﻿VAR system, lag order 4
OLS estimates, observations 1980:1-2014:4 (T = 140)
Log-likelihood = 3232.287
Determinant of covariance matrix = 6.0792605e-027
AIC = -44.6755
BIC = -42.4693
HQC = -43.7790
Portmanteau test: LB(35) = 748.793, df = 775 [0.7442]

Equation 1: d_J
Heteroskedasticity-robust standard errors, variant HC1

             coefficient   std. error   t-ratio    p-value
  --------------------------------------------------------
  const      −0.00279854   0.00218956   −1.278     0.2037 
  d_J_1       0.233764     0.137347      1.702     0.0914  *
  d_J_2      −0.420432     0.163945     −2.564     0.0116  **
  d_J_3       0.342013     0.128036      2.671     0.0086  ***
  d_J_4      −0.0158198    0.149346     −0.1059    0.9158 
  ld_M1_1    −0.0247903    0.0695661    −0.3564    0.7222 
  ld_M1_2     0.0241970    0.0621402     0.3894    0.6977 
  ld_M1_3     0.140427     0.0591192     2.375     0.0191  **
  ld_M1_4    −0.101217     0.0484845    −2.088     0.0390  **
  ld_P1_1     0.458588     0.302744      1.515     0.1325 
  ld_P1_2     0.947495     0.303519      3.122     0.0023  ***
  ld_P1_3    −0.567939     0.291417     −1.949     0.0537  *
  ld_P1_4    −0.792161     0.360044     −2.200     0.0297  **
  ld_Y_1      0.0191217    0.110048      0.1738    0.8624 
  ld_Y_2      0.0774448    0.150628      0.5141    0.6081 
  ld_Y_3     −0.171349     0.121219     −1.414     0.1601 
  ld_Y_4      0.00880779   0.108000      0.08155   0.9351 
  ld_K_1      2.98465      2.28532       1.306     0.1941 
  ld_K_2     −0.516701     4.89934      −0.1055    0.9162 
  ld_K_3     −2.87473      7.48097      −0.3843    0.7015 
  ld_K_4      0.736791     4.20450       0.1752    0.8612 

Mean dependent var  −0.000798   S.D. dependent var   0.007162
Sum squared resid    0.004196   S.E. of regression   0.005938
R-squared            0.411460   Adjusted R-squared   0.312546
F(20, 119)           1.935129   P-value(F)           0.015601
rho                  0.000889   Durbin-Watson        1.959231

F-tests of zero restrictions:

All lags of d_J             F(4, 119) =   3.3683 [0.0119]
All lags of ld_M1           F(4, 119) =   2.0698 [0.0890]
All lags of ld_P1           F(4, 119) =   3.9047 [0.0051]
All lags of ld_Y            F(4, 119) =  0.55958 [0.6924]
All lags of ld_K            F(4, 119) =  0.70481 [0.5902]
All vars, lag 4             F(5, 119) =   1.6392 [0.1549]

Equation 2: ld_M1
Heteroskedasticity-robust standard errors, variant HC1

             coefficient   std. error    t-ratio    p-value 
  ----------------------------------------------------------
  const       0.0105457     0.00573400    1.839    0.0684    *
  d_J_1      −0.886353      0.129473     −6.846    3.54e-010 ***
  d_J_2      −0.0970451     0.150606     −0.6444   0.5206   
  d_J_3      −0.319085      0.163380     −1.953    0.0532    *
  d_J_4      −0.208785      0.161078     −1.296    0.1974   
  ld_M1_1     0.362569      0.0838675     4.323    3.21e-05  ***
  ld_M1_2     0.180971      0.0804716     2.249    0.0264    **
  ld_M1_3     0.0346776     0.101172      0.3428   0.7324   
  ld_M1_4     0.0240705     0.0909400     0.2647   0.7917   
  ld_P1_1     1.58766       0.507811      3.126    0.0022    ***
  ld_P1_2     0.0718555     0.449763      0.1598   0.8733   
  ld_P1_3    −0.0982866     0.435408     −0.2257   0.8218   
  ld_P1_4    −0.821314      0.437629     −1.877    0.0630    *
  ld_Y_1      0.173576      0.172008      1.009    0.3150   
  ld_Y_2     −0.0895375     0.221501     −0.4042   0.6868   
  ld_Y_3      0.161536      0.176073      0.9174   0.3608   
  ld_Y_4      0.155426      0.159402      0.9751   0.3315   
  ld_K_1     −6.28850       3.78172      −1.663    0.0990    *
  ld_K_2      3.86928       8.04734       0.4808   0.6315   
  ld_K_3      4.31094      10.8554        0.3971   0.6920   
  ld_K_4     −3.99335       6.00399      −0.6651   0.5073   

Mean dependent var   0.014489   S.D. dependent var   0.015388
Sum squared resid    0.012030   S.E. of regression   0.010054
R-squared            0.634509   Adjusted R-squared   0.573082
F(20, 119)           13.88015   P-value(F)           1.78e-22
rho                 −0.013067   Durbin-Watson        1.988218

F-tests of zero restrictions:

All lags of d_J             F(4, 119) =   14.045 [0.0000]
All lags of ld_M1           F(4, 119) =   12.042 [0.0000]
All lags of ld_P1           F(4, 119) =   5.9889 [0.0002]
All lags of ld_Y            F(4, 119) =  0.81449 [0.5183]
All lags of ld_K            F(4, 119) =   2.1517 [0.0786]
All vars, lag 4             F(5, 119) =   1.3333 [0.2548]

Equation 3: ld_P1
Heteroskedasticity-robust standard errors, variant HC1

             coefficient    std. error    t-ratio    p-value 
  -----------------------------------------------------------
  const      −0.000662569   0.000909500   −0.7285    0.4677  
  d_J_1      −0.00536429    0.0376782     −0.1424    0.8870  
  d_J_2       0.0255122     0.0407169      0.6266    0.5321  
  d_J_3      −0.0231097     0.0328600     −0.7033    0.4833  
  d_J_4       0.0570855     0.0397489      1.436     0.1536  
  ld_M1_1    −0.00282758    0.0209858     −0.1347    0.8930  
  ld_M1_2    −0.0266483     0.0237729     −1.121     0.2646  
  ld_M1_3     0.0177180     0.0192340      0.9212    0.3588  
  ld_M1_4     0.0274658     0.0151164      1.817     0.0717   *
  ld_P1_1     0.479632      0.113914       4.210     4.98e-05 ***
  ld_P1_2     0.157250      0.102302       1.537     0.1269  
  ld_P1_3     0.216608      0.0846871      2.558     0.0118   **
  ld_P1_4     0.00727121    0.0902184      0.08060   0.9359  
  ld_Y_1      0.0442278     0.0381249      1.160     0.2483  
  ld_Y_2     −0.0262322     0.0421517     −0.6223    0.5349  
  ld_Y_3      0.0424293     0.0327342      1.296     0.1974  
  ld_Y_4     −0.0111963     0.0381791     −0.2933    0.7698  
  ld_K_1      0.500881      0.896551       0.5587    0.5774  
  ld_K_2     −0.0984689     2.04241       −0.04821   0.9616  
  ld_K_3     −1.84423       2.84152       −0.6490    0.5176  
  ld_K_4      1.57836       1.45896        1.082     0.2815  

Mean dependent var   0.006837   S.D. dependent var   0.004533
Sum squared resid    0.000469   S.E. of regression   0.001986
R-squared            0.835729   Adjusted R-squared   0.808120
F(20, 119)           27.96425   P-value(F)           1.02e-35
rho                 −0.019898   Durbin-Watson        1.989443

F-tests of zero restrictions:

All lags of d_J             F(4, 119) =  0.69481 [0.5970]
All lags of ld_M1           F(4, 119) =   1.9710 [0.1033]
All lags of ld_P1           F(4, 119) =   61.214 [0.0000]
All lags of ld_Y            F(4, 119) =   1.0061 [0.4072]
All lags of ld_K            F(4, 119) =   1.0363 [0.3915]
All vars, lag 4             F(5, 119) =   1.6072 [0.1634]

Equation 4: ld_Y
Heteroskedasticity-robust standard errors, variant HC1

             coefficient   std. error   t-ratio    p-value 
  ---------------------------------------------------------
  const       0.00108315   0.00232652    0.4656    0.6424  
  d_J_1       0.242324     0.0689841     3.513     0.0006   ***
  d_J_2      −0.422696     0.0781049    −5.412     3.28e-07 ***
  d_J_3       0.157725     0.0910142     1.733     0.0857   *
  d_J_4      −0.0881957    0.0887183    −0.9941    0.3222  
  ld_M1_1    −0.0725700    0.0415822    −1.745     0.0835   *
  ld_M1_2     0.123072     0.0487533     2.524     0.0129   **
  ld_M1_3    −0.0670836    0.0389310    −1.723     0.0875   *
  ld_M1_4     0.0544893    0.0415809     1.310     0.1926  
  ld_P1_1    −0.345208     0.237844     −1.451     0.1493  
  ld_P1_2     0.440424     0.251656      1.750     0.0827   *
  ld_P1_3    −0.0693523    0.218268     −0.3177    0.7512  
  ld_P1_4    −0.164452     0.235057     −0.6996    0.4855  
  ld_Y_1     −0.0835694    0.0916618    −0.9117    0.3638  
  ld_Y_2      0.0537145    0.117757      0.4561    0.6491  
  ld_Y_3     −0.150165     0.0850725    −1.765     0.0801   *
  ld_Y_4      0.00573518   0.0766887     0.07479   0.9405  
  ld_K_1     11.4294       1.74032       6.567     1.41e-09 ***
  ld_K_2     −9.98831      4.32469      −2.310     0.0226   **
  ld_K_3      5.19654      7.42270       0.7001    0.4852  
  ld_K_4     −5.41703      4.07135      −1.331     0.1859  

Mean dependent var   0.006528   S.D. dependent var   0.007426
Sum squared resid    0.002967   S.E. of regression   0.004993
R-squared            0.612947   Adjusted R-squared   0.547896
F(20, 119)           8.452318   P-value(F)           6.99e-15
rho                  0.007507   Durbin-Watson        1.933575

F-tests of zero restrictions:

All lags of d_J             F(4, 119) =   10.100 [0.0000]
All lags of ld_M1           F(4, 119) =   2.6064 [0.0391]
All lags of ld_P1           F(4, 119) =   1.4170 [0.2325]
All lags of ld_Y            F(4, 119) =   1.1885 [0.3195]
All lags of ld_K            F(4, 119) =   12.725 [0.0000]
All vars, lag 4             F(5, 119) =  0.84577 [0.5200]

Equation 5: ld_K
Heteroskedasticity-robust standard errors, variant HC1

             coefficient    std. error    t-ratio     p-value 
  ------------------------------------------------------------
  const       0.000135411   0.000117757    1.150     0.2525   
  d_J_1       0.00953508    0.00338241     2.819     0.0056    ***
  d_J_2      −0.00737630    0.00469045    −1.573     0.1185   
  d_J_3       0.000270300   0.00453107     0.05965   0.9525   
  d_J_4      −0.00446758    0.00415983    −1.074     0.2850   
  ld_M1_1    −0.000845415   0.00247466    −0.3416    0.7332   
  ld_M1_2     0.00265961    0.00281032     0.9464    0.3459   
  ld_M1_3    −0.00394172    0.00178315    −2.211     0.0290    **
  ld_M1_4     0.00187666    0.00171088     1.097     0.2749   
  ld_P1_1    −0.0198870     0.00960310    −2.071     0.0405    **
  ld_P1_2     0.00417526    0.00995430     0.4194    0.6756   
  ld_P1_3     0.000441808   0.00964987     0.04578   0.9636   
  ld_P1_4     0.0148650     0.0123154      1.207     0.2298   
  ld_Y_1     −0.00111353    0.00493717    −0.2255    0.8219   
  ld_Y_2      0.000528641   0.00776345     0.06809   0.9458   
  ld_Y_3      0.00720361    0.00497556     1.448     0.1503   
  ld_Y_4      0.00626706    0.00341185     1.837     0.0687    *
  ld_K_1      1.83649       0.0932880     19.69      3.09e-039 ***
  ld_K_2     −0.867049      0.145922      −5.942     2.87e-08  ***
  ld_K_3     −0.299174      0.183322      −1.632     0.1053   
  ld_K_4      0.293495      0.164258       1.787     0.0765    *

Mean dependent var   0.006192   S.D. dependent var   0.001861
Sum squared resid    6.23e-06   S.E. of regression   0.000229
R-squared            0.987060   Adjusted R-squared   0.984885
F(20, 119)           709.6211   P-value(F)           8.4e-114
rho                 −0.070020   Durbin-Watson        2.127708

F-tests of zero restrictions:

All lags of d_J             F(4, 119) =   3.5776 [0.0086]
All lags of ld_M1           F(4, 119) =   1.9335 [0.1093]
All lags of ld_P1           F(4, 119) =   1.3421 [0.2584]
All lags of ld_Y            F(4, 119) =   1.8891 [0.1168]
All lags of ld_K            F(4, 119) =   703.20 [0.0000]
All vars, lag 4             F(5, 119) =   2.5751 [0.0300]

For the system as a whole:

  Null hypothesis: the longest lag is 3
  Alternative hypothesis: the longest lag is 4
  Likelihood ratio test: Chi-square(25) = 66.4264 [0.0000]

  Comparison of information criteria:
  Lag order 4: AIC = -44.6755, BIC = -42.4693, HQC = -43.7790
  Lag order 3: AIC = -44.5582, BIC = -42.8773, HQC = -43.8751
