------------------------------------------------------------------------------------------ . * Osa 1, sobiva viitaegade arvu määramine . varsoc X Y Z V, maxlag(5) Lag-order selection criteria Sample: 6 thru 1000 Number of obs = 995 +---------------------------------------------------------------------------+ | Lag | LL LR df p FPE AIC HQIC SBIC | |-----+---------------------------------------------------------------------| | 0 | -14456.9 4.9e+07 29.0671 29.0746 29.0868 | | 1 | -5652.94 17608* 16 0.000 1.05273* 11.4029* 11.4404* 11.5014* | | 2 | -5644.18 17.509 16 0.353 1.06817 11.4175 11.4849 11.5948 | | 3 | -5638.39 11.584 16 0.772 1.09032 11.438 11.5354 11.6942 | | 4 | -5630.45 15.879 16 0.461 1.10814 11.4542 11.5816 11.7892 | | 5 | -5618.75 23.411 16 0.103 1.11776 11.4628 11.6202 11.8767 | +---------------------------------------------------------------------------+ * optimal lag Endogenous: X Y Z V Exogenous: _cons . *Osa 2 Johanseni kointegratsiooni test . vecrank X Y Z V, trend(constant) lags(1) max Johansen tests for cointegration Trend: Constant Number of obs = 999 Sample: 2 thru 1000 Number of lags = 1 -------------------------------------------------------------- Critical Maximum Trace value rank Params LL Eigenvalue statistic 5% 0 4 -6379.7398 . 1413.4177 47.21 1 11 -6016.4136 0.51683 686.7653 29.68 2 16 -5677.9078 0.49221 9.7537* 15.41 3 19 -5673.3585 0.00907 0.6552 3.76 4 20 -5673.0309 0.00066 -------------------------------------------------------------- Critical Maximum ------Eigenvalue----- value rank Params LL Maximum 5% 0 4 -6379.7398 . 726.6524 27.07 1 11 -6016.4136 0.51683 677.0116 20.97 2 16 -5677.9078 0.49221 9.0986 14.07 3 19 -5673.3585 0.00907 0.6552 3.76 4 20 -5673.0309 0.00066 -------------------------------------------------------------- * selected rank . * Osa 3a) . vec X Y Z V, trend(constant) rank(2) lags(1) Vector error-correction model Sample: 2 thru 1000 Number of obs = 999 AIC = 11.39921 Log likelihood = -5677.908 HQIC = 11.42908 Det(Sigma_ml) = 1.015798 SBIC = 11.4778 Equation Parms RMSE R-sq chi2 P>chi2 ---------------------------------------------------------------- D_X 3 1.03118 0.4856 939.2079 0.0000 D_Y 3 2.33466 0.4856 939.3215 0.0000 D_Z 3 3.22892 0.4940 971.3328 0.0000 D_V 3 .999163 0.7975 3917.667 0.0000 ---------------------------------------------------------------- ------------------------------------------------------------------------------ | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_X | _ce1 | L1. | .1398528 .1192281 1.17 0.241 -.0938301 .3735356 | _ce2 | L1. | -.0533783 .0334036 -1.60 0.110 -.118848 .0120915 | _cons | .8707769 .1103779 7.89 0.000 .6544403 1.087114 -------------+---------------------------------------------------------------- D_Y | _ce1 | L1. | 2.119933 .2699404 7.85 0.000 1.590859 2.649006 | _ce2 | L1. | -1.093043 .0756279 -14.45 0.000 -1.241271 -.9448152 | _cons | .0115406 .2499028 0.05 0.963 -.47826 .5013411 -------------+---------------------------------------------------------------- D_Z | _ce1 | L1. | 3.527464 .3733371 9.45 0.000 2.795737 4.259191 | _ce2 | L1. | -.1770937 .104596 -1.69 0.090 -.3820981 .0279107 | _cons | -.0600401 .3456244 -0.17 0.862 -.7374515 .6173713 -------------+---------------------------------------------------------------- D_V | _ce1 | L1. | .0335405 .1155262 0.29 0.772 -.1928866 .2599676 | _ce2 | L1. | .0247994 .0323664 0.77 0.444 -.0386375 .0882364 | _cons | 1.954165 .1069507 18.27 0.000 1.744546 2.163785 ------------------------------------------------------------------------------ Cointegrating equations Equation Parms chi2 P>chi2 ------------------------------------------- _ce1 2 7.66e+08 0.0000 _ce2 2 2.36e+08 0.0000 ------------------------------------------- Identification: beta is exactly identified Johansen normalization restrictions imposed ------------------------------------------------------------------------------ beta | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- _ce1 | X | 1 . . . . . Y | 0 (omitted) Z | -.3332955 .0002766 -1204.97 0.000 -.3338376 -.3327534 V | -.0000422 .0004165 -0.10 0.919 -.0008586 .0007742 _cons | 2.509819 . . . . . -------------+---------------------------------------------------------------- _ce2 | X | 0 (omitted) Y | 1 . . . . . Z | -.6664558 .0009963 -668.94 0.000 -.6684085 -.6645031 V | -.0002862 .0015003 -0.19 0.849 -.0032268 .0026544 _cons | -6.807514 . . . . . ------------------------------------------------------------------------------ . * Osa 3b), kitsendusega VECM mudel . constraint define 1 V . . vec X Y Z V, trend(constant) rank(2) lags(1) bconstraints(1) Iteration 1: log likelihood = -5677.9259 Iteration 2: log likelihood = -5677.9259 Iteration 3: log likelihood = -5677.9259 Iteration 4: log likelihood = -5677.9259 Vector error-correction model Sample: 2 thru 1000 Number of obs = 999 AIC = 11.39525 Log likelihood = -5677.926 HQIC = 11.42138 Det(Sigma_ml) = 1.015835 SBIC = 11.46401 Impact parameters Equation Parms chi2 P>chi2 ------------------------------------------- D_X 2 2.622703 0.2695 D_Y 2 209.2905 0.0000 D_Z 2 111.3044 0.0000 D_V 2 1.401468 0.4962 ------------------------------------------- ------------------------------------------------------------------------------ Pi | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_X | X | L1. | .1397943 .1191708 1.17 0.241 -.0937761 .3733648 | Y | L1. | -.0531035 .033387 -1.59 0.112 -.1185408 .0123338 | Z | L1. | -.0111955 .0323225 -0.35 0.729 -.0745464 .0521554 | V | L1. | 0 (omitted) -------------+---------------------------------------------------------------- D_Y | X | L1. | 2.120256 .2698373 7.86 0.000 1.591385 2.649128 | Y | L1. | -1.092478 .0755979 -14.45 0.000 -1.240647 -.9443088 | Z | L1. | .0215645 .0731875 0.29 0.768 -.1218803 .1650093 | V | L1. | 0 (omitted) -------------+---------------------------------------------------------------- D_Z | X | L1. | 3.527019 .3731395 9.45 0.000 2.79568 4.258359 | Y | L1. | -.1762868 .1045391 -1.69 0.092 -.3811797 .0286062 | Z | L1. | -1.058118 .1012059 -10.46 0.000 -1.256478 -.8597576 | V | L1. | 0 (omitted) -------------+---------------------------------------------------------------- D_V | X | L1. | .0335406 .1154696 0.29 0.771 -.1927756 .2598568 | Y | L1. | .024734 .0323501 0.76 0.445 -.038671 .0881389 | Z | L1. | -.0276687 .0313186 -0.88 0.377 -.089052 .0337147 | V | L1. | 0 (omitted) ------------------------------------------------------------------------------ Identification: beta is underidentified LR test of identifying restrictions: chi2(2) = .03632 Prob > chi2 = 0.982 . * Osa 3c), kolm aegrida, järjekord muudetud, kuvatakse ka kohanemisparameetrid . vec Y Z X, trend(constant) rank(2) lags(1) alpha Vector error-correction model Sample: 2 thru 1000 Number of obs = 999 AIC = 8.559404 Log likelihood = -4264.422 HQIC = 8.57994 Det(Sigma_ml) = 1.024035 SBIC = 8.613433 Equation Parms RMSE R-sq chi2 P>chi2 ---------------------------------------------------------------- D_Y 3 2.33477 0.4856 940.0923 0.0000 D_Z 3 3.2289 0.4940 972.3313 0.0000 D_X 3 1.03119 0.4856 940.1325 0.0000 ---------------------------------------------------------------- ------------------------------------------------------------------------------ | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_Y | _ce1 | L1. | -1.092815 .0755933 -14.46 0.000 -1.240975 -.9446547 | _ce2 | L1. | .0218203 .073183 0.30 0.766 -.1216157 .1652562 | _cons | -.0407507 .248827 -0.16 0.870 -.5284426 .4469412 -------------+---------------------------------------------------------------- D_Z | _ce1 | L1. | -.1767657 .104543 -1.69 0.091 -.3816662 .0281348 | _ce2 | L1. | -1.057757 .1012095 -10.45 0.000 -1.256124 -.8593904 | _cons | -.0099368 .3441191 -0.03 0.977 -.6843979 .6645243 -------------+---------------------------------------------------------------- D_X | _ce1 | L1. | -.0532673 .033387 -1.60 0.111 -.1187046 .01217 | _ce2 | L1. | -.0110719 .0323224 -0.34 0.732 -.0744227 .0522788 | _cons | .8690032 .1098983 7.91 0.000 .6536064 1.0844 ------------------------------------------------------------------------------ Cointegrating equations Equation Parms chi2 P>chi2 ------------------------------------------- _ce1 1 3.37e+08 0.0000 _ce2 1 7.64e+08 0.0000 ------------------------------------------- Identification: beta is exactly identified Johansen normalization restrictions imposed ------------------------------------------------------------------------------ beta | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- _ce1 | Y | 1 . . . . . Z | 0 (omitted) X | -1.999989 .000109 -1.8e+04 0.000 -2.000203 -1.999776 _cons | -11.8684 . . . . . -------------+---------------------------------------------------------------- _ce2 | Y | 5.55e-17 . . . . . Z | 1 . . . . . X | -3.000094 .0001085 -2.8e+04 0.000 -3.000307 -2.999882 _cons | -7.477712 . . . . . ------------------------------------------------------------------------------ Adjustment parameters Equation Parms chi2 P>chi2 ------------------------------------------- D_Y 2 209.4492 0.0000 D_Z 2 111.2356 0.0000 D_X 2 2.635955 0.2677 ------------------------------------------- ------------------------------------------------------------------------------ alpha | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_Y | _ce1 | L1. | -1.092815 .0755933 -14.46 0.000 -1.240975 -.9446547 | _ce2 | L1. | .0218203 .073183 0.30 0.766 -.1216157 .1652562 -------------+---------------------------------------------------------------- D_Z | _ce1 | L1. | -.1767657 .104543 -1.69 0.091 -.3816662 .0281348 | _ce2 | L1. | -1.057757 .1012095 -10.45 0.000 -1.256124 -.8593904 -------------+---------------------------------------------------------------- D_X | _ce1 | L1. | -.0532673 .033387 -1.60 0.111 -.1187046 .01217 | _ce2 | L1. | -.0110719 .0323224 -0.34 0.732 -.0744227 .0522788 ------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------