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alkaline-ml / statsmodels   python

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Version: 0.11.1 

/ tsa / vector_ar / tests / JMulTi_results / macrodata_jmulti_c.txt

*** Sat, 3 Sep 2016 22:23:21 ***
VAR ESTIMATION RESULTS
endogenous variables:     realcons realgdp realinv 
exogenous variables:       
deterministic variables:  CONST 
endogenous lags:          4 
exogenous lags:           0 
sample range:             [1960 Q1, 2009 Q3], T = 199

modulus of the eigenvalues of the reverse characteristic polynomial :
|z| = ( 1.5287     1.5287     2.1209     2.1209     4.1522     4.1522     1.5245     1.5245     1.0538     1.0538     1.3179     0.9958     )
Legend:
=======
              Equation 1   Equation 2  ...
------------------------------------------
Variable 1 | Coefficient          ...
           | (Std. Dev.)
           | {p - Value}
           | [t - Value]
Variable 2 |         ...
...
------------------------------------------


Lagged endogenous term:
=======================
              realcons   realgdp   realinv  
-------------------------------------------
realcons(t-1)|    1.399     1.268     0.936  
             |   (0.112)   (0.192)   (0.138) 
             |   {0.000}   {0.000}   {0.000} 
             |  [12.442]   [6.610]   [6.765] 
realgdp (t-1)|   -0.238     0.566    -0.153  
             |   (0.089)   (0.152)   (0.109) 
             |   {0.007}   {0.000}   {0.160} 
             |  [-2.680]   [3.735]  [-1.404] 
realinv (t-1)|    0.285     0.324     1.159  
             |   (0.104)   (0.177)   (0.128) 
             |   {0.006}   {0.068}   {0.000} 
             |   [2.740]   [1.827]   [9.061] 
realcons(t-2)|   -0.070    -0.617    -0.613  
             |   (0.189)   (0.322)   (0.232) 
             |   {0.711}   {0.055}   {0.008} 
             |  [-0.371]  [-1.915]  [-2.642] 
realgdp (t-2)|    0.016     0.343     0.180  
             |   (0.127)   (0.216)   (0.156) 
             |   {0.901}   {0.112}   {0.249} 
             |   [0.125]   [1.587]   [1.153] 
realinv (t-2)|   -0.107    -0.424    -0.312  
             |   (0.163)   (0.278)   (0.200) 
             |   {0.510}   {0.127}   {0.120} 
             |  [-0.659]  [-1.525]  [-1.555] 
realcons(t-3)|    0.100    -0.116    -0.145  
             |   (0.193)   (0.329)   (0.237) 
             |   {0.605}   {0.725}   {0.539} 
             |   [0.518]  [-0.352]  [-0.614] 
realgdp (t-3)|    0.012    -0.164    -0.208  
             |   (0.126)   (0.215)   (0.155) 
             |   {0.922}   {0.445}   {0.179} 
             |   [0.099]  [-0.764]  [-1.343] 
realinv (t-3)|   -0.072     0.109     0.243  
             |   (0.160)   (0.273)   (0.197) 
             |   {0.653}   {0.691}   {0.218} 
             |  [-0.450]   [0.398]   [1.231] 
realcons(t-4)|   -0.446    -0.444    -0.117  
             |   (0.129)   (0.219)   (0.158) 
             |   {0.001}   {0.043}   {0.460} 
             |  [-3.470]  [-2.025]  [-0.739] 
realgdp (t-4)|    0.225     0.206     0.153  
             |   (0.092)   (0.157)   (0.113) 
             |   {0.014}   {0.189}   {0.176} 
             |   [2.451]   [1.314]   [1.353] 
realinv (t-4)|   -0.113    -0.119    -0.196  
             |   (0.110)   (0.187)   (0.135) 
             |   {0.303}   {0.525}   {0.146} 
             |  [-1.029]  [-0.636]  [-1.453] 
-------------------------------------------


Deterministic term:
===================
          realcons   realgdp   realinv  
---------------------------------------
CONST   |    3.263    17.568    -7.535  
        |  (10.803)  (18.426)  (13.283) 
        |   {0.763}   {0.340}   {0.571} 
        |   [0.302]   [0.953]  [-0.567] 
---------------------------------------