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alkaline-ml / statsmodels   python

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Version: 0.11.1 

/ tsa / vector_ar / tests / JMulTi_results / macrodata_jmulti_cs.txt

*** Sat, 3 Sep 2016 22:25:42 ***
VAR ESTIMATION RESULTS
endogenous variables:     realcons realgdp realinv 
exogenous variables:       
deterministic variables:  CONST S1 S2 S3 
endogenous lags:          4 
exogenous lags:           0 
sample range:             [1960 Q1, 2009 Q3], T = 199

modulus of the eigenvalues of the reverse characteristic polynomial :
|z| = ( 1.4992     1.4992     2.0185     2.0185     3.5410     6.3965     1.5057     1.5057     1.0509     1.0509     1.3257     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)|    1.436     1.305     0.953  
             |   (0.114)   (0.195)   (0.141) 
             |   {0.000}   {0.000}   {0.000} 
             |  [12.621]   [6.693]   [6.758] 
realgdp (t-1)|   -0.266     0.543    -0.164  
             |   (0.090)   (0.154)   (0.111) 
             |   {0.003}   {0.000}   {0.142} 
             |  [-2.954]   [3.525]  [-1.469] 
realinv (t-1)|    0.308     0.345     1.169  
             |   (0.104)   (0.179)   (0.129) 
             |   {0.003}   {0.053}   {0.000} 
             |   [2.953]   [1.932]   [9.038] 
realcons(t-2)|   -0.138    -0.686    -0.649  
             |   (0.193)   (0.330)   (0.239) 
             |   {0.474}   {0.037}   {0.006} 
             |  [-0.717]  [-2.082]  [-2.722] 
realgdp (t-2)|    0.058     0.400     0.208  
             |   (0.129)   (0.221)   (0.160) 
             |   {0.650}   {0.071}   {0.193} 
             |   [0.453]   [1.809]   [1.300] 
realinv (t-2)|   -0.154    -0.470    -0.335  
             |   (0.164)   (0.282)   (0.204) 
             |   {0.349}   {0.095}   {0.100} 
             |  [-0.936]  [-1.669]  [-1.644] 
realcons(t-3)|    0.160    -0.107    -0.139  
             |   (0.197)   (0.337)   (0.244) 
             |   {0.416}   {0.750}   {0.569} 
             |   [0.814]  [-0.318]  [-0.570] 
realgdp (t-3)|   -0.011    -0.179    -0.218  
             |   (0.128)   (0.219)   (0.159) 
             |   {0.930}   {0.415}   {0.170} 
             |  [-0.087]  [-0.815]  [-1.371] 
realinv (t-3)|   -0.041     0.123     0.252  
             |   (0.162)   (0.277)   (0.200) 
             |   {0.799}   {0.656}   {0.209} 
             |  [-0.255]   [0.445]   [1.256] 
realcons(t-4)|   -0.474    -0.419    -0.105  
             |   (0.130)   (0.223)   (0.161) 
             |   {0.000}   {0.060}   {0.515} 
             |  [-3.649]  [-1.884]  [-0.651] 
realgdp (t-4)|    0.233     0.188     0.145  
             |   (0.093)   (0.159)   (0.115) 
             |   {0.012}   {0.238}   {0.208} 
             |   [2.507]   [1.179]   [1.258] 
realinv (t-4)|   -0.121    -0.108    -0.191  
             |   (0.110)   (0.189)   (0.136) 
             |   {0.271}   {0.567}   {0.161} 
             |  [-1.101]  [-0.572]  [-1.403] 
-------------------------------------------


Deterministic term:
===================
          realcons   realgdp   realinv  
---------------------------------------
CONST   |    0.514     8.866   -12.124  
        |  (11.320)  (19.393)  (14.032) 
        |   {0.964}   {0.648}   {0.388} 
        |   [0.045]   [0.457]  [-0.864] 
S1   (t)|    4.472     7.218     4.147  
        |   (5.541)   (9.493)   (6.869) 
        |   {0.420}   {0.447}   {0.546} 
        |   [0.807]   [0.760]   [0.604] 
S2   (t)|   -1.636    13.947     7.368  
        |   (5.458)   (9.350)   (6.766) 
        |   {0.764}   {0.136}   {0.276} 
        |  [-0.300]   [1.492]   [1.089] 
S3   (t)|    8.790    12.807     6.307  
        |   (5.523)   (9.462)   (6.846) 
        |   {0.112}   {0.176}   {0.357} 
        |   [1.591]   [1.354]   [0.921] 
---------------------------------------