--------------------------------------------------------------------------------- . gen kuud =mofd(daten) . tsset kuud, monthly Time variable: kuud, 2000m1 to 2025m1 Delta: 1 month . order kuud, first . drop datestr . drop daten . twoway (tsline GS3M) (tsline GS6M) (tsline GS1) (tsline GS3) (tsline GS5) (tsli > ne GS10), legend(position(6)) . * osa 7 optimaalse viitaegade arvu määramine . varsoc GS3M GS6M GS1 GS3 GS5 GS10, maxlag(12) Lag-order selection criteria Sample: 2001m1 thru 2025m1 Number of obs = 289 +---------------------------------------------------------------------------+ | Lag | LL LR df p FPE AIC HQIC SBIC | |-----+---------------------------------------------------------------------| | 0 | 209.174 9.9e-09 -1.40605 -1.37555 -1.32993 | | 1 | 2155.87 3893.4 36 0.000 1.8e-14 -14.6289 -14.4153 -14.096* | | 2 | 2249.67 187.6 36 0.000 1.2e-14 -15.0289 -14.6324* -14.0393 | | 3 | 2291.8 84.263 36 0.000 1.1e-14* -15.0713 -14.4918 -13.625 | | 4 | 2326.58 69.563 36 0.001 1.2e-14 -15.0629 -14.3003 -13.1599 | | 5 | 2356.88 60.585 36 0.006 1.2e-14 -15.0234 -14.0778 -12.6637 | | 6 | 2390.93 68.115 36 0.001 1.2e-14 -15.0099 -13.8814 -12.1935 | | 7 | 2426.06 70.249 36 0.001 1.2e-14 -15.0039 -13.6923 -11.7307 | | 8 | 2469.95 87.792 36 0.000 1.2e-14 -15.0585 -13.564 -11.3286 | | 9 | 2498.48 57.06 36 0.014 1.3e-14 -15.0068 -13.3293 -10.8202 | | 10 | 2547.36 97.751 36 0.000 1.2e-14 -15.0959* -13.2354 -10.4526 | | 11 | 2574.02 53.312 36 0.032 1.3e-14 -15.0312 -12.9877 -9.93124 | | 12 | 2600.75 53.474* 36 0.031 1.4e-14 -14.9671 -12.7406 -9.41042 | +---------------------------------------------------------------------------+ * optimal lag Endogenous: GS3M GS6M GS1 GS3 GS5 GS10 Exogenous: _cons . vecrank GS3M GS6M GS1 GS3 GS5 GS10, trend(rconstant) lags(12) max Johansen tests for cointegration Trend: Restricted constant Number of obs = 289 Sample: 2001m1 thru 2025m1 Number of lags = 12 -------------------------------------------------------------------------- Critical Maximum Trace value rank Params LL Eigenvalue statistic 5% 0 396 2546.9909 . 107.5231 102.14 1 408 2567.3671 0.13152 66.7707* 76.07 2 418 2581.1567 0.09102 39.1915 53.12 3 426 2590.8972 0.06519 19.7105 34.91 4 432 2596.2605 0.03644 8.9840 19.96 5 436 2599.6556 0.02322 2.1937 9.42 6 438 2600.7524 0.00756 -------------------------------------------------------------------------- Critical Maximum ------Eigenvalue----- value rank Params LL Maximum 5% 0 396 2546.9909 . 40.7525 40.30 1 408 2567.3671 0.13152 27.5791 34.40 2 418 2581.1567 0.09102 19.4811 28.14 3 426 2590.8972 0.06519 10.7265 22.00 4 432 2596.2605 0.03644 6.7903 15.67 5 436 2599.6556 0.02322 2.1937 9.24 6 438 2600.7524 0.00756 -------------------------------------------------------------------------- * selected rank . * osa 9 VECM mudeli hindamine . vec GS3M GS6M GS1 GS3 GS5 GS10, trend(rconstant) lags(12) Vector error-correction model Sample: 2001m1 thru 2025m1 Number of obs = 289 AIC = -14.94372 Log likelihood = 2567.367 HQIC = -12.86967 Det(Sigma_ml) = 7.74e-16 SBIC = -9.767585 Equation Parms RMSE R-sq chi2 P>chi2 ---------------------------------------------------------------- D_GS3M 67 .142261 0.6091 344.3354 0.0000 D_GS6M 67 .140577 0.5951 324.8177 0.0000 D_GS1 67 .149846 0.5435 263.1064 0.0000 D_GS3 67 .193625 0.4016 148.3255 0.0000 D_GS5 67 .203622 0.3696 129.5681 0.0000 D_GS10 67 .19253 0.3885 140.4274 0.0000 ---------------------------------------------------------------- ------------------------------------------------------------------------------ | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_GS3M | _ce1 | L1. | -.1160824 .0420748 -2.76 0.006 -.1985475 -.0336173 | GS3M | LD. | -.2372929 .2090327 -1.14 0.256 -.6469895 .1724037 L2D. | -.4890805 .2103313 -2.33 0.020 -.9013222 -.0768388 L3D. | .4682819 .219526 2.13 0.033 .0380187 .898545 L4D. | -.132926 .2150667 -0.62 0.537 -.554449 .288597 L5D. | .2426007 .2209454 1.10 0.272 -.1904443 .6756456 L6D. | -.1978904 .2134449 -0.93 0.354 -.6162347 .220454 L7D. | .2953852 .213992 1.38 0.167 -.1240314 .7148018 L8D. | -.304905 .2003962 -1.52 0.128 -.6976743 .0878643 L9D. | .0994073 .2033889 0.49 0.625 -.2992276 .4980423 L10D. | -.354246 .2062121 -1.72 0.086 -.7584144 .0499223 L11D. | .5672591 .2063466 2.75 0.006 .1628271 .9716911 | GS6M | LD. | .52038 .4077633 1.28 0.202 -.2788213 1.319581 L2D. | 1.041997 .4105821 2.54 0.011 .2372708 1.846723 L3D. | -.8670398 .4213427 -2.06 0.040 -1.692856 -.0412232 L4D. | -.1364172 .4289645 -0.32 0.750 -.9771722 .7043378 L5D. | -.9185516 .4451683 -2.06 0.039 -1.791066 -.0460377 L6D. | .2414143 .4328759 0.56 0.577 -.6070069 1.089836 L7D. | -.4325091 .4463987 -0.97 0.333 -1.307434 .4424162 L8D. | .1156437 .3862202 0.30 0.765 -.641334 .8726215 L9D. | -.6570453 .385867 -1.70 0.089 -1.413331 .0992401 L10D. | .4441705 .3876662 1.15 0.252 -.3156412 1.203982 L11D. | -1.001149 .3834273 -2.61 0.009 -1.752652 -.2496449 | GS1 | LD. | .0222748 .3531011 0.06 0.950 -.6697905 .7143402 L2D. | -.9068642 .3477167 -2.61 0.009 -1.588376 -.225352 L3D. | .7180788 .3469897 2.07 0.039 .0379916 1.398166 L4D. | .4867267 .365811 1.33 0.183 -.2302496 1.203703 L5D. | 1.11292 .3742775 2.97 0.003 .3793493 1.84649 L6D. | -.0686309 .3754953 -0.18 0.855 -.8045882 .6673263 L7D. | .4482997 .3880524 1.16 0.248 -.3122691 1.208869 L8D. | .375425 .3363046 1.12 0.264 -.2837198 1.03457 L9D. | .8236814 .336264 2.45 0.014 .1646161 1.482747 L10D. | -.1763109 .3345037 -0.53 0.598 -.8319261 .4793043 L11D. | .6342036 .3189567 1.99 0.047 .00906 1.259347 | GS3 | LD. | .3301173 .3523054 0.94 0.349 -.3603885 1.020623 L2D. | .4499134 .3500027 1.29 0.199 -.2360794 1.135906 L3D. | -.2540758 .3461404 -0.73 0.463 -.9324986 .4243469 L4D. | -.4163649 .3470233 -1.20 0.230 -1.096518 .2637883 L5D. | -.6067233 .3452128 -1.76 0.079 -1.283328 .0698814 L6D. | .0477867 .3517305 0.14 0.892 -.6415925 .7371658 L7D. | -.2159036 .3465961 -0.62 0.533 -.8952195 .4634122 L8D. | -.4049647 .3440461 -1.18 0.239 -1.079283 .2693532 L9D. | -.2086269 .341532 -0.61 0.541 -.8780174 .4607635 L10D. | .2501892 .3303873 0.76 0.449 -.397358 .8977365 L11D. | -.1850742 .319743 -0.58 0.563 -.811759 .4416105 | GS5 | LD. | -.2010336 .4098345 -0.49 0.624 -1.004294 .6022272 L2D. | -.076327 .4082511 -0.19 0.852 -.8764846 .7238305 L3D. | -.0592802 .4056765 -0.15 0.884 -.8543917 .7358312 L4D. | .344401 .4037326 0.85 0.394 -.4469003 1.135702 L5D. | .3409704 .4051076 0.84 0.400 -.4530258 1.134967 L6D. | -.1263406 .4056699 -0.31 0.755 -.921439 .6687579 L7D. | .094061 .4013398 0.23 0.815 -.6925505 .8806725 L8D. | .3112312 .4091434 0.76 0.447 -.4906752 1.113138 L9D. | .0162603 .4097129 0.04 0.968 -.7867622 .8192828 L10D. | -.5260663 .4063511 -1.29 0.195 -1.3225 .2703672 L11D. | .0225477 .4024073 0.06 0.955 -.766156 .8112514 | GS10 | LD. | -.0230994 .2166047 -0.11 0.915 -.4476367 .401438 L2D. | -.1466666 .2176757 -0.67 0.500 -.5733031 .2799699 L3D. | .2404086 .2160522 1.11 0.266 -.1830459 .6638631 L4D. | -.0980248 .2126072 -0.46 0.645 -.5147273 .3186777 L5D. | -.117294 .2096633 -0.56 0.576 -.5282265 .2936384 L6D. | .0871928 .2075367 0.42 0.674 -.3195718 .4939573 L7D. | .0666813 .2078699 0.32 0.748 -.3407361 .4740988 L8D. | -.0984343 .2128801 -0.46 0.644 -.5156716 .318803 L9D. | .0738957 .2137529 0.35 0.730 -.3450524 .4928437 L10D. | .2960103 .2138258 1.38 0.166 -.1230805 .7151011 L11D. | .0535449 .2070694 0.26 0.796 -.3523036 .4593935 -------------+---------------------------------------------------------------- D_GS6M | _ce1 | L1. | -.1005717 .0415766 -2.42 0.016 -.1820604 -.019083 | GS3M | LD. | -.0709788 .2065578 -0.34 0.731 -.4758246 .3338669 L2D. | -.2291122 .2078409 -1.10 0.270 -.636473 .1782485 L3D. | .4216192 .2169269 1.94 0.052 -.0035497 .846788 L4D. | .1518032 .2125203 0.71 0.475 -.2647289 .5683354 L5D. | .4342422 .2183294 1.99 0.047 .0063244 .8621599 L6D. | -.0856173 .2109177 -0.41 0.685 -.4990084 .3277739 L7D. | .1664647 .2114583 0.79 0.431 -.247986 .5809154 L8D. | -.0832141 .1980235 -0.42 0.674 -.471333 .3049047 L9D. | .2107399 .2009808 1.05 0.294 -.1831752 .604655 L10D. | -.2392991 .2037706 -1.17 0.240 -.638682 .1600838 L11D. | .3126345 .2039035 1.53 0.125 -.087009 .712278 | GS6M | LD. | .1158764 .4029354 0.29 0.774 -.6738624 .9056152 L2D. | .6201163 .4057208 1.53 0.126 -.1750819 1.415314 L3D. | -.8279769 .416354 -1.99 0.047 -1.644016 -.011938 L4D. | -.5387248 .4238856 -1.27 0.204 -1.369525 .2920756 L5D. | -1.212584 .4398975 -2.76 0.006 -2.074767 -.3504008 L6D. | -.2277771 .4277507 -0.53 0.594 -1.066153 .6105988 L7D. | -.3289098 .4411133 -0.75 0.456 -1.193476 .5356563 L8D. | -.3016828 .3816474 -0.79 0.429 -1.049698 .4463323 L9D. | -.7827726 .3812983 -2.05 0.040 -1.530104 -.0354417 L10D. | .1023847 .3830762 0.27 0.789 -.6484309 .8532002 L11D. | -.5748032 .3788875 -1.52 0.129 -1.317409 .1678026 | GS1 | LD. | .2991128 .3489203 0.86 0.391 -.3847586 .9829841 L2D. | -.7351612 .3435997 -2.14 0.032 -1.408604 -.0617181 L3D. | .6844895 .3428813 2.00 0.046 .0124546 1.356525 L4D. | .5365791 .3614798 1.48 0.138 -.1719083 1.245066 L5D. | 1.287602 .369846 3.48 0.000 .5627175 2.012487 L6D. | .2952987 .3710494 0.80 0.426 -.4319448 1.022542 L7D. | .4080996 .3834579 1.06 0.287 -.343464 1.159663 L8D. | .629342 .3323227 1.89 0.058 -.0219985 1.280683 L9D. | .8080651 .3322826 2.43 0.015 .1568031 1.459327 L10D. | .1186942 .3305431 0.36 0.720 -.5291585 .7665468 L11D. | .3877345 .3151802 1.23 0.219 -.2300073 1.005476 | GS3 | LD. | .1444935 .3481341 0.42 0.678 -.5378367 .8268238 L2D. | .5311231 .3458587 1.54 0.125 -.1467475 1.208994 L3D. | -.272521 .3420421 -0.80 0.426 -.9429112 .3978693 L4D. | -.1404498 .3429145 -0.41 0.682 -.81255 .5316503 L5D. | -.9485921 .3411255 -2.78 0.005 -1.617186 -.2799984 L6D. | .0155666 .347566 0.04 0.964 -.6656502 .6967835 L7D. | -.1310895 .3424924 -0.38 0.702 -.8023623 .5401832 L8D. | -.4587354 .3399725 -1.35 0.177 -1.125069 .2075986 L9D. | -.1498372 .3374883 -0.44 0.657 -.811302 .5116277 L10D. | .0009997 .3264755 0.00 0.998 -.6388806 .64088 L11D. | .0096046 .3159572 0.03 0.976 -.6096602 .6288694 | GS5 | LD. | .0086912 .404982 0.02 0.983 -.7850589 .8024413 L2D. | -.1056379 .4034174 -0.26 0.793 -.8963215 .6850457 L3D. | .0455923 .4008733 0.11 0.909 -.740105 .8312896 L4D. | .1375488 .3989524 0.34 0.730 -.6443835 .9194811 L5D. | .7364811 .4003111 1.84 0.066 -.0481143 1.521076 L6D. | .0293221 .4008668 0.07 0.942 -.7563623 .8150066 L7D. | .0044892 .3965879 0.01 0.991 -.7728088 .7817872 L8D. | .3300273 .4042992 0.82 0.414 -.4623845 1.122439 L9D. | .0507613 .4048619 0.13 0.900 -.7427534 .844276 L10D. | -.1751083 .4015399 -0.44 0.663 -.962112 .6118954 L11D. | -.2250788 .3976428 -0.57 0.571 -1.004444 .5542867 | GS10 | LD. | -.072948 .2140401 -0.34 0.733 -.4924588 .3465629 L2D. | -.1896231 .2150984 -0.88 0.378 -.6112082 .231962 L3D. | .1481622 .2134941 0.69 0.488 -.2702786 .5666031 L4D. | -.1075307 .21009 -0.51 0.609 -.5192995 .304238 L5D. | -.2286397 .2071808 -1.10 0.270 -.6347067 .1774273 L6D. | -.0709632 .2050795 -0.35 0.729 -.4729116 .3309852 L7D. | .0693324 .2054087 0.34 0.736 -.3332612 .471926 L8D. | -.105466 .2103596 -0.50 0.616 -.5177632 .3068312 L9D. | .0562255 .2112221 0.27 0.790 -.3577622 .4702132 L10D. | .1003112 .2112941 0.47 0.635 -.3138176 .51444 L11D. | .1757178 .2046177 0.86 0.390 -.2253255 .5767611 -------------+---------------------------------------------------------------- D_GS1 | _ce1 | L1. | -.0903362 .0443179 -2.04 0.042 -.1771978 -.0034746 | GS3M | LD. | -.0420271 .220177 -0.19 0.849 -.473566 .3895118 L2D. | -.2885344 .2215447 -1.30 0.193 -.7227541 .1456852 L3D. | .4365082 .2312297 1.89 0.059 -.0166938 .8897101 L4D. | .1634661 .2265326 0.72 0.471 -.2805297 .6074619 L5D. | .6307803 .2327247 2.71 0.007 .1746483 1.086912 L6D. | -.0904213 .2248244 -0.40 0.688 -.531069 .3502264 L7D. | .1662274 .2254006 0.74 0.461 -.2755497 .6080045 L8D. | -.0788443 .21108 -0.37 0.709 -.4925535 .3348648 L9D. | .2979922 .2142322 1.39 0.164 -.1218952 .7178797 L10D. | -.2109536 .217206 -0.97 0.331 -.6366695 .2147622 L11D. | .1223694 .2173477 0.56 0.573 -.3036243 .548363 | GS6M | LD. | .035906 .4295025 0.08 0.933 -.8059035 .8777154 L2D. | .6809762 .4324716 1.57 0.115 -.1666526 1.528605 L3D. | -.5189438 .4438059 -1.17 0.242 -1.388787 .3508998 L4D. | -.4205416 .4518341 -0.93 0.352 -1.30612 .4650369 L5D. | -1.608355 .4689018 -3.43 0.001 -2.527386 -.6893244 L6D. | -.1024284 .455954 -0.22 0.822 -.9960818 .791225 L7D. | -.3039496 .4701977 -0.65 0.518 -1.22552 .6176209 L8D. | -.5897408 .4068109 -1.45 0.147 -1.387076 .207594 L9D. | -.907092 .4064388 -2.23 0.026 -1.703697 -.1104865 L10D. | .1780243 .4083339 0.44 0.663 -.6222956 .9783441 L11D. | -.2873881 .4038691 -0.71 0.477 -1.078957 .5041807 | GS1 | LD. | .2714329 .3719261 0.73 0.466 -.4575288 1.000395 L2D. | -.7581365 .3662546 -2.07 0.038 -1.475982 -.0402905 L3D. | .2812441 .3654888 0.77 0.442 -.4351008 .9975891 L4D. | .4241542 .3853136 1.10 0.271 -.3310466 1.179355 L5D. | 1.498595 .3942315 3.80 0.000 .7259155 2.271275 L6D. | .0882617 .3955142 0.22 0.823 -.6869319 .8634553 L7D. | .4508894 .4087408 1.10 0.270 -.3502279 1.252007 L8D. | .9237249 .3542341 2.61 0.009 .2294388 1.618011 L9D. | .8252363 .3541913 2.33 0.020 .131034 1.519439 L10D. | -.0115997 .3523372 -0.03 0.974 -.7021679 .6789685 L11D. | .3110625 .3359613 0.93 0.355 -.3474096 .9695346 | GS3 | LD. | .2732286 .371088 0.74 0.462 -.4540904 1.000548 L2D. | .4904244 .3686625 1.33 0.183 -.2321409 1.21299 L3D. | -.2537695 .3645943 -0.70 0.486 -.9683612 .4608223 L4D. | -.266142 .3655243 -0.73 0.467 -.9825564 .4502724 L5D. | -1.192481 .3636173 -3.28 0.001 -1.905157 -.4798038 L6D. | .0357921 .3704825 0.10 0.923 -.6903402 .7619244 L7D. | -.414341 .3650743 -1.13 0.256 -1.129874 .3011914 L8D. | -.5355806 .3623883 -1.48 0.139 -1.245849 .1746875 L9D. | -.1786999 .3597402 -0.50 0.619 -.8837777 .526378 L10D. | -.09674 .3480014 -0.28 0.781 -.7788102 .5853302 L11D. | .0725164 .3367896 0.22 0.830 -.587579 .7326118 | GS5 | LD. | -.1359107 .4316841 -0.31 0.753 -.981996 .7101746 L2D. | .0067501 .4300164 0.02 0.987 -.8360665 .8495667 L3D. | .2094892 .4273045 0.49 0.624 -.6280123 1.046991 L4D. | .3477122 .4252569 0.82 0.414 -.485776 1.1812 L5D. | 1.048079 .4267052 2.46 0.014 .2117526 1.884406 L6D. | .1782414 .4272976 0.42 0.677 -.6592464 1.015729 L7D. | .4337065 .4227365 1.03 0.305 -.3948419 1.262255 L8D. | .3806433 .4309562 0.88 0.377 -.4640154 1.225302 L9D. | .1720036 .4315561 0.40 0.690 -.6738307 1.017838 L10D. | .1165198 .428015 0.27 0.785 -.7223743 .9554138 L11D. | -.3758643 .4238609 -0.89 0.375 -1.206616 .4548879 | GS10 | LD. | .0331149 .2281526 0.15 0.885 -.414056 .4802857 L2D. | -.2943845 .2292807 -1.28 0.199 -.7437663 .1549974 L3D. | .0248019 .2275707 0.11 0.913 -.4212284 .4708322 L4D. | -.2236616 .223942 -1.00 0.318 -.6625799 .2152567 L5D. | -.3478857 .2208411 -1.58 0.115 -.7807264 .0849549 L6D. | -.2103149 .2186012 -0.96 0.336 -.6387654 .2181356 L7D. | -.1594253 .2189521 -0.73 0.467 -.5885635 .2697129 L8D. | -.1243696 .2242294 -0.55 0.579 -.5638513 .315112 L9D. | -.0252079 .2251488 -0.11 0.911 -.4664915 .4160757 L10D. | -.0655325 .2252256 -0.29 0.771 -.5069665 .3759015 L11D. | .2579019 .218109 1.18 0.237 -.1695838 .6853876 -------------+---------------------------------------------------------------- D_GS3 | _ce1 | L1. | -.0036315 .0572659 -0.06 0.949 -.1158707 .1086077 | GS3M | LD. | .0212167 .2845041 0.07 0.941 -.5364011 .5788346 L2D. | -.1574884 .2862715 -0.55 0.582 -.7185703 .4035935 L3D. | .3180255 .2987861 1.06 0.287 -.2675845 .9036355 L4D. | .490056 .2927167 1.67 0.094 -.0836582 1.06377 L5D. | .9432174 .3007179 3.14 0.002 .3538212 1.532614 L6D. | .2360599 .2905094 0.81 0.416 -.333328 .8054477 L7D. | .028844 .291254 0.10 0.921 -.5420033 .5996913 L8D. | .0142733 .2727494 0.05 0.958 -.5203056 .5488522 L9D. | .1061388 .2768226 0.38 0.701 -.4364235 .6487011 L10D. | -.0130488 .2806651 -0.05 0.963 -.5631424 .5370448 L11D. | -.1448796 .2808483 -0.52 0.606 -.6953321 .4055728 | GS6M | LD. | -.3533052 .5549865 -0.64 0.524 -1.441059 .7344484 L2D. | .4965083 .5588231 0.89 0.374 -.5987648 1.591781 L3D. | -.0753147 .5734689 -0.13 0.896 -1.199293 1.048664 L4D. | -1.03284 .5838425 -1.77 0.077 -2.177151 .1114697 L5D. | -2.133205 .6058967 -3.52 0.000 -3.320741 -.9456692 L6D. | -.5404152 .5891661 -0.92 0.359 -1.69516 .6143291 L7D. | -.1639745 .6075712 -0.27 0.787 -1.354792 1.026843 L8D. | -1.015596 .5256654 -1.93 0.053 -2.045882 .0146887 L9D. | -.8366921 .5251845 -1.59 0.111 -1.866035 .1926507 L10D. | -.132382 .5276333 -0.25 0.802 -1.166524 .9017603 L11D. | .0104884 .521864 0.02 0.984 -1.012346 1.033323 | GS1 | LD. | .3350018 .4805885 0.70 0.486 -.6069344 1.276938 L2D. | -.6586829 .4732601 -1.39 0.164 -1.586256 .2688898 L3D. | -.1073544 .4722705 -0.23 0.820 -1.032988 .8182788 L4D. | .8836957 .4978873 1.77 0.076 -.0921456 1.859537 L5D. | 1.627321 .5094107 3.19 0.001 .6288948 2.625748 L6D. | .2099797 .5110681 0.41 0.681 -.7916955 1.211655 L7D. | .6004392 .5281591 1.14 0.256 -.4347336 1.635612 L8D. | 1.300162 .4577276 2.84 0.005 .403032 2.197291 L9D. | 1.015335 .4576723 2.22 0.027 .1183139 1.912357 L10D. | .0977825 .4552765 0.21 0.830 -.794543 .990108 L11D. | .2345134 .4341162 0.54 0.589 -.6163388 1.085366 | GS3 | LD. | .5475228 .4795055 1.14 0.254 -.3922907 1.487336 L2D. | .5217171 .4763715 1.10 0.273 -.4119538 1.455388 L3D. | -.6594203 .4711147 -1.40 0.162 -1.582788 .2639475 L4D. | -.3262039 .4723163 -0.69 0.490 -1.251927 .5995191 L5D. | -1.433859 .4698522 -3.05 0.002 -2.354752 -.5129654 L6D. | .042389 .4787231 0.09 0.929 -.895891 .9806691 L7D. | -1.159304 .4717349 -2.46 0.014 -2.083887 -.2347203 L8D. | -.605403 .4682641 -1.29 0.196 -1.523184 .3123779 L9D. | -.60738 .4648424 -1.31 0.191 -1.518454 .3036943 L10D. | -.4481882 .4496739 -1.00 0.319 -1.329533 .4331565 L11D. | .3817405 .4351864 0.88 0.380 -.4712092 1.23469 | GS5 | LD. | -.4892101 .5578055 -0.88 0.380 -1.582489 .6040686 L2D. | .1961256 .5556505 0.35 0.724 -.8929294 1.285181 L3D. | .6655387 .5521464 1.21 0.228 -.4166482 1.747726 L4D. | .4301978 .5495005 0.78 0.434 -.6468035 1.507199 L5D. | 1.303661 .551372 2.36 0.018 .2229921 2.384331 L6D. | .3509695 .5521374 0.64 0.525 -.7311999 1.433139 L7D. | 1.37137 .5462438 2.51 0.012 .3007515 2.441988 L8D. | .5123347 .556865 0.92 0.358 -.5791005 1.60377 L9D. | .7977658 .55764 1.43 0.153 -.2951886 1.89072 L10D. | .7972682 .5530645 1.44 0.149 -.2867182 1.881255 L11D. | -.7793564 .5476967 -1.42 0.155 -1.852822 .2941095 | GS10 | LD. | .2935941 .2948099 1.00 0.319 -.2842228 .871411 L2D. | -.6154221 .2962676 -2.08 0.038 -1.196096 -.0347482 L3D. | -.021791 .294058 -0.07 0.941 -.5981341 .5545521 L4D. | -.3776377 .2893692 -1.31 0.192 -.944791 .1895156 L5D. | -.3986569 .2853624 -1.40 0.162 -.9579568 .160643 L6D. | -.4251482 .282468 -1.51 0.132 -.9787753 .128479 L7D. | -.606114 .2829214 -2.14 0.032 -1.16063 -.0515982 L8D. | -.2123597 .2897406 -0.73 0.464 -.7802409 .3555214 L9D. | -.4203963 .2909286 -1.45 0.148 -.9906059 .1498133 L10D. | -.3845773 .2910277 -1.32 0.186 -.9549812 .1858266 L11D. | .3914641 .281832 1.39 0.165 -.1609164 .9438446 -------------+---------------------------------------------------------------- D_GS5 | _ce1 | L1. | -.0178017 .0602226 -0.30 0.768 -.1358359 .1002325 | GS3M | LD. | .2133253 .2991934 0.71 0.476 -.3730829 .7997336 L2D. | -.0111785 .301052 -0.04 0.970 -.6012296 .5788725 L3D. | .3654721 .3142127 1.16 0.245 -.2503735 .9813176 L4D. | .5752407 .3078299 1.87 0.062 -.0280949 1.178576 L5D. | 1.105957 .3162442 3.50 0.000 .48613 1.725785 L6D. | .4279805 .3055086 1.40 0.161 -.1708055 1.026766 L7D. | -.1683146 .3062917 -0.55 0.583 -.7686353 .432006 L8D. | .1230542 .2868317 0.43 0.668 -.4391255 .685234 L9D. | .1932222 .2911152 0.66 0.507 -.3773532 .7637975 L10D. | -.0191059 .2951562 -0.06 0.948 -.5976014 .5593895 L11D. | -.2525716 .2953487 -0.86 0.392 -.8314445 .3263013 | GS6M | LD. | -.6978425 .583641 -1.20 0.232 -1.841758 .4460728 L2D. | .2314573 .5876757 0.39 0.694 -.9203658 1.38328 L3D. | -.1421154 .6030776 -0.24 0.814 -1.324126 1.039895 L4D. | -1.247982 .6139868 -2.03 0.042 -2.451374 -.0445897 L5D. | -2.214605 .6371797 -3.48 0.001 -3.463454 -.9657556 L6D. | -.857886 .6195853 -1.38 0.166 -2.072251 .3564789 L7D. | .0403787 .6389407 0.06 0.950 -1.211922 1.292679 L8D. | -1.149882 .552806 -2.08 0.038 -2.233362 -.0664025 L9D. | -.9192235 .5523003 -1.66 0.096 -2.001712 .1632652 L10D. | -.0708477 .5548755 -0.13 0.898 -1.158384 1.016688 L11D. | .2190558 .5488083 0.40 0.690 -.8565887 1.2947 | GS1 | LD. | .3937992 .5054017 0.78 0.436 -.59677 1.384368 L2D. | -.4697905 .4976949 -0.94 0.345 -1.445255 .5056737 L3D. | -.0705342 .4966543 -0.14 0.887 -1.043959 .9028903 L4D. | 1.130819 .5235937 2.16 0.031 .1045945 2.157044 L5D. | 1.440114 .535712 2.69 0.007 .3901375 2.49009 L6D. | .4021019 .5374551 0.75 0.454 -.6512907 1.455494 L7D. | .5036703 .5554284 0.91 0.365 -.5849495 1.59229 L8D. | 1.240246 .4813605 2.58 0.010 .2967965 2.183695 L9D. | 1.067137 .4813024 2.22 0.027 .1238015 2.010472 L10D. | .0499455 .4787828 0.10 0.917 -.8884517 .9883426 L11D. | .1327254 .4565301 0.29 0.771 -.7620571 1.027508 | GS3 | LD. | .4227343 .5042628 0.84 0.402 -.5656026 1.411071 L2D. | .7325095 .500967 1.46 0.144 -.2493677 1.714387 L3D. | -.7757229 .4954388 -1.57 0.117 -1.746765 .1953193 L4D. | -.1812391 .4967025 -0.36 0.715 -1.154758 .7922798 L5D. | -1.257686 .4941111 -2.55 0.011 -2.226126 -.289246 L6D. | -.1773096 .50344 -0.35 0.725 -1.164034 .8094147 L7D. | -1.070487 .496091 -2.16 0.031 -2.042807 -.0981663 L8D. | -.3711517 .4924411 -0.75 0.451 -1.336318 .594015 L9D. | -.6518146 .4888426 -1.33 0.182 -1.609929 .3062994 L10D. | -.4130829 .472891 -0.87 0.382 -1.339932 .5137664 L11D. | .4054551 .4576555 0.89 0.376 -.4915333 1.302443 | GS5 | LD. | -.5865412 .5866055 -1.00 0.317 -1.736267 .5631845 L2D. | -.0443703 .5843393 -0.08 0.939 -1.189654 1.100914 L3D. | .6854027 .5806542 1.18 0.238 -.4526587 1.823464 L4D. | .0437712 .5778718 0.08 0.940 -1.088837 1.176379 L5D. | 1.173552 .5798398 2.02 0.043 .0370869 2.310017 L6D. | .5721528 .5806447 0.99 0.324 -.5658899 1.710196 L7D. | 1.20735 .5744469 2.10 0.036 .0814551 2.333246 L8D. | .1805069 .5856164 0.31 0.758 -.9672803 1.328294 L9D. | .7254025 .5864315 1.24 0.216 -.4239822 1.874787 L10D. | .8634467 .5816197 1.48 0.138 -.2765069 2.0034 L11D. | -.8525586 .5759748 -1.48 0.139 -1.981448 .2763313 | GS10 | LD. | .5550498 .3100313 1.79 0.073 -.0526003 1.1627 L2D. | -.612303 .3115642 -1.97 0.049 -1.222958 -.0016484 L3D. | .0604189 .3092405 0.20 0.845 -.5456813 .6665191 L4D. | -.2033762 .3043096 -0.67 0.504 -.7998121 .3930597 L5D. | -.3315772 .3000959 -1.10 0.269 -.9197543 .2565999 L6D. | -.5205585 .2970521 -1.75 0.080 -1.10277 .061653 L7D. | -.5026171 .2975289 -1.69 0.091 -1.085763 .0805288 L8D. | -.0435805 .3047002 -0.14 0.886 -.6407819 .5536209 L9D. | -.3551726 .3059495 -1.16 0.246 -.9548226 .2444774 L10D. | -.4600247 .3060538 -1.50 0.133 -1.059879 .1398297 L11D. | .4369339 .2963832 1.47 0.140 -.1439666 1.017834 -------------+---------------------------------------------------------------- D_GS10 | _ce1 | L1. | -.0077905 .056942 -0.14 0.891 -.1193948 .1038138 | GS3M | LD. | .3563949 .2828948 1.26 0.208 -.1980687 .9108585 L2D. | .0964269 .2846522 0.34 0.735 -.4614811 .654335 L3D. | .411824 .297096 1.39 0.166 -.1704734 .9941215 L4D. | .623544 .2910609 2.14 0.032 .0530751 1.194013 L5D. | 1.06022 .2990168 3.55 0.000 .4741575 1.646282 L6D. | .5533153 .2888661 1.92 0.055 -.0128517 1.119482 L7D. | -.3471347 .2896065 -1.20 0.231 -.9147529 .2204835 L8D. | .1988523 .2712065 0.73 0.463 -.3327027 .7304073 L9D. | .4066369 .2752567 1.48 0.140 -.1328563 .9461302 L10D. | .0071147 .2790775 0.03 0.980 -.5398672 .5540966 L11D. | -.35915 .2792596 -1.29 0.198 -.9064887 .1881888 | GS6M | LD. | -.8783479 .5518472 -1.59 0.111 -1.959948 .2032527 L2D. | -.0966565 .555662 -0.17 0.862 -1.185734 .9924211 L3D. | -.2996134 .570225 -0.53 0.599 -1.417234 .818007 L4D. | -1.525272 .5805399 -2.63 0.009 -2.66311 -.3874351 L5D. | -2.013522 .6024694 -3.34 0.001 -3.19434 -.8327034 L6D. | -1.041986 .5858334 -1.78 0.075 -2.190199 .106226 L7D. | .2476051 .6041344 0.41 0.682 -.9364767 1.431687 L8D. | -1.269085 .5226919 -2.43 0.015 -2.293542 -.2446279 L9D. | -1.174669 .5222138 -2.25 0.024 -2.198189 -.1511486 L10D. | -.1090824 .5246487 -0.21 0.835 -1.137375 .9192102 L11D. | .4554504 .518912 0.88 0.380 -.5615984 1.472499 | GS1 | LD. | .4520094 .47787 0.95 0.344 -.4845985 1.388617 L2D. | -.1059238 .470583 -0.23 0.822 -1.02825 .816402 L3D. | .0503576 .4695991 0.11 0.915 -.8700397 .9707549 L4D. | 1.430034 .495071 2.89 0.004 .4597124 2.400355 L5D. | 1.188379 .5065291 2.35 0.019 .1956004 2.181158 L6D. | .4843483 .5081772 0.95 0.341 -.5116608 1.480357 L7D. | .3770321 .5251715 0.72 0.473 -.652285 1.406349 L8D. | 1.267848 .4551384 2.79 0.005 .3757931 2.159903 L9D. | 1.120559 .4550835 2.46 0.014 .2286116 2.012506 L10D. | .0854773 .4527012 0.19 0.850 -.8018006 .9727553 L11D. | -.0680981 .4316606 -0.16 0.875 -.9141373 .7779411 | GS3 | LD. | .0725971 .4767931 0.15 0.879 -.8619003 1.007094 L2D. | .7605951 .4736768 1.61 0.108 -.1677944 1.688985 L3D. | -.7914975 .4684498 -1.69 0.091 -1.709642 .1266472 L4D. | -.2247382 .4696446 -0.48 0.632 -1.145225 .6957483 L5D. | -1.022384 .4671944 -2.19 0.029 -1.938068 -.1066995 L6D. | -.3388273 .4760151 -0.71 0.477 -1.2718 .5941452 L7D. | -.8721028 .4690664 -1.86 0.063 -1.791456 .0472505 L8D. | -.114483 .4656154 -0.25 0.806 -1.027072 .7981063 L9D. | -.5474121 .462213 -1.18 0.236 -1.453333 .3585086 L10D. | -.4737756 .4471303 -1.06 0.289 -1.350135 .4025837 L11D. | .4081383 .4327248 0.94 0.346 -.4399866 1.256263 | GS5 | LD. | -.4165934 .5546502 -0.75 0.453 -1.503688 .670501 L2D. | -.1659185 .5525074 -0.30 0.764 -1.248813 .9169761 L3D. | .6188392 .5490231 1.13 0.260 -.4572262 1.694905 L4D. | -.0485548 .5463922 -0.09 0.929 -1.119464 1.022354 L5D. | 1.036702 .5482531 1.89 0.059 -.0378546 2.111258 L6D. | .6523005 .5490141 1.19 0.235 -.4237475 1.728348 L7D. | 1.038659 .5431539 1.91 0.056 -.0259026 2.103222 L8D. | -.3224982 .553715 -0.58 0.560 -1.40776 .7627632 L9D. | .5020867 .5544857 0.91 0.365 -.5846852 1.588859 L10D. | 1.016897 .549936 1.85 0.064 -.0609572 2.094752 L11D. | -.7513717 .5445986 -1.38 0.168 -1.818765 .3160219 | GS10 | LD. | .6766473 .2931423 2.31 0.021 .1020989 1.251196 L2D. | -.5838498 .2945918 -1.98 0.047 -1.161239 -.0064605 L3D. | .1011806 .2923946 0.35 0.729 -.4719024 .6742635 L4D. | -.1574453 .2877324 -0.55 0.584 -.7213904 .4064998 L5D. | -.3207838 .2837482 -1.13 0.258 -.87692 .2353524 L6D. | -.4532243 .2808702 -1.61 0.107 -1.00372 .0972712 L7D. | -.4751946 .281321 -1.69 0.091 -1.026574 .0761845 L8D. | .2406293 .2881016 0.84 0.404 -.3240396 .8052981 L9D. | -.2635044 .2892829 -0.91 0.362 -.8304885 .3034797 L10D. | -.5682765 .2893815 -1.96 0.050 -1.135454 -.0010992 L11D. | .3677005 .2802377 1.31 0.189 -.1815554 .9169564 ------------------------------------------------------------------------------ Cointegrating equations Equation Parms chi2 P>chi2 ------------------------------------------- _ce1 5 1658.213 0.0000 ------------------------------------------- Identification: beta is exactly identified Johansen normalization restriction imposed ------------------------------------------------------------------------------ beta | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- _ce1 | GS3M | 1 . . . . . GS6M | -2.982864 .7607009 -3.92 0.000 -4.473811 -1.491918 GS1 | 4.059435 1.098114 3.70 0.000 1.907172 6.211698 GS3 | -4.951627 1.188582 -4.17 0.000 -7.281204 -2.62205 GS5 | 3.740268 1.172977 3.19 0.001 1.441275 6.039262 GS10 | -.8026364 .3919803 -2.05 0.041 -1.570904 -.0343691 _cons | -.0810567 .143733 -0.56 0.573 -.3627682 .2006549 ------------------------------------------------------------------------------ . vec GS3M GS6M GS1 GS3 GS5 GS10, trend(none) lags(12) alpha noetable Vector error-correction model Sample: 2001m1 thru 2025m1 Number of obs = 289 AIC = -14.94938 Log likelihood = 2567.185 HQIC = -12.88041 Det(Sigma_ml) = 7.75e-16 SBIC = -9.78593 Cointegrating equations Equation Parms chi2 P>chi2 ------------------------------------------- _ce1 5 3650.902 0.0000 ------------------------------------------- Identification: beta is exactly identified Johansen normalization restriction imposed ------------------------------------------------------------------------------ beta | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- _ce1 | GS3M | 1 . . . . . GS6M | -2.853857 .7877061 -3.62 0.000 -4.397733 -1.309982 GS1 | 4.005303 1.144798 3.50 0.000 1.76154 6.249065 GS3 | -5.333167 1.233645 -4.32 0.000 -7.751067 -2.915268 GS5 | 4.217702 1.167034 3.61 0.000 1.930358 6.505047 GS10 | -.9908045 .3489277 -2.84 0.005 -1.67469 -.3069188 ------------------------------------------------------------------------------ Adjustment parameters Equation Parms chi2 P>chi2 ------------------------------------------- D_GS3M 1 7.892876 0.0050 D_GS6M 1 5.870778 0.0154 D_GS1 1 3.836497 0.0501 D_GS3 1 .0010169 0.9746 D_GS5 1 .0451853 0.8317 D_GS10 1 .0044287 0.9469 ------------------------------------------- ------------------------------------------------------------------------------ alpha | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_GS3M | _ce1 | L1. | -.112367 .0399964 -2.81 0.005 -.1907586 -.0339755 -------------+---------------------------------------------------------------- D_GS6M | _ce1 | L1. | -.0958156 .0395447 -2.42 0.015 -.1733218 -.0183094 -------------+---------------------------------------------------------------- D_GS1 | _ce1 | L1. | -.0826235 .0421829 -1.96 0.050 -.1653003 .0000534 -------------+---------------------------------------------------------------- D_GS3 | _ce1 | L1. | .0017369 .0544668 0.03 0.975 -.105016 .1084898 -------------+---------------------------------------------------------------- D_GS5 | _ce1 | L1. | -.0121768 .057284 -0.21 0.832 -.1244514 .1000979 -------------+---------------------------------------------------------------- D_GS10 | _ce1 | L1. | -.0036043 .0541601 -0.07 0.947 -.109756 .1025475 ------------------------------------------------------------------------------ . * osa 10 kitsendused kohanemisparameetritele . constraint define 1 [D_GS3] L1._ce1 . . constraint define 2 [D_GS5] L1._ce1 . . constraint define 3 [D_GS10] L1._ce1 . . vec GS3M GS6M GS1 GS3 GS5 GS10, trend(none) lags(12) aconstraints(1 2 3) alpha > noetable Iteration 1: Log likelihood = 2565.824 Iteration 2: Log likelihood = 2565.841 Iteration 3: Log likelihood = 2565.848 Iteration 4: Log likelihood = 2565.851 Iteration 5: Log likelihood = 2565.852 Iteration 6: Log likelihood = 2565.853 Iteration 7: Log likelihood = 2565.853 Iteration 8: Log likelihood = 2565.853 Iteration 9: Log likelihood = 2565.853 Iteration 10: Log likelihood = 2565.853 Iteration 11: Log likelihood = 2565.853 Iteration 12: Log likelihood = 2565.853 Iteration 13: Log likelihood = 2565.853 Iteration 14: Log likelihood = 2565.853 Iteration 15: Log likelihood = 2565.853 Iteration 16: Log likelihood = 2565.853 Iteration 17: Log likelihood = 2565.853 Iteration 18: Log likelihood = 2565.853 Iteration 19: Log likelihood = 2565.853 Iteration 20: Log likelihood = 2565.853 Iteration 21: Log likelihood = 2565.853 Iteration 22: Log likelihood = 2565.853 Iteration 23: Log likelihood = 2565.853 Iteration 24: Log likelihood = 2565.853 Iteration 25: Log likelihood = 2565.853 Iteration 26: Log likelihood = 2565.853 Iteration 27: Log likelihood = 2565.853 Iteration 28: Log likelihood = 2565.853 Iteration 29: Log likelihood = 2565.853 Iteration 30: Log likelihood = 2565.853 Iteration 31: Log likelihood = 2565.853 Iteration 32: Log likelihood = 2565.853 Estimating VAR coefficients Iteration 1: tolerance = .02934854 Iteration 2: tolerance = .00022513 Iteration 3: tolerance = 1.677e-06 Iteration 4: tolerance = 1.249e-08 Iteration 5: tolerance = 9.225e-11 Vector error-correction model Sample: 2001m1 thru 2025m1 Number of obs = 289 AIC = -14.96092 Log likelihood = 2565.853 HQIC = -12.90721 Det(Sigma_ml) = 7.83e-16 SBIC = -9.835534 Impact parameters Equation Parms chi2 P>chi2 ------------------------------------------- D_GS3M 1 17.56461 0.0000 D_GS6M 1 20.38526 0.0000 D_GS1 1 27.95772 0.0000 D_GS3 0 . . D_GS5 0 . . D_GS10 0 . . ------------------------------------------- ------------------------------------------------------------------------------ Pi | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- D_GS3M | GS3M | L1. | -.1109105 .0264639 -4.19 0.000 -.1627787 -.0590422 | GS6M | L1. | .2572773 .0613878 4.19 0.000 .1369594 .3775953 | GS1 | L1. | -.4013883 .0957735 -4.19 0.000 -.589101 -.2136757 | GS3 | L1. | .6421854 .1532291 4.19 0.000 .341862 .9425088 | GS5 | L1. | -.5077803 .1211593 -4.19 0.000 -.7452481 -.2703126 | GS10 | L1. | .1152866 .027508 4.19 0.000 .0613718 .1692013 -------------+---------------------------------------------------------------- D_GS6M | GS3M | L1. | -.0973314 .0215573 -4.52 0.000 -.139583 -.0550798 | GS6M | L1. | .2257783 .0500062 4.52 0.000 .1277679 .3237887 | GS1 | L1. | -.3522455 .0780167 -4.52 0.000 -.5051553 -.1993356 | GS3 | L1. | .5635612 .1248197 4.52 0.000 .3189192 .8082033 | GS5 | L1. | -.4456117 .0986958 -4.52 0.000 -.6390518 -.2521715 | GS10 | L1. | .1011718 .0224079 4.52 0.000 .0572531 .1450905 -------------+---------------------------------------------------------------- D_GS1 | GS3M | L1. | -.0827852 .0156568 -5.29 0.000 -.1134719 -.0520986 | GS6M | L1. | .1920357 .0363188 5.29 0.000 .1208522 .2632192 | GS1 | L1. | -.2996023 .0566623 -5.29 0.000 -.4106584 -.1885462 | GS3 | L1. | .4793369 .0906546 5.29 0.000 .3016571 .6570167 | GS5 | L1. | -.379015 .0716812 -5.29 0.000 -.5195076 -.2385223 | GS10 | L1. | .0860517 .0162745 5.29 0.000 .0541542 .1179491 -------------+---------------------------------------------------------------- D_GS3 | GS3M | L1. | 0 (omitted) | GS6M | L1. | 0 (omitted) | GS1 | L1. | 0 (omitted) | GS3 | L1. | 0 (omitted) | GS5 | L1. | 0 (omitted) | GS10 | L1. | 0 (omitted) -------------+---------------------------------------------------------------- D_GS5 | GS3M | L1. | 0 (omitted) | GS6M | L1. | 0 (omitted) | GS1 | L1. | 0 (omitted) | GS3 | L1. | 0 (omitted) | GS5 | L1. | 0 (omitted) | GS10 | L1. | 0 (omitted) -------------+---------------------------------------------------------------- D_GS10 | GS3M | L1. | 0 (omitted) | GS6M | L1. | 0 (omitted) | GS1 | L1. | 0 (omitted) | GS3 | L1. | 0 (omitted) | GS5 | L1. | 0 (omitted) | GS10 | L1. | 0 (omitted) ------------------------------------------------------------------------------ Identification: beta is underidentified LR test of identifying restrictions: chi2(3) = 2.664 Prob > chi2 = 0.446 .* Osa 11 kointegratsiooni seosele vastav joon diagrammile . gen tasakaal= GS3M -2.85* GS6M +4* GS1 - 5.33* GS3 +4.22 * GS5 -0.99 * GS10 . twoway (tsline GS3M) (tsline GS10) (tsline tkaal, yaxis(2) lpattern(dash)), yli > ne(0, axis(2)) legend(position(6)) ---------------------------------------------------------------------------------