                    COINTEGRATION ANALYSIS

Endogeneous series   :
RM2         Y           DIFP        IM2         IB

Exogeneous series
Stationary           :
D862        D923        D943
Deterministic series :

Unrestricted constant and trend in coint. space
3 centered seasonal dummies

Effective sample     :  83:03 TO 94:04
Lag(s) in VAR-model  :  2
No. of observations  :  46
Obs.- no.of variables:  28


I(1) ANALYSIS

Eigenv.    L-max   Trace   H0: r     p-r
0.7192   58.43  136.40       0       5
0.5260   34.34   77.97       1       4
0.3442   19.41   43.63       2       3
0.2903   15.78   24.22       3       2
0.1678    8.45    8.45       4       1

BETA (transposed)
RM2     Y       DIFP    IM2     IB         TREND
 -45.389  -2.252-144.505 168.903 203.743   0.461
 120.377 -62.136-231.602-221.145 255.624  -0.680
 -56.552   2.744 318.078-463.283 179.315   0.447
  27.552  -6.375 307.077 317.618-373.473  -0.080
  91.166  14.850-140.582-165.322 212.115  -0.756

The eigenvalues of the companion matrix
      real   complex   modulus    argument
    0.9803    0.1069    0.9861    0.1086
    0.9803   -0.1069    0.9861   -0.1086
    0.5314   -0.1851    0.5627   -0.3352
    0.5314    0.1851    0.5627    0.3352
    0.1899    0.5116    0.5457    1.2153
    0.1899   -0.5116    0.5457   -1.2153
   -0.5249    0.0000    0.5249    3.1416
    0.3763    0.0000    0.3763    0.0000
   -0.1587   -0.2115    0.2644   -2.2147
   -0.1587    0.2115    0.2644    2.2147

The matrices based on 3 cointegration vectors

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.314     0.016     1.000    -1.169    -1.410    -0.003
     1.000    -0.516    -1.924    -1.837     2.124    -0.006
     0.122    -0.006    -0.687     1.000    -0.387    -0.001

ALPHA                                       T-VALUES FOR ALPHA
DRM2           0.114  -0.337   1.007        0.599  -2.129   1.653
DY             0.813   0.381  -0.617        6.592   3.705  -1.560
DDIFP         -0.013   0.076   0.418       -0.285   2.024   2.883
DIM2           0.005  -0.012  -0.026        0.788  -2.304  -1.328
DIB            0.121  -0.030   0.198        5.441  -1.594   2.773

PI
            RM2       Y         DIFP      IM2       IB             TREND
DRM2            -0.179     0.170     0.071     1.494    -1.266     0.001
DY               0.561    -0.180     0.504    -2.266    -0.099    -0.004
DDIFP            0.123    -0.042    -0.446     0.293     0.018    -0.001
DIM2            -0.013     0.006     0.045    -0.010    -0.022     0.000
DIB              0.033     0.016     0.042     0.111    -0.310    -0.000

T-VALUES FOR PI
                -0.966     2.075     0.129     2.101    -2.582     0.465
                 4.675    -3.392     1.409    -4.913    -0.312    -5.198
                 2.801    -2.158    -3.404     1.733     0.157    -2.708
                -2.254     2.387     2.553    -0.442    -1.371     1.922
                 1.508     1.666     0.653     1.328    -5.400    -2.846

The eigenvalues of the companion matrix
      real   complex   modulus    argument
    1.0000    0.0000    1.0000    0.0000
    1.0000    0.0000    1.0000    0.0000
    0.7163    0.1838    0.7395    0.2512
    0.7163   -0.1838    0.7395   -0.2512
    0.6700    0.0000    0.6700    0.0000
   -0.5638    0.0000    0.5638    3.1416
   -0.0719    0.4627    0.4683    1.7250
   -0.0719   -0.4627    0.4683   -1.7250
    0.3059    0.0000    0.3059    0.0000
   -0.1556   -0.0000    0.1556   -3.1416


Recalculation of the eigenvectors

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
    -0.517     0.171     1.000     0.000     0.000     0.004
     1.000    -0.115     0.537    -1.476    -2.540    -0.009
    -0.144     0.094    -0.091     1.000    -0.527     0.001

ALPHA                                       T-VALUES FOR ALPHA
DRM2           0.148   0.145   1.707        0.306   1.104   2.496
DY             0.141   0.390  -1.691        0.448   4.582  -3.810
DDIFP         -0.399  -0.052   0.216       -3.460  -1.669   1.329
DIM2           0.041   0.008   0.002        2.635   1.928   0.086
DIB            0.022   0.076   0.223        0.380   4.948   2.780

Recalculation of the eigenvectors

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     1.000    -1.000     0.000    -9.428     7.642    -0.003
    50.086     1.084   134.392  -163.553  -208.183    -0.495
   130.134   -53.071  -397.031   114.643   117.458    -0.797

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.162   0.000  -0.000       -2.590   0.050  -0.119
DY             0.143   0.006   0.001        3.535   7.255   0.969
DDIFP         -0.016  -0.000   0.001       -1.110  -0.228   3.517
DIM2          -0.001   0.000  -0.000       -0.300   0.512  -2.522
DIB           -0.023   0.001   0.000       -3.115   4.772   0.927

PI
            RM2       Y         DIFP      IM2       IB             TREND
DRM2            -0.179     0.170     0.071     1.494    -1.266     0.001
DY               0.561    -0.180     0.504    -2.266    -0.099    -0.004
DDIFP            0.123    -0.042    -0.446     0.293     0.018    -0.001
DIM2            -0.013     0.006     0.045    -0.010    -0.022     0.000
DIB              0.033     0.016     0.042     0.111    -0.310    -0.000

T-VALUES FOR PI
                -0.966     2.075     0.129     2.101    -2.582     0.465
                 4.675    -3.392     1.409    -4.913    -0.312    -5.198
                 2.801    -2.158    -3.404     1.733     0.157    -2.708
                -2.254     2.387     2.553    -0.442    -1.371     1.922
                 1.508     1.666     0.653     1.328    -5.400    -2.846




The LR test, CHISQ(1) =   0.08 , p-value = 0.78

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     1.000    -1.000     0.000    -8.415     8.415    -0.002
   -56.033     2.282  -129.522   188.490   195.420     0.530
   121.814   -49.803  -408.385   131.592   111.198    -0.749

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.154   0.000  -0.000       -2.883   0.348  -0.057
DY             0.115  -0.006   0.001        3.278  -7.462   0.965
DDIFP         -0.012   0.000   0.001       -0.934   0.230   3.606
DIM2          -0.001  -0.000  -0.000       -0.588  -0.327  -2.504
DIB           -0.020  -0.001   0.000       -3.148  -4.221   0.643


The LR test, CHISQ(1) =   1.74 , p-value = 0.19

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
    -0.036     0.036     1.000     0.000     0.000     0.000
   -51.390     3.888    -1.983   181.207   200.851     0.522
  -112.876    52.749    -5.942   196.533  -256.129     0.592

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.525  -0.000   0.002       -0.920  -0.173   1.851
DY             0.293  -0.006  -0.003        0.735  -6.603  -3.421
DDIFP         -0.540   0.000  -0.001       -3.874   0.700  -2.537
DIM2           0.038  -0.000   0.000        1.946  -0.799   2.358
DIB            0.086  -0.001   0.000        1.154  -4.845   1.293



The LR test, CHISQ(1) =   1.75 , p-value = 0.19

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000    -0.009     1.000     0.000     0.000     0.000
   -48.683    -1.421    -0.012   189.694   197.921     0.534
  -123.038    64.870     0.554   176.728  -265.971     0.595

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.744   0.000   0.002       -1.255   0.182   1.430
DY             0.290  -0.006  -0.003        0.688  -6.690  -3.155
DDIFP         -0.585   0.000  -0.001       -4.030   0.848  -2.966
DIM2           0.033  -0.000   0.000        1.612  -0.651   2.327
DIB            0.094  -0.001   0.000        1.181  -4.597   1.170

PI
            RM2       Y         DIFP      IM2       IB             TREND
DRM2            -0.227     0.120    -0.743     0.353    -0.423     0.001
DY               0.624    -0.173     0.289    -1.596    -0.424    -0.005
DDIFP            0.097    -0.053    -0.586    -0.109     0.288    -0.001
DIM2            -0.011     0.006     0.033     0.012    -0.032     0.000
DIB              0.013     0.013     0.094    -0.109    -0.200    -0.000

T-VALUES FOR PI
                -1.396     1.573    -1.252     1.108    -1.038     0.842
                 5.395    -3.189     0.684    -7.045    -1.463    -6.206
                 2.446    -2.851    -4.030    -1.401     2.886    -2.368
                -1.924     2.339     1.614     1.110    -2.255     1.543
                 0.604     1.249     1.182    -2.566    -3.683    -1.804


The LR test, CHISQ(1) =   1.71 , p-value = 0.19

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     1.000     1.000   -50.828     0.000     0.000    -0.030
    53.266     2.461     1.097  -196.725  -197.931    -0.579
   116.151   -68.139     0.945  -176.010   271.556    -0.516

ALPHA                                       T-VALUES FOR ALPHA
DRM2           0.016  -0.001  -0.002        1.353  -0.459  -1.429
DY            -0.005   0.006   0.003       -0.632   6.690   3.119
DDIFP          0.012  -0.000   0.001        4.095  -1.036   2.986
DIM2          -0.001   0.000  -0.000       -1.473   0.570  -2.302
DIB           -0.002   0.001  -0.000       -1.167   4.395  -1.230


The LR test, CHISQ(1) =   1.47 , p-value = 0.23

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
    -0.145     0.000     1.000     0.000     0.000     0.001
    73.270     1.203    10.652  -210.757  -215.616    -0.741
    82.731   -62.176    12.027  -210.087   261.059    -0.291

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.823  -0.001  -0.003       -1.307  -0.880  -2.116
DY             0.229   0.005   0.003        0.515   6.193   3.516
DDIFP         -0.643  -0.001   0.001       -4.238  -1.883   2.326
DIM2           0.030   0.000  -0.000        1.360   0.677  -2.283
DIB            0.080   0.001  -0.000        0.950   3.885  -1.474



The LR test, CHISQ(1) =   0.33 , p-value = 0.57

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000    -0.001     1.000    -1.000     0.000    -0.000
    46.695     6.037     2.694     2.690  -244.968    -0.495
   128.536   -62.006  -224.972  -224.932   227.146    -0.756

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.812   0.002  -0.002       -1.782   1.826  -1.726
DY             1.149   0.004   0.003        3.739   4.789   3.611
DDIFP         -0.345   0.000   0.001       -3.173   0.980   2.611
DIM2           0.019   0.000  -0.000        1.283   0.506  -2.404
DIB            0.013   0.001  -0.000        0.234   5.922  -0.912



The LR test, CHISQ(1) =   1.66 , p-value = 0.20

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000     0.110     1.000     0.000    -1.000    -0.001
  -130.112    38.152    29.608   271.724    33.820     0.950
    -9.563   -14.665   202.455  -257.512   200.836     0.208

ALPHA                                       T-VALUES FOR ALPHA
DRM2           0.276   0.001  -0.004        0.600   1.134  -3.074
DY             0.340  -0.005   0.001        1.086  -5.608   0.815
DDIFP         -0.352  -0.001  -0.001       -3.203  -2.462  -2.401
DIM2           0.036   0.000  -0.000        2.346   1.873  -0.007
DIB            0.172  -0.000  -0.001        3.053  -1.059  -3.605


The LR test, CHISQ(1) =   0.05 , p-value = 0.82

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000     0.088     0.000     1.000    -1.000    -0.001
    68.426    -5.443   123.801  -200.727  -201.204    -0.620
  -123.856    52.380   384.593  -131.633  -127.033     0.736

ALPHA                                       T-VALUES FOR ALPHA
DRM2           1.382  -0.001   0.001        2.339  -0.802   0.667
DY            -1.195   0.007  -0.001       -3.162   7.711  -0.970
DDIFP          0.149  -0.000  -0.001        1.061  -0.287  -3.320
DIM2           0.003   0.000   0.000        0.151   0.193   2.734
DIB            0.244   0.000  -0.000        3.598   3.073  -0.193



The LR test, CHISQ(3) =   0.38 , p-value = 0.94

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000     0.000     1.000    -1.000     0.000     0.000
   -47.680    -5.000     1.616     1.616   238.324     0.500
  -126.555    62.059   225.810   225.810  -234.552     0.738

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.927  -0.002   0.002       -1.983  -1.817   1.826
DY             1.143  -0.004  -0.003        3.580  -5.016  -3.621
DDIFP         -0.353  -0.000  -0.001       -3.132  -0.966  -2.498
DIM2           0.020  -0.000   0.000        1.314  -0.453   2.392
DIB            0.018  -0.001   0.000        0.312  -5.799   1.067


The LR test, CHISQ(3) =   4.13 , p-value = 0.25

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000     0.000     1.000     0.000    -1.000     0.000
   -87.428    15.105    34.462   289.053    34.462     0.746
    95.522   -61.675    30.901  -105.184    30.901    -0.427

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.495  -0.001  -0.004       -0.834  -1.206  -3.405
DY             0.017  -0.006   0.002        0.041  -6.348   1.808
DDIFP         -0.485  -0.001   0.000       -3.211  -2.235   0.649
DIM2           0.004  -0.000  -0.000        0.201  -0.471  -2.816
DIB            0.248  -0.000  -0.000        3.133  -2.477  -1.935


The LR test, CHISQ(3) =   1.56 , p-value = 0.67

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000     0.000     0.000     1.000    -1.000     0.000
   -48.174    -0.317  -144.180   191.321   191.321     0.476
  -126.981    63.236   274.026   -47.328   -47.328     0.720

ALPHA                                       T-VALUES FOR ALPHA
DRM2           0.968  -0.000   0.002        1.705  -0.299   1.722
DY            -1.113  -0.006  -0.002       -3.098  -7.031  -2.821
DDIFP          0.015   0.000  -0.001        0.105   0.360  -2.373
DIM2          -0.011  -0.000   0.000       -0.641  -0.978   2.947
DIB            0.218  -0.001   0.000        3.363  -4.765   0.691


The LR test, CHISQ(3) =   0.38 , p-value = 0.94

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     1.000    -1.000     0.000    -6.566     7.720    -0.002
     0.000     0.000     1.000    -1.000     0.000     0.000
    -0.959     0.228     1.000     1.000     1.004     0.007

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.147  -0.445   0.038       -2.454  -0.845   0.265
DY             0.038   1.018  -0.591        0.932   2.827  -5.978
DDIFP          0.026  -0.437  -0.089        1.782  -3.439  -2.546
DIM2          -0.005   0.036   0.008       -2.335   2.034   1.566
DIB           -0.027   0.106  -0.051       -3.597   1.615  -2.842


The LR test, CHISQ(5) =   7.56 , p-value = 0.18

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     1.000    -1.000     0.000    -7.514     7.514    -0.002
     0.000     0.000    -1.000     1.000     0.000     0.000
    -0.356     0.000     1.000     0.000     0.000     0.003

"STANDARD ERRORS" FOR BETA (transposed)
     0.000     0.000     0.000     1.092     1.092     0.000
     0.000     0.000     0.000     0.000     0.000     0.000
     0.066     0.000     0.000     0.000     0.000     0.001

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.133   0.482  -0.235       -2.035   0.922  -0.650
DY             0.052  -1.314  -1.455        1.147  -3.607  -5.774
DDIFP          0.033   0.406  -0.257        2.128   3.326  -3.036
DIM2          -0.004  -0.031   0.004       -1.818  -1.724   0.303
DIB           -0.031  -0.151  -0.105       -3.681  -2.231  -2.250

The LR test, CHISQ(4) =   0.45 , p-value = 0.98

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     1.000    -1.000     0.000    -7.087     7.087    -0.002
     0.000     0.000    -1.000     1.000     0.000     0.000
    -0.366     0.123     1.000     0.000     0.000     0.003

"STANDARD ERRORS" FOR BETA (transposed)
     0.000     0.000     0.000     1.023     1.023     0.000
     0.000     0.000     0.000     0.000     0.000     0.000
     0.051     0.022     0.000     0.000     0.000     0.000

ALPHA                                       T-VALUES FOR ALPHA
DRM2          -0.158   0.464   0.024       -2.521   0.858   0.056
DY            -0.039  -2.179  -1.760       -0.910  -5.921  -6.103
DDIFP          0.016   0.271  -0.253        1.093   2.080  -2.478
DIM2          -0.004  -0.023   0.020       -2.010  -1.259   1.420
DIB           -0.038  -0.222  -0.169       -4.903  -3.308  -3.202

PI
            RM2       Y         DIFP      IM2       IB             TREND
DRM2            -0.166     0.160    -0.441     1.581    -1.116     0.000
DY               0.605    -0.178     0.420    -1.905    -0.274    -0.004
DDIFP            0.109    -0.047    -0.523     0.154     0.116    -0.001
DIM2            -0.012     0.007     0.043     0.007    -0.030     0.000
DIB              0.024     0.017     0.054     0.047    -0.270    -0.000

T-VALUES FOR PI
                -0.983     1.941    -0.760     2.924    -2.521     0.370
                 5.260    -3.157     1.064    -5.179    -0.910    -5.916
                 2.676    -2.387    -3.752     1.185     1.093    -2.584
                -2.045     2.414     2.213     0.387    -2.010     1.654
                 1.125     1.689     0.746     0.707    -4.903    -2.551


The LR test, CHISQ(1) =   1.89 , p-value = 0.17

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000     0.018     1.000     0.000     0.000     0.000
   -47.212     0.000  -103.040   186.223   200.393     0.482
   122.044     0.000  3282.320  -191.223   261.080     0.197

ALPHA                                       T-VALUES FOR ALPHA
DRM2           6.203   0.000  -0.002        1.414   0.090  -1.722
DY            -9.949  -0.006   0.003       -3.166  -6.590   3.348
DDIFP         -3.163   0.000   0.001       -2.885   0.824   2.644
DIM2           0.364  -0.000  -0.000        2.372  -0.762  -2.359
DIB            0.721  -0.001  -0.000        1.219  -4.683  -1.288


The LR test, CHISQ(1) =   1.75 , p-value = 0.19

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
     0.000    -0.009     1.000     0.000     0.000     0.000
   -48.683    -1.421    -0.012   189.694   197.921     0.534
  -123.038    64.870     0.554   176.728  -265.971     0.595


The LR test, CHISQ(1) =   0.30 , p-value = 0.58

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
    -0.021     0.021     1.000    -1.000     0.000     0.000
    54.370     1.551    -0.772    -1.868  -245.264    -0.533
   123.987   -61.781  -223.237  -227.092   241.205    -0.716


                    COINTEGRATION ANALYSIS

Endogeneous series   :
RM2         Y           DIFP        IM2         IB

Exogeneous series
Stationary           :
D744        D761        D812
Deterministic series :

Unrestricted constant and trend in coint. space
3 centered seasonal dummies

Effective sample     :  74:03 TO 94:04
Lag(s) in VAR-model  :  2
No. of observations  :  82
Obs.- no.of variables:  64


I(1) ANALYSIS

Eigenv.    L-max   Trace   H0: r     p-r
0.5259   61.20  109.27       0       5
0.2254   20.94   48.07       1       4
0.1541   13.73   27.13       2       3
0.1197   10.45   13.40       3       2
0.0354    2.95    2.95       4       1



The LR test, CHISQ(1) =   1.42 , p-value = 0.23

BETA (transposed)
    RM2       Y         DIFP      IM2       IB             TREND
    -0.037     0.037     1.000    -1.000     0.000     0.000
     5.237    19.727    46.041    46.571    70.242    -0.078
     0.619   -37.691  -104.647  -106.046   219.750     0.184

                    COINTEGRATION ANALYSIS

Endogeneous series   :
RM2         Y           DIFP        IM2         IB

Exogeneous series
Stationary           :
D862        D923        D943
Deterministic series :

Unrestricted constant and trend in coint. space
3 centered seasonal dummies

Effective sample     :  83:03 TO 94:04
Lag(s) in VAR-model  :  2
No. of observations  :  46
Obs.- no.of variables:  28


Batch tests of the time series properties of the individual series

TEST FOR EXCLUSION: LR TEST CHISQ(r)
   r DGF CHISQ_5RM2     Y       DIFP    IM2     IB         TREND
   1   1    3.84    2.88    0.02    3.50    1.25    5.80    5.76
   2   2    5.99   14.17   12.46    7.39    2.16   10.79   13.77
   3   3    7.81   17.10   12.53    9.31    3.82   11.48   16.73
   4   4    9.49   19.53   12.67   15.86    5.37   17.13   17.03

TEST FOR STATIONARITY: LR TEST CHISQ(p-r)
   r DGF CHISQ_5    RM2     Y       DIFP    IM2     IB
   1   5   11.07   38.73   39.60   39.48   43.70   39.59
   2   4    9.49   20.63   18.87   16.60   19.61   15.72
   3   3    7.81    8.22    9.03    4.14    9.34    4.41
   4   2    5.99    5.66    6.63    4.11    8.94    4.06

TEST FOR WEAK-EXOGENEITY: LR TEST CHISQ(r)
   r DGF CHISQ_5RM2     Y       DIFP    IM2     IB
   1   1    3.84    0.24   13.88    0.05    0.43   14.21
   2   2    5.99    2.82   24.99    2.06    3.96   16.56
   3   3    7.81    3.58   27.38    4.29    4.89   19.11
   4   4    9.49    9.26   32.50    9.02    6.41   24.46


