Why Gemfury? Push, build, and install  RubyGems npm packages Python packages Maven artifacts PHP packages Go Modules Bower components Debian packages RPM packages NuGet packages

alkaline-ml / statsmodels   python

Repository URL to install this package:

Version: 0.11.1 

/ tsa / vector_ar / tests / JMulTi_results / macrodata_jmulti_ncs.txt

*** Sat, 3 Sep 2016 22:15:59 ***
VAR ESTIMATION RESULTS
endogenous variables:     realcons realgdp realinv 
exogenous variables:       
deterministic variables:  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| = ( 1.4985     1.4985     2.0225     2.0225     3.9001     5.4939     1.5053     1.5053     1.1995     1.1181     1.0330     0.9947     )
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     1.300     0.960  
             |   (0.113)   (0.194)   (0.141) 
             |   {0.000}   {0.000}   {0.000} 
             |  [12.671]   [6.693]   [6.819] 
realgdp (t-1)|   -0.265     0.553    -0.177  
             |   (0.089)   (0.152)   (0.110) 
             |   {0.003}   {0.000}   {0.108} 
             |  [-2.984]   [3.632]  [-1.606] 
realinv (t-1)|    0.307     0.335     1.183  
             |   (0.103)   (0.177)   (0.128) 
             |   {0.003}   {0.058}   {0.000} 
             |   [2.980]   [1.892]   [9.237] 
realcons(t-2)|   -0.138    -0.695    -0.638  
             |   (0.192)   (0.329)   (0.238) 
             |   {0.470}   {0.034}   {0.007} 
             |  [-0.722]  [-2.116]  [-2.679] 
realgdp (t-2)|    0.059     0.407     0.198  
             |   (0.128)   (0.220)   (0.159) 
             |   {0.646}   {0.064}   {0.214} 
             |   [0.459]   [1.850]   [1.243] 
realinv (t-2)|   -0.154    -0.475    -0.328  
             |   (0.164)   (0.281)   (0.203) 
             |   {0.347}   {0.091}   {0.107} 
             |  [-0.941]  [-1.692]  [-1.612] 
realcons(t-3)|    0.160    -0.102    -0.146  
             |   (0.196)   (0.336)   (0.244) 
             |   {0.413}   {0.762}   {0.548} 
             |   [0.818]  [-0.303]  [-0.601] 
realgdp (t-3)|   -0.011    -0.183    -0.211  
             |   (0.128)   (0.219)   (0.159) 
             |   {0.928}   {0.402}   {0.182} 
             |  [-0.090]  [-0.839]  [-1.333] 
realinv (t-3)|   -0.041     0.129     0.243  
             |   (0.161)   (0.276)   (0.200) 
             |   {0.800}   {0.640}   {0.223} 
             |  [-0.254]   [0.468]   [1.218] 
realcons(t-4)|   -0.475    -0.424    -0.098  
             |   (0.129)   (0.222)   (0.161) 
             |   {0.000}   {0.056}   {0.541} 
             |  [-3.666]  [-1.912]  [-0.611] 
realgdp (t-4)|    0.233     0.186     0.148  
             |   (0.093)   (0.159)   (0.115) 
             |   {0.012}   {0.242}   {0.199} 
             |   [2.514]   [1.170]   [1.284] 
realinv (t-4)|   -0.121    -0.104    -0.197  
             |   (0.110)   (0.188)   (0.136) 
             |   {0.270}   {0.581}   {0.148} 
             |  [-1.103]  [-0.552]  [-1.448] 
-------------------------------------------


Deterministic term:
===================
          realcons   realgdp   realinv  
---------------------------------------
   S1(t)|    4.537     8.340     2.612  
        |   (5.338)   (9.150)   (6.631) 
        |   {0.395}   {0.362}   {0.694} 
        |   [0.850]   [0.912]   [0.394] 
   S2(t)|   -1.573    15.042     5.870  
        |   (5.261)   (9.018)   (6.535) 
        |   {0.765}   {0.095}   {0.369} 
        |  [-0.299]   [1.668]   [0.898] 
   S3(t)|    8.851    13.868     4.856  
        |   (5.340)   (9.153)   (6.633) 
        |   {0.097}   {0.130}   {0.464} 
        |   [1.658]   [1.515]   [0.732] 
---------------------------------------