Table 5 Estimated short-run coefficients
\(\mathrm{Variable}\) | \(\mathrm{Coefficient}\) | \(\mathrm{t}-\mathrm{statistics}\) | \(\mathrm{Prob}.\) |
|---|---|---|---|
Model (1): dependent variable: ΔGBMC | |||
\(\Delta GDP\) | − 0.254 | − 0.856 | 0.933 |
\(\Delta GDP\left( { - 1} \right)\) | 0.288 | 0.728 | 0.943 |
\(\Delta GDP\left( { - 2} \right)\) | − 0.158 | − 0.576 | 0.577 |
\(\Delta GDPC\) | 0.002 | 2.747** | 0.049 |
\(\Delta GDPC\left( { - 1} \right)\) | − 0.002 | − 0.251 | 0.806 |
\(\Delta GDPC\left( { - 2} \right)\) | 0.003 | 0.519 | 0.614 |
\(\Delta GGFC\) | 1.003 | 2.412** | 0.024 |
\(\Delta GGFC\left( { - 1} \right)\) | 1.025 | 1.092 | 0.297 |
\(\Delta GGFC\left( { - 2} \right)\) | 1.109 | 1.549 | 0.149 |
\(\Delta EXP\) | − 0.367 | − 0.774 | 0.455 |
\(\Delta EXP\left( { - 1} \right)\) | − 0.278 | − 0.585 | 0.569 |
\(\Delta EXP\left( { - 2} \right)\) | − 0.058 | − 0.116 | 0.909 |
\(\Delta INF\) | − 0.103 | − 2.598** | 0.047 |
\(\Delta INF\left( { - 1} \right)\) | 0.835 | 0.665 | 0.520 |
\(\Delta INF\left( { - 2} \right)\) | 0.132 | 0.156 | 0.878 |
\(Constant\) | 27.081 | 3.731* | 0.002 |
\(ECT_{t - 1}\) | − 0.939 | − 4.408* | 0.001 |
\(F - statistic\) | 1.593 | 0.029 | |
\(R - squared\) | 0.718 | ||
\(DW\) | 1.605 | ||
Model (2): dependent variable: ΔGBMC | |||
\(\Delta CRED\) | 0.328 | 0.664 | 0.515 |
\(\Delta CRED\left( { - 1} \right)\) | 0.038 | 0.079 | 0.937 |
\(\Delta CONC\) | − 0.410 | − 0.404 | 0.690 |
\(\Delta CONC\left( { - 1} \right)\) | − 0.849 | − 0.867 | 0.397 |
\(\Delta SMC\) | − 0.296 | − 1.967*** | 0.065 |
\(\Delta SMC\left( { - 1} \right)\) | 0.074 | 0.483 | 0.634 |
\(\Delta SMTR\) | − 0.058 | − 1.356 | 0.192 |
\(\Delta SMTR\left( { - 1} \right)\) | − 0.022 | − 0.518 | 0.610 |
\(Constant\) | − 1.139 | − 0.639 | 0.530 |
\(ECT_{t - 1}\) | − 0.380 | − 4.059* | 0.001 |
\(F - statistic\) | 2.035 | 0.094 | |
\(R - squared\) | 0.544 | ||
\(DW\) | 1.871 | ||
Model (3): dependent variable: ΔGBMC | |||
\(\Delta GOV\) | − 0.267 | − 1.991*** | 0.071 |
\(\Delta GOV\left( { - 1} \right)\) | − 0.230 | − 0.938 | 0.368 |
\(\Delta GOV\left( { - 2} \right)\) | − 0.275 | − 1.308 | 0.217 |
\(\Delta IP\) | 0.231 | 0.355 | 0.728 |
\(\Delta IP\left( { - 1} \right)\) | − 0.628 | − 0.980 | 0.347 |
\(\Delta IP\left( { - 2} \right)\) | − 0.110 | − 1.646 | 0.127 |
\(\Delta COR\) | − 0.110 | − 0.648 | 0.530 |
\(\Delta COR\left( { - 1} \right)\) | − 0.227 | − 1.175 | 0.264 |
\(\Delta COR\left( { - 2} \right)\) | 1.484 | 1.185 | 0.267 |
\(\Delta RL\) | − 0.227 | − 0.141 | 0.890 |
\(\Delta RL\left( { - 1} \right)\) | − 0.161 | − 1.175 | 0.264 |
\(\Delta RL\left( { - 2} \right)\) | 0.221 | 1.088 | 0.299 |
\(Constant\) | − 0.455 | − 0.125 | 0.902 |
\(ECT_{t - 1}\) | − 0.186 | − 2.786** | 0.019 |
\(F - statistic\) | 4.026 | 0.049 | |
\(R - squared\) | 0.583 | ||
\(DW\) | 1.831 | ||