I'm studying the relationship between house prices and GDP, unemployment, mortgage rate, construction starts and construction costs. Kwiatkowski-Phillips-Schmidt-Shin test declines stationarity and augmented Dickey-Fuller test confirms a unit root. All variables are in natural logarithms.
Optimal lag length is 4 based on AIC and HQIC. Johansen test for cointegration then suggests 4 cointegrated equations in the model. Hence to usage of VECM.
Running the VECM model, I get the following results:
STATA screenshot 1: https://exquisite.cz/files/stats1.png
STATA screenshot 2: https://exquisite.cz/files/stats2.png
I am not sure how to interpret these. What is the long term and short term relationship? Any help would be greatly appreciated!! Thank you