Null Hypothesis: LGNS has a unit root

Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.962670 0.7478

Test critical values: 1% level -3.769597
5% level -3.004861
10% level -2.642242

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LGNS has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.656383 0.7360

Test critical values: 1% level -4.440739
5% level -3.632896
10% level -3.254671

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LGNS has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 4.641872 1.0000

Test critical values: 1% level -2.664853
5% level -1.955681
10% level -1.608793

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LGNS) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.131921 0.0043

Test critical values: 1% level -3.752946
5% level -2.998064
10% level -2.638752

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LGNS) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.872420 0.0306

Test critical values: 1% level -4.416345
5% level -3.622033
10% level -3.248592

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LGNS) has a unit root

Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.183572 0.2087

Test critical values: 1% level -2.674290
5% level -1.957204
10% level -1.608175

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LGDP has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 2.280105 0.9999

Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LGDP has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.556485 0.0084

Test critical values: 1% level -4.467895
5% level -3.644963
10% level -3.261452

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LGDP has a unit root
Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 2.440147 0.9947

Test critical values: 1% level -2.669359
5% level -1.956406
10% level -1.608495

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LGDP) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.157929 0.2257

Test critical values: 1% level -3.752946
5% level -2.998064
10% level -2.638752

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LGDP) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.456581 0.3440

Test critical values: 1% level -4.416345
5% level -3.622033
10% level -3.248592

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LGDP) has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.249974 0.5851

Test critical values: 1% level -2.669359
5% level -1.956406
10% level -1.608495

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LCEX has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 2.434971 0.9999

Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LCEX has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.388299 0.0800

Test critical values: 1% level -4.467895
5% level -3.644963
10% level -3.261452

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LCEX has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 10.64442 1.0000

Test critical values: 1% level -2.664853
5% level -1.955681
10% level -1.608793

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LCEX) has a unit root

Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.687003 0.0955

Test critical values: 1% level -3.857386
5% level -3.040391
10% level -2.660551

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LCEX) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 5 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.063192 0.1438

Test critical values: 1% level -4.571559
5% level -3.690814
10% level -3.286909

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LCEX) has a unit root

Exogenous: None
Lag Length: 2 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.857811 0.8879

Test critical values: 1% level -2.679735
5% level -1.958088
10% level -1.607830

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LEXDT has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.875048 0.9933

Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LEXDT has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.066826 0.9141

Test critical values: 1% level -4.394309
5% level -3.612199
10% level -3.243079

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: LEXDT has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 2.806629 0.9978

Test critical values: 1% level -2.664853
5% level -1.955681
10% level -1.608793

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LEXDT) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.176152 0.0348

Test critical values: 1% level -3.752946
5% level -2.998064
10% level -2.638752

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LEXDT) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.411879 0.0744

Test critical values: 1% level -4.416345
5% level -3.622033
10% level -3.248592

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(LEXDT) has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.479127 0.0157

Test critical values: 1% level -2.669359
5% level -1.956406
10% level -1.608495

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: INF has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.748353 0.0809

Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: INF has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.368544 0.0795

Test critical values: 1% level -4.394309
5% level -3.612199
10% level -3.243079

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: INF has a unit root

Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.202892 0.2031

Test critical values: 1% level -2.664853
5% level -1.955681
10% level -1.608793

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(INF) has a unit root

Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.827424 0.0001

Test critical values: 1% level -3.769597
5% level -3.004861
10% level -2.642242

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(INF) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.690135 0.0007

Test critical values: 1% level -4.440739
5% level -3.632896
10% level -3.254671

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(INF) has a unit root

Exogenous: None
Lag Length: 1 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.799000 0.0000

Test critical values: 1% level -2.674290
5% level -1.957204
10% level -1.608175

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: DIR has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.113933 0.6931

Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: DIR has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.091758 0.5242

Test critical values: 1% level -4.394309
5% level -3.612199
10% level -3.243079

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: DIR has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.049573 0.6562

Test critical values: 1% level -2.664853
5% level -1.955681
10% level -1.608793

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: DIR has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.113933 0.6931

Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(DIR) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.595917 0.0015

Test critical values: 1% level -3.752946
5% level -2.998064
10% level -2.638752

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(DIR) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.959990 0.0032

Test critical values: 1% level -4.416345
5% level -3.622033
10% level -3.248592

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(DIR) has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.690416 0.0001

Test critical values: 1% level -2.669359
5% level -1.956406
10% level -1.608495

*MacKinnon (1996) one-sided p-values.

Dependent Variable: LGNS

Method: ARDL
Date: 02/17/24 Time: 12:07
Sample (adjusted): 2000 2022
Included observations: 23 after adjustments
Maximum dependent lags: 2 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (2 lags, automatic): LDGP LCEX LEXDT INF DIR
Fixed regressors: C @TREND
Number of models evalulated: 486
Selected Model: ARDL(1, 1, 2, 2, 0, 2)

Variable Coefficient Std. Error t-Statistic Prob.*

LGNS(-1) -0.138310 0.209317 -0.660771 0.5273

LDGP 6.308506 0.982549 6.420548 0.0002
LDGP(-1) 1.185602 1.246645 0.951034 0.3694
LCEX -4.250009 0.832355 -5.106003 0.0009
LCEX(-1) -2.002481 1.156403 -1.731646 0.1216
LCEX(-2) -0.929018 0.330886 -2.807671 0.0229
LEXDT -0.109685 0.049592 -2.211766 0.0579
LEXDT(-1) 0.021906 0.069397 0.315656 0.7603
LEXDT(-2) -0.180281 0.058083 -3.103866 0.0146
INF -1.230137 0.386647 -3.181554 0.0130
DIR 1.683695 2.406935 0.699518 0.5041
DIR(-1) -4.589128 2.633654 -1.742495 0.1196
DIR(-2) 7.694311 3.101100 2.481155 0.0380
C 8.403791 2.661270 3.157812 0.0134
@TREND 0.171031 0.048009 3.562510 0.0074

R-squared 0.999650 Mean dependent var 11.65408

Adjusted R-squared 0.999038 S.D. dependent var 1.703451
S.E. of regression 0.052841 Akaike info criterion -2.794755
Sum squared resid 0.022338 Schwarz criterion -2.054215
Log likelihood 47.13968 Hannan-Quinn criter. -2.608511
F-statistic 1632.511 Durbin-Watson stat 3.251468
Prob(F-statistic) 0.000000

*Note: p-values and any subsequent tests do not account for model
selection.
Breusch-Godfrey Serial Correlation LM Test:

F-statistic 9.695066 Prob. F(2,6) 0.0132

Obs*R-squared 17.56482 Prob. Chi-Square(2) 0.0002

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 0.743692 Prob. F(14,8) 0.7001

Obs*R-squared 13.00635 Prob. Chi-Square(14) 0.5260
Scaled explained SS 1.212208 Prob. Chi-Square(14) 1.0000
ARDL Cointegrating And Long Run Form
Dependent Variable: LGNS
Selected Model: ARDL(1, 1, 2, 2, 0, 2)
Date: 02/17/24 Time: 12:14
Sample: 1998 2022
Included observations: 23

Cointegrating Form

Variable Coefficient Std. Error t-Statistic Prob.

D(LDGP) 6.308506 0.982549 6.420548 0.0002

D(LCEX) -4.250009 0.832355 -5.106003 0.0009
D(LCEX(-1)) 0.929018 0.330886 2.807671 0.0229
D(LEXDT) -0.109685 0.049592 -2.211766 0.0579
D(LEXDT(-1)) 0.180281 0.058083 3.103866 0.0146
D(INF) -1.230137 0.386647 -3.181554 0.0130
D(DIR) 1.683695 2.406935 0.699518 0.5041
D(DIR(-1)) -7.694311 3.101100 -2.481155 0.0380
D(@TREND()) 0.171031 0.048009 3.562510 0.0074
CointEq(-1) -1.138310 0.209317 -5.438222 0.0006

Cointeq = LGNS - (6.5835*LDGP -6.3089*LCEX -0.2355*LEXDT -1.0807

*INF + 4.2070*DIR + 7.3827 + 0.1503*@TREND )

Long Run Coefficients

Variable Coefficient Std. Error t-Statistic Prob.

LDGP 6.583537 0.598558 10.998996 0.0000

LCEX -6.308919 0.812810 -7.761858 0.0001
LEXDT -0.235489 0.041434 -5.683521 0.0005
INF -1.080669 0.399698 -2.703716 0.0269
DIR 4.207006 3.095911 1.358891 0.2113
C 7.382689 2.525446 2.923321 0.0192
@TREND 0.150250 0.043597 3.446359 0.0087