Null Hypothesis: D(JUROS) has a unit root

Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-2.396457
-2.605442
-1.946549
-1.613181

0.0172

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(JUROS,2)
Method: Least Squares
Date: 02/01/16 Time: 21:31
Sample (adjusted): 2010M03 2014M12
Included observations: 58 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(JUROS(-1))

-0.200093

0.083495

-2.396457

0.0199

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.090197
0.090197
2.151301
263.8014
-126.2263

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

0.085709
2.255420
4.387113
4.422638
2.177993

Null Hypothesis: D(MASSA) has a unit root

Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(MASSA,2)
Method: Least Squares
Date: 02/01/16 Time: 21:33

t-Statistic

Prob.*

-6.639934
-2.605442
-1.946549
-1.613181

0.0000

Sample (adjusted): 2010M03 2014M12

Included observations: 58 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(MASSA(-1))

-0.901762

0.135809

-6.639934

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.435358
0.435358
1.537934
134.8187
-106.7596

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

-0.075506
2.046685
3.715848
3.751373
1.927215

Null Hypothesis: D(PRECOS) has a unit root

Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-4.519572
-2.605442
-1.946549
-1.613181

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PRECOS,2)
Method: Least Squares
Date: 02/01/16 Time: 21:34
Sample (adjusted): 2010M03 2014M12
Included observations: 58 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(PRECOS(-1))

-0.522370

0.115580

-4.519572

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.263643
0.263643
6.678039
2541.983
-191.9259

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

Null Hypothesis: D(VENDAS) has a unit root

Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)

-0.119144
7.782240
6.652617
6.688142
1.853721

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-12.18329
-2.605442
-1.946549
-1.613181

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(VENDAS,2)
Method: Least Squares
Date: 02/01/16 Time: 21:35
Sample (adjusted): 2010M03 2014M12
Included observations: 58 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(VENDAS(-1))

-1.454264

0.119365

-12.18329

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.722295
0.722295
2.824053
454.5906
-142.0081

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

-0.156918
5.358961
4.931314
4.966839
1.890455

VAR Lag Order Selection Criteria

Endogenous variables: JUROS MASSA PRECOS
VENDAS
Exogenous variables: C
Date: 02/01/16 Time: 21:41
Sample: 2010M01 2014M12
Included observations: 55
Lag

LogL

LR

FPE

AIC

SC

HQ

0
1
2
3
4
5

-787.4260
-546.8922
-496.6124
-484.2792
-472.3903
-452.8467

NA
437.3343
84.10431*
18.83621
16.42828
24.16296

37044703
10559.33
3065.884*
3590.317
4370.533
4159.443

28.77913
20.61426
19.36772*
19.50106
19.65056
19.52170

28.92512
21.34420
20.68161*
21.39890
22.13235
22.58744

28.83558
20.89653
19.87582*
20.23497
20.61029
20.70725

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

Varia
nce
Deco
mposit
ion of
MASS
A:
Perio
d

S.E.

MASSA

JUROS

VENDAS

PRECOS

1
2
3
4
5
6
7
8
9
10

1.494185
2.048892
2.416056
2.686379
2.899440
3.070438
3.212274
3.332867
3.437732
3.530205

100.0000
97.38750
92.74710
88.74074
86.13181
84.77253
84.20639
84.05439
84.06925
84.12052

0.000000
0.008809
0.013745
0.014007
0.012401
0.011149
0.011514
0.014863
0.023240
0.039466

0.000000
0.214728
1.124457
1.700669
2.120330
2.383863
2.603594
2.812688
3.037287
3.280475

0.000000
2.388960
6.114700
9.544580
11.73546
12.83246
13.17850
13.11806
12.87022
12.55954

Varia
nce
Deco
mposit
ion of
JURO
S:
Perio
d

S.E.

MASSA

JUROS

VENDAS

PRECOS

1
2
3
4
5
6
7
8
9
10

2.148103
4.412484
6.755001
9.054064
11.21047
13.17144
14.90365
16.39424
17.64408
18.66519

0.248952
0.348013
0.250575
0.186736
0.140526
0.111069
0.092414
0.081283
0.075528
0.074083

99.75105
97.93907
97.19967
96.26412
95.41188
94.58528
93.82120
93.11966
92.48372
91.90985

0.000000
1.696537
2.327988
2.944285
3.299339
3.524039
3.636340
3.680942
3.681296
3.657159

0.000000
0.016385
0.221770
0.604856
1.148257
1.779615
2.450046
3.118111
3.759455
4.358905

Varia
nce
Deco
mposit
ion of
VEND
AS:
Perio
d

S.E.

MASSA

JUROS

VENDAS

PRECOS

1
2

2.671663
2.848138

4.887433
4.954439

1.206798
3.818743

93.90577
88.91288

0.000000
2.313942

3
4
5
6
7
8
9
10

3.170246
3.365400
3.589410
3.789509
3.983610
4.159975
4.321530
4.466537

7.661198
10.36050
13.49109
16.06214
18.15180
19.73601
20.95877
21.92219

6.849263
10.38736
13.53227
16.37990
18.75464
20.75115
22.37106
23.66738

83.13130
76.82383
70.75164
65.47309
61.10101
57.51585
54.58396
52.16059

2.358236
2.428320
2.225009
2.084875
1.992542
1.996983
2.086207
2.249847

Varia
nce
Deco
mposit
ion of
PREC
OS:
Perio
d

S.E.

MASSA

JUROS

VENDAS

PRECOS

1
2
3
4
5
6
7
8
9
10

6.282306
10.96425
14.20434
16.17819
17.27177
17.85841
18.17937
18.37399
18.51236
18.62761

2.921218
1.150660
1.186426
1.208824
1.148578
1.087856
1.050124
1.028058
1.012820
1.002287

0.630340
0.610319
0.582053
0.520833
0.459282
0.460765
0.593048
0.897850
1.378437
2.004918

0.003524
0.425421
1.220694
2.571186
4.074333
5.496538
6.646880
7.494430
8.077265
8.463628

96.44492
97.81360
97.01083
95.69916
94.31781
92.95484
91.70995
90.57966
89.53148
88.52917

Chole
sky
Orderi
ng:
MASS
A
JURO
S
VEND
AS
PREC
OS