Correlation Analysis between Stock Price and Accounting Profit Based on a Vector Autoregressive Model

Table 4

Comparison of different lag order estimation results of the WCARR model based on B segment Dow Jones weekly data.

	WCARR (1,1)	WCARR (1,2)	WCARR (2,1)	WCARR (2,2)
Logarithmic likelihood	−223.7458	−223.1688	−221.5645	−239.5346
	0.119 (0.0256)	0.1877 (0.0941)	0.1399 (0.073)	0.1215 (0.0109)
	0.4155 (0.0263)	0.1379 (0.0310)	0.4647 (0.0249)	0.3944 (0.0355)
			−0.1911 (0.2661)	0.2556 (0.23578)
	0.4342 (0.0002)	0.2133 (0.2212)	0.4275 (0.0022)	−0.1801 (0.5572)
		0.1521 (0.2371)		0.4118 (0.2197)
	2.3525 (0.0000)	2.3573 (0.0000)	2.0501(0.0000)	2.3611(0.0000)