ECT | \(\Delta P^{d}_{-1}\) | \(\Delta P^{w}_{-1}\) | |
P d | −0.196 (0.0743)** | 0.031 (0.0611) | 0.739 (0.0937)*** |
P w | 0.169 (0.0983). | 0.125 (0.0808) | 0.365 (0.1239)** |
Cointegrating relationship : Pd = 1.20 + 1.08*** Pw | |||
LM test for autocorrelation | 14.071 | ||
p value | 0.296 | ||
Multivariate ARCH-LM test | 9.548 | ||
p value | 0.388 |