0000 0.0000 1.1404 0.2267 LC -0.0000 0.0000 1.0000 -0.0000 LH -0.0000 -0.0000 0.5279 1.0000 LKP -0.0000 -0.0000 1.6738 0.8221 100*Contemporaneous impact, C*(tilde)(0) Trans(1) Trans(2) Perm(1) Perm(2) LY 0.3043 -0.0000 0.4161 -0.0500 LC 0.0151 0.2267 0.3330 0.1640 LH 0.0895 -0.1215 0.1253 0.1806 LKP -0.4721 -0.4963 0.5832 -0.3567 100*Impact After 64 Periods: Trans(1) Trans(2) Perm(1) Perm(2) LY 0.0000 0.0003 1.5323 0.1410 LC 0.0001 0.0011 1.3399 0.0002 LH -0.0001 -0.0008 0.7135 0.6216 LKP -0.0003 -0.0033 2.2656 0.5107 RE-NORMALIZATION OF B: Rotation Matrix, B: [U(t) = B*EPS(t)] EPS(1) EPS(2) EPS(3) EPS(4) Trans(1) 207.7675 -143.0569 39.3903 -74.9924 Trans(2) -4.5925 191.3493 -269.9379 -48.0047 Perm(1) 69.7942 118.7383 12.5479 51.1734 Perm(2) -154.5148 117.2421 344.0193 -30.6220 Rotation Matrix, B (Normalized) EPS(1) EPS(2) EPS(3) EPS(4) Trans(1) 1.0000 -0.6885 0.1896 -0.3609 Trans(2) 0.0170 -0.7089 1.0000 0.1778 Perm(1) 0.5878 1.0000 0.1057 0.4310 Perm(2) -0.4491 0.3408 1.0000 -0.0890 RE-NORMALIZATION OF INVERSE(B): Inverse Rotation Matrix, INV(B): [EPS(t) = INV(B)*U(t)] Trans(1) Trans(2) Perm(1) Perm(2) EPS(1) 0.0030 0.0000 0.0042 -0.0005 EPS(2) 0.0002 0.0023 0.0033 0.0016 EPS(3) 0.0009 -0.0012 0.0013 0.0018 EPS(4) -0.0047 -0.0050 0.0058 -0.0036 Inverse Rotation Matrix, INV(B) (Normalized) Trans(1) Trans(2) Perm(1) Perm(2) EPS(1) 1.0000 0.0000 1.3671 -0.1644 EPS(2) 0.0454 0.6808 1.0000 0.4926 EPS(3) 0.7144 -0.9694 1.0000 1.4412 EPS(4) 0.9512 1.0000 -1.1750 0.7186 RESIDUAL ANALYSIS Residual S.E. and Cross-Correlations DLY DLC DLH DLKP 0.00517913 0.00435277 0.00266576 0.00967786 DLY 1.0000 DLC 0.5987 1.0000 DLH 0.5095 0.3892 1.0000 DLKP 0.2330 0.0381 0.1035 1.0000 LOG(|Sigma|) = -43.3628 Information Criteria: SC = -41.6431 H-Q = -42.2052 Trace Correlation = 0.4358 Tests for Autocorrelation Ljung-Box(20): ChiSqr(296) = 436.2777 [0.0000] LM(1): ChiSqr(16) = 21.8438 [0.1483] LM(2): ChiSqr(16) = 17.3656 [0.3623] Test for Normality: ChiSqr(8) = 4.8495 [0.7735] Test for ARCH: LM(1): ChiSqr(100) = 92.8154 [0.6820] LM(2): ChiSqr(200) = 195.7432 [0.5718] Univariate Statistics Mean Std.Dev Skewness Kurtosis Maximum Minimum DLY 0.0000 0.0052 0.0761 4.5658 0.0173 -0.0176 DLC -0.0000 0.0044 -0.0758 3.3754 0.0111 -0.0140 DLH 0.0000 0.0027 0.1790 2.8403 0.0073 -0.0062 DLKP -0.0000 0.0097 -0.0719 2.5824 0.0200 -0.0241 ARCH(2) Normality R-Squared DLY 0.1981 [0.9057] 11.3532 [0.0034] 0.6129 DLC 0.3729 [0.8299] 1.8913 [0.3884] 0.2820 DLH 0.0188 [0.9906] 0.5056 [0.7766] 0.8095 DLKP 1.3875 [0.4997] 0.2541 [0.8807] 0.7609 Second period analysis with a trend in cointegration relations (the trend was insignificant and was therefore omitted in the final analysis) CATS for RATS version 2 - 12/14/2006 15:53 MODEL SUMMARY Sample: 1981:02 to 2002:01 (84 observations) Effective Sample: 1981:04 to 2002:01 (82 observations) Obs. - No. of variables: 72 System variables: LY LC LH LKP Constant/Trend: Restricted Trend Lags in VAR: 2 The unrestricted estimates: BETA(transposed) LY LC LH LKP TREND Beta(1) 202.26 -161.98 -19.91 -32.72 -0.02 Beta(2) 86.63 -81.06 2.71 -26.75 0.14 Beta(3) 47.82 18.24 20.27 -23.09 -0.24 Beta(4) 81.98 -27.01 -71.06 -11.87 -0.12 ALPHA Alpha(1) Alpha(2) Alpha(3) Alpha(4) DLY -0.00 0.00 -0.00 0.00 (-5.64) (0.53) (-3.32) (0.67) DLC 0.00 -0.00 -0.00 0.00 (1.15) (-1.58) (-3.16) (1.68) DLH -0.00 0.00 0.00 0.00 (-4.33) (1.73) (0.17) (2.15) DLKP 0.00 0.00 -0.00 -0.00 (2.71) (4.95) (-1.44) (-0.15) PI LY LC LH LKP TREND DLY -0.64 0.42 -0.00 0.13 0.00 (-5.00) (4.30) (-0.01) (4.82) (2.98) DLC 0.04 -0.07 -0.10 0.03 0.00 (0.35) (-0.88) (-2.75) (1.16) (1.04) DLH -0.16 0.15 -0.02 0.02 0.00 (-2.26) (2.75) (-0.76) (1.33) (0.14) DLKP 0.89 -0.86 -0.06 -0.19 0.00 (3.74) (-4.69) (-0.77) (-3.76) (3.35) Log-Likelihood = 1791.33 RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP TREND Beta(1) 202.26 -161.98 -19.91 -32.72 -0.02 Beta(2) 86.63 -81.06 2.71 -26.75 0.14 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP TREND Beta(1) 1.00 -0.80 -0.10 -0.16 -0.00 Beta(2) -1.07 1.00 -0.03 0.33 -0.00 ALPHA Alpha(1) Alpha(2) DLY -0.61 -0.02 (-5.28) (-0.50) DLC 0.11 0.06 (1.07) (1.47) DLH -0.25 -0.04 (-4.21) (-1.68) DLKP 0.55 -0.40 (2.68) (-4.89) PI LY LC LH LKP TREND DLY -0.58 0.46 0.06 0.09 0.00 (-4.66) (4.50) (5.30) (3.77) (1.21) DLC 0.04 -0.03 -0.01 0.00 -0.00 (0.41) (-0.30) (-1.26) (0.10) (-1.60) DLH -0.21 0.16 0.03 0.03 0.00 (-3.21) (3.02) (4.40) (2.20) (2.24) DLKP 0.98 -0.84 -0.04 -0.22 0.00 (4.39) (-4.59) (-2.00) (-5.17) (4.48) Log-Likelihood = 1778.96 TEST OF RESTRICTED MODEL: CHISQR(3) = 3.56 [0.31] RE-NORMALIZATION OF THE EIGENVECTORS: THE EIGENVECTOR(s)(transposed) LY LC LH LKP TREND Beta(1) 62.40 0.00 -24.41 -37.99 0.00 Beta(2) 177.29 -177.29 0.00 -11.56 -0.01 THE MATRICES BASED ON 2 COINTEGRATING VECTORS: BETA(transposed) LY LC LH LKP TREND Beta(1) 1.00 0.00 -0.39 -0.61 0.00 (.NA) (.NA) (-11.14) (-17.34) (.NA) Beta(2) -1.00 1.00 0.00 0.07 0.00 (.NA) (.NA) (.NA) (6.14) (0.72) ALPHA Alpha(1) Alpha(2) DLY -0.12 0.51 (-3.49) (5.05) DLC -0.03 -0.01 (-1.02) (-0.11) DLH -0.01 0.16 (-0.75) (3.09) DLKP 0.29 -0.73 (4.41) (-3.84) PI LY LC LH LKP TREND DLY -0.63 0.51 0.05 0.11 0.00 (-4.78) (5.05) (3.49) (3.95) (5.05) DLC -0.02 -0.01 0.01 0.02 -0.00 (-0.19) (-0.11) (1.02) (0.78) (-0.11) DLH -0.17 0.16 0.01 0.02 0.00 (-2.55) (3.09) (0.75) (1.33) (3.09) DLKP 1.02 -0.73 -0.11 -0.23 -0.00 (4.10) (-3.84) (-4.41) (-4.39) (-3.84) Log-Likelihood = 1777.17