Vector Autoregression Estimates

Date: 09/16/22 Time: 11:56

Sample (adjusted): 2012 2021
Included observations: 10 after adjustments
Standard errors in ( ) & t-statistics in [ ]

GDP SMC

GDP(-1) 0.180470 -0.112609

(0.49436) (0.15601)
[ 0.36506] [-0.72179]

GDP(-2) 0.992315 0.133158

(0.50552) (0.15954)
[ 1.96294] [ 0.83465]

SMC(-1) 0.517960 0.417421

(0.95466) (0.30128)
[ 0.54256] [ 1.38549]

SMC(-2) 0.354234 -0.203482

(0.55444) (0.17498)
[ 0.63890] [-1.16292]

C -1.10E+10 6.80E+09
(1.0E+10) (3.3E+09)
[-1.05079] [ 2.05527]

R-squared 0.940468 0.526348

Adj. R-squared 0.892842 0.147426
Sum sq. resids 9.17E+18 9.13E+17
S.E. equation 1.35E+09 4.27E+08
F-statistic 19.74706 1.389067
Log likelihood -220.9895 -209.4563
Akaike AIC 45.19790 42.89126
Schwarz SC 45.34919 43.04255
Mean dependent 3.12E+10 9.20E+09
S.D. dependent 4.14E+09 4.63E+08

Determinant resid covariance (dof adj.) 3.26E+35

Determinant resid covariance 8.14E+34
Log likelihood -430.3019
Akaike information criterion 88.06038
Schwarz criterion 88.36297
Number of coefficients 10
Vector Autoregression Estimates
Date: 09/16/22 Time: 11:57
Sample (adjusted): 2013 2021
Included observations: 9 after adjustments
Standard errors in ( ) & t-statistics in [ ]

D(GDP) D(SMC)

D(GDP(-1)) -0.890828 -0.157796

(0.36662) (0.23518)
[-2.42987] [-0.67096]

D(GDP(-2)) 0.238164 -0.071171

(0.56153) (0.36021)
[ 0.42414] [-0.19758]

D(SMC(-1)) -1.554095 -0.121683

(0.76518) (0.49085)
[-2.03103] [-0.24790]

D(SMC(-2)) 0.510547 -0.072798

(0.32338) (0.20744)
[ 1.57880] [-0.35093]

C 2.19E+09 3.57E+08
(7.8E+08) (5.0E+08)
[ 2.81590] [ 0.71761]

R-squared 0.760285 0.145865

Adj. R-squared 0.520569 -0.708270
Sum sq. resids 4.06E+18 1.67E+18
S.E. equation 1.01E+09 6.46E+08
F-statistic 3.171614 0.170775
Log likelihood -195.6940 -191.6983
Akaike AIC 44.59867 43.71074
Schwarz SC 44.70824 43.82031
Mean dependent 1.38E+09 1.39E+08
S.D. dependent 1.45E+09 4.94E+08

Determinant resid covariance (dof adj.) 4.16E+35

Determinant resid covariance 8.22E+34
Log likelihood -387.3162
Akaike information criterion 88.29248
Schwarz criterion 88.51162
Number of coefficients 10
Vector Autoregression Estimates
Date: 09/16/22 Time: 12:07
Sample (adjusted): 2012 2021
Included observations: 10 after adjustments
Standard errors in ( ) & t-statistics in [ ]

D(GDP) D(SMC)

D(GDP(-1)) -0.787131 -0.162664

(0.50709) (0.18033)
[-1.55226] [-0.90201]

D(SMC(-1)) 0.059086 -0.014706

(0.45069) (0.16028)
[ 0.13110] [-0.09175]

C 1.95E+09 2.80E+08
(6.4E+08) (2.3E+08)
[ 3.06290] [ 1.23698]

R-squared 0.258350 0.104677

Adj. R-squared 0.046450 -0.151129
Sum sq. resids 1.38E+19 1.75E+18
S.E. equation 1.41E+09 5.00E+08
F-statistic 1.219206 0.409204
Log likelihood -223.0456 -212.7069
Akaike AIC 45.20912 43.14138
Schwarz SC 45.29989 43.23215
Mean dependent 1.24E+09 1.38E+08
S.D. dependent 1.44E+09 4.66E+08

Determinant resid covariance (dof adj.) 4.90E+35

Determinant resid covariance 2.40E+35
Log likelihood -435.7108
Akaike information criterion 88.34217
Schwarz criterion 88.52372
Number of coefficients 6

Estimation Proc:
===============================
LS 1 2 GDP SMC

VAR Model:
===============================
GDP = C(1,1)*GDP(-1) + C(1,2)*GDP(-2) + C(1,3)*SMC(-1) + C(1,4)*SMC(-2) + C(1,5)

SMC = C(2,1)*GDP(-1) + C(2,2)*GDP(-2) + C(2,3)*SMC(-1) + C(2,4)*SMC(-2) + C(2,5)

VAR Model - Substituted Coefficients:
===============================
GDP = 0.180469804008*GDP(-1) + 0.992314831792*GDP(-2) + 0.517960204952*SMC(-1) +
0.354234460678*SMC(-2) - 11021448065

SMC = - 0.112609382044*GDP(-1) + 0.133158460475*GDP(-2) + 0.417421221988*SMC(-1) -

0.203481714265*SMC(-2) + 6803163542.8

VAR Residual Serial Correlation LM Tests

Date: 09/16/22 Time: 12:10
Sample: 2010 2021
Included observations: 10

Null
hypothesi
s: No
serial
correlatio
n at lag h

Lag LRE* stat df Prob. Rao F-stat df Prob.

1 3.104360 4 0.5405 0.823779 (4, 8.0) 0.5453

2 1.148516 4 0.8865 0.272226 (4, 8.0) 0.8879

Null
hypothesi
s: No
serial
correlatio
n at lags
1 to h

Lag LRE* stat df Prob. Rao F-stat df Prob.

1 3.104360 4 0.5405 0.823779 (4, 8.0) 0.5453

2 3.113165 8 0.9271 0.280041 (8, 4.0) 0.9408

*Edgeworth expansion corrected likelihood ratio statistic.

Variance Decomposition of GDP:
Period S.E. GDP SMC

1 1.35E+09 100.0000 0.000000

2 1.40E+09 97.57189 2.428113
3 1.97E+09 96.75655 3.243448
4 2.06E+09 94.77578 5.224215
5 2.53E+09 95.20206 4.797939
6 2.68E+09 94.14174 5.858259
7 3.13E+09 94.43149 5.568506
8 3.34E+09 93.63654 6.363463
9 3.81E+09 93.81456 6.185441
10 4.09E+09 93.25565 6.744354

Variance Decomposition of SMC:

Period S.E. GDP SMC

1 4.27E+08 2.836255 97.16374

2 4.78E+08 8.826891 91.17311
3 4.87E+08 11.41883 88.58117
4 4.93E+08 12.41855 87.58145
5 5.00E+08 14.74297 85.25703
6 5.02E+08 15.48405 84.51595
7 5.06E+08 16.88344 83.11656
8 5.08E+08 17.25780 82.74220
9 5.11E+08 18.36399 81.63601
10 5.11E+08 18.50710 81.49290

Cholesky One S.D. (d.f. adjusted) Innovations

Cholesky ordering: GDP SMC