TABLE 4.
Long-run and short-run parameters of model A.
| Variable | Coefficient | Standard error | t-Statistic | Probability | Variable | Coefficient | Standard error | t-Statistic | Probability |
| Short-run | D(GRC) | –0.437052 | 0.025498 | –17.140 | 0 | ||||
| D(ITC) | 0.108358 | 0.0062 | 17.314 | 0 | D(GRD) | 110.3016 | 6.229438 | 17.706 | 0 |
| D[ITC(−1)] | 0.084353 | 0.0046 | 18.138 | 0 | D[GRD(−1)] | –342.3545 | 19.53159 | –17.528 | 0 |
| D[ITC(−2)] | 0.096149 | 0.0060 | 15.872 | 0 | D[GRD(−2)] | –333.8304 | 19.44324 | –17.169 | 0 |
| D(ITD) | –0.501345 | 0.0415 | –12.062 | 0 | D(UKC) | 0.268873 | 0.051735 | 5.1971 | 0 |
| D[ITD(−1)] | 2.778611 | 0.1868 | 14.868 | 0 | D(UKD) | 47.12621 | 2.722459 | 17.310 | 0 |
| D[ITD(−2)] | 7.120248 | 0.4008 | 17.764 | 0 | D[UKD(−1)] | 30.7398 | 1.783848 | 17.232 | 0 |
| D(SPC) | –0.160196 | 0.0116 | –13.773 | 0 | D[UKD(−2)] | 24.69249 | 1.607525 | 15.360 | 0 |
| D[SPC(−1)] | –2.20266 | 0.1252 | –17.591 | 0 | ECTt−1 | –0.232007 | 0.013497 | –17.189 | 0 |
| D[SPC(−2)] | 1.841172 | 0.1022 | 18.003 | 0 | R-squared | 0.986419 | |||
| D(SPD) | –0.980326 | 0.0797 | –12.298 | 0 | Adjusted R-squared | 0.976495 | |||
| D[SPD(−1)] | 46.90714 | 2.6982 | 17.384 | 0 | Durbin-Watson | 2.238767 | |||
| Long-run | |||||||||
| ITC | 0.126448 | 0.0523 | 2.4173 | 0.02 | GRD | 1414.319 | 551.7185 | 2.5634 | 0.02 |
| ITD | –19.5492 | 8.5399 | –2.2891 | 0.03 | UKC | –3.907005 | 1.392093 | –2.8065 | 0.01 |
| SPC | 5.587578 | 2.4497 | 2.2809 | 0.03 | UKD | 632.6026 | 214.79 | 2.94521 | 0.00 |
| SPD | –199.8744 | 78.205 | –2.5557 | 0.02 | C | 19.53222 | 1.409447 | 13.8580 | 0 |
| GRC | –3.192454 | 1.0700 | –2.9834 | 0.00 |
Author’s calculation.