Table 3.
Parsimonious VAR model results.
| Coefficient | Std. Error | t-Statistic | Prob. | |
|---|---|---|---|---|
| C(3) | 0.383051 | 0.069998 | 5.472328 | 0.0000 |
| C(7) | 2.215522 | 0.620390 | 3.571177 | 0.0008 |
| C(11) | 0.800431 | 0.080815 | 9.904456 | 0.0000 |
| C(14) |
2.217329 |
0.715865 |
3.097412 |
0.0031 |
| Determinant residual covariance: 4.051580 | 80 | |||
| Equation: Yt = C(3)∗Tt(-1) + C(7) | ||||
| Observations: 29 | ||||
| R-squared | 0.525870 | Mean dependent var | 5.295243 | |
| Adjusted R-squared | 0.508309 | S.D. dependent var | 2.005038 | |
| S.E. of regression | 1.405945 | Sum squared resid | 53.37043 | |
| Durbin-Watson stat | 1.390974 | |||
| Equation: Tt = C(11)∗Tt(-2) + C(14) | ||||
| Observations: 28 | ||||
| R-squared | 0.790489 | Mean dependent var | 8.625321 | |
| Adjusted R-squared | 0.782430 | S.D. dependent var | 3.475868 | |
| S.E. of regression | 1.621296 | Sum squared resid | 68.34361 | |
| Durbin-Watson stat | 1.657705 | |||
Source: Authors' estimations