Table 4: Estimated results of the error correction model: RGI and WTIOIL.
|
Dependent: D_lnRGI
|
Dependent: D_lnWTIOIL
|
|
Coefficient |
Coefficient |
| C |
0.014 |
-0.023 |
| D_lnRGI |
|
0.195 |
| D_lnRGI(-1) |
0.639 |
0.430 |
| D_lnRGI(-2) |
0.184 |
-0.297 |
| D_lnRGI(-3) |
-0.481 |
0.016 |
| D_lnRGI(-4) |
0.265 |
0.071 |
| D_lnWTIOIL |
0.125 |
|
| D_lnWTIOIL(-1) |
-0.084 |
0.427 |
| D_lnWTIOIL(-2) |
-0.018 |
-0.103 |
| D_lnWTIOIL(-3) |
-0.132 |
-0.012 |
| D_lnWTIOIL(-4) |
0.101 |
0.157 |
| ecm(-1) |
-0.013 |
0.003 |
| Log likelihood |
112.225 |
60.679 |
| R-squared |
0.733 |
0.154 |
Note: C denotes the constant term. D_lnRGI stands for the first difference of the log of oil price, while D_lnRGI(-1) is the 1-order lagged series of D_lnRGI, and other related series have similar implication. ecm represents the error correction term.