Table 10 Short run VECM estimates
From: Effects of crude oil prices on copper and maize prices
Error correction | D (LOG_MAIZE) | D (LOG_COPPER) | D (LOG_CRUDE_OIL) |
|---|---|---|---|
Adjustment coefficient | − 0.057213 | − 0.026619 | 0.032668 |
− 0.01331 | − 0.0137 | − 0.02062 | |
[-4.30001] | [− 1.94240] | [ 1.58401] | |
D(LOG_MAIZE(-1)) | 0.288687 | 0.013741 | − 0.057286 |
− 0.04642 | − 0.04781 | − 0.07195 | |
[ 6.21957] | [ 0.28741] | [− 0.79623] | |
D(LOG_MAIZE(-2)) | − 0.015825 | 0.01032 | 0.055682 |
− 0.04796 | − 0.0494 | − 0.07434 | |
[− 0.32997] | [ 0.20892] | [ 0.74904] | |
D(LOG_MAIZE(-3)) | 0.062202 | 0.040101 | − 0.058656 |
− 0.04654 | − 0.04793 | − 0.07213 | |
[ 1.33660] | [ 0.83661] | [− 0.81314] | |
D(LOG_COPPER(-1)) | − 0.021635 | 0.367041 | 0.165486 |
− 0.04775 | − 0.04919 | − 0.07402 | |
[− 0.45305] | [ 7.46225] | [ 2.23567] | |
D(LOG_COPPER(-2)) | 0.099087 | − 0.061066 | 0.201995 |
− 0.05038 | − 0.05189 | − 0.07808 | |
[ 1.96694] | [− 1.17691] | [ 2.58687] | |
D(LOG_COPPER(-3)) | − 0.016105 | − 0.055621 | − 0.040205 |
− 0.04863 | − 0.05009 | − 0.07538 | |
[− 0.33117] | [− 1.11046] | [− 0.53338] | |
D(LOG_CRUDE_OIL(-1)) | − 0.033061 | 0.055472 | 0.296999 |
− 0.03116 | − 0.0321 | − 0.0483 | |
[− 1.06091] | [1.72821] | [6.14853] | |
D(LOG_CRUDE_OIL(-2)) | 0.003209 | − 0.041581 | − 0.138526 |
− 0.03205 | − 0.03301 | − 0.04968 | |
[ 0.10010] | [− 1.25949] | [-2.78817] | |
D(LOG_CRUDE_OIL(-3)) | − 0.00993 | − 0.004262 | − 0.024755 |
− 0.03106 | − 0.03199 | − 0.04814 | |
[− 0.31976] | [− 0.13325] | [− 0.51427] | |
R-squared | 0.12637 | 0.158528 | 0.1409 |
Adj. R-squared | 0.109277 | 0.142064 | 0.124091 |