Here * = 1% level of significance and **= 5% level of significance.
The results of Unit root test show that all variables are non-stationary
at level and stationary at first difference. So after running Johansen
Cointegration test we got at-least 2 cointegrating equations using the
trace statistic values and 1cointegrating equations using the Max-eigen
values. This model is now eligible for running VECM. For running VECM we
have the following system equation:
D(FGPD) = C(1)*( FGPD(-1) + 0.273690898491*CPI__AL_(-1) -
10.2107213895*ELEC(-1) + 0.288505364095*PGIA(-1) -
2.33614222992*WPI_FG(-1) - 1255.08511823 ) + C(2)*D(FGPD(-1)) +
C(3)*D(FGPD(-2)) + C(4)*D(CPI__AL_(-1)) + C(5)*D(CPI__AL_(-2)) +
C(6)*D(ELEC(-1)) + C(7)*D(ELEC(-2)) + C(8)*D(PGIA(-1)) +
C(9)*D(PGIA(-2)) + C(10)*D(WPI_FG(-1)) + C(11)*D(WPI_FG(-2)) + C(12)
Result of running OLS on the above-mentioned system equation is given
below: