Dependent Variable: LGNS

Method: ARDL
Date: 03/15/24 Time: 22:39
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): LCEX LGNDI INF DIR LPREM
Fixed regressors: C
Number of models evaluated: 486
Selected Model: ARDL(2, 2, 2, 2, 2, 2)

Variable Coefficient Std. Error t-Statistic Prob.*

LGNS(-1) -0.069521 0.112390 -0.618568 0.5633

LGNS(-2) -0.564256 0.131887 -4.278325 0.0079
LCEX -3.543006 0.129124 -27.43874 0.0000
LCEX(-1) -0.125728 0.379909 -0.330944 0.7541
LCEX(-2) -2.098230 0.448698 -4.676259 0.0055
LGNDI 4.839324 0.190691 25.37784 0.0000
LGNDI(-1) 0.237424 0.539043 0.440455 0.6780
LGNDI(-2) 2.358117 0.541658 4.353514 0.0073
INF -0.179592 0.049943 -3.595919 0.0156
INF(-1) -0.064249 0.056817 -1.130816 0.3094
INF(-2) 0.020979 0.020595 1.018643 0.3551
DIR -2.292178 0.628075 -3.649530 0.0148
DIR(-1) -0.083562 0.315560 -0.264806 0.8017
DIR(-2) 1.195022 0.491136 2.433179 0.0591
LPREM 0.006006 0.006342 0.947106 0.3871
LPREM(-1) -0.015427 0.009727 -1.585994 0.1736
LPREM(-2) -0.024316 0.004625 -5.257996 0.0033
C -4.150384 0.596920 -6.952994 0.0009

R-squared 0.999997 Mean dependent var 11.82248

Adjusted R-squared 0.999988 S.D. dependent var 1.564817
S.E. of regression 0.005359 Akaike info criterion -7.581014
Sum squared resid 0.000144 Schwarz criterion -6.692366
Log likelihood 105.1817 Hannan-Quinn criter. -7.357521
F-statistic 110350.4 Durbin-Watson stat 2.818845
Prob(F-statistic) 0.000000

*Note: p-values and any subsequent tests do not account for model
selection.
6
Series: Residuals
Sample 2000 2022
5
Observations 23

4 Mean 2.59e-15
Median -0.000372
3 Maximum 0.005228
Minimum -0.005111
2 Std. Dev. 0.002555
Skewness 0.452336
1 Kurtosis 2.749195

Jarque-Bera 0.844614
0 Probability 0.655533
-0.006 -0.004 -0.002 0.000 0.002 0.004 0.006
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags

F-statistic 4.757343 Prob. F(2,3) 0.1174

Obs*R-squared 17.48648 Prob. Chi-Square(2) 0.0002

Test Equation:
Dependent Variable: RESID
Method: ARDL
Date: 03/15/24 Time: 22:45
Sample: 2000 2022
Included observations: 23
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

LGNS(-1) 0.079885 0.078137 1.022374 0.3819

LGNS(-2) 0.025806 0.152753 0.168936 0.8766
LCEX 0.123859 0.093391 1.326246 0.2767
LCEX(-1) 0.218465 0.260381 0.839019 0.4630
LCEX(-2) 0.151375 0.507787 0.298108 0.7851
LGNDI -0.198794 0.154598 -1.285874 0.2887
LGNDI(-1) -0.404068 0.371383 -1.088007 0.3562
LGNDI(-2) -0.006862 0.621050 -0.011048 0.9919
INF 0.100020 0.045799 2.183883 0.1169
INF(-1) 0.090237 0.057088 1.580666 0.2121
INF(-2) -0.004205 0.013293 -0.316373 0.7725
DIR 0.448293 0.472424 0.948921 0.4127
DIR(-1) -0.023636 0.221288 -0.106812 0.9217
DIR(-2) -0.408975 0.413770 -0.988411 0.3958
LPREM -0.003174 0.006661 -0.476534 0.6663
LPREM(-1) 0.008190 0.010629 0.770565 0.4971
LPREM(-2) 0.005782 0.004955 1.166946 0.3276
C 0.360334 0.541198 0.665807 0.5532
RESID(-1) -1.741114 0.566004 -3.076149 0.0543
RESID(-2) -0.450832 1.112842 -0.405118 0.7125

R-squared 0.760282 Mean dependent var 2.59E-15

Adjusted R-squared -0.757935 S.D. dependent var 0.002555
S.E. of regression 0.003387 Akaike info criterion -8.835391
Sum squared resid 3.44E-05 Schwarz criterion -7.848005
Log likelihood 121.6070 Hannan-Quinn criter. -8.587066
F-statistic 0.500773 Durbin-Watson stat 1.836679
Prob(F-statistic) 0.851360
Heteroskedasticity Test: Breusch-Pagan-Godfrey
Null hypothesis: Homoskedasticity

F-statistic 0.992268 Prob. F(17,5) 0.5569

Obs*R-squared 17.74131 Prob. Chi-Square(17) 0.4053
Scaled explained SS 0.733294 Prob. Chi-Square(17) 1.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 03/15/24 Time: 22:48
Sample: 2000 2022
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C -0.000613 0.000943 -0.650383 0.5441

LGNS(-1) -8.11E-06 0.000178 -0.045673 0.9653
LGNS(-2) -0.000252 0.000208 -1.207731 0.2812
LCEX 0.000145 0.000204 0.708389 0.5104
LCEX(-1) -0.000286 0.000600 -0.477158 0.6534
LCEX(-2) -0.000806 0.000709 -1.136867 0.3071
LGNDI 5.16E-05 0.000301 0.171198 0.8708
LGNDI(-1) -8.47E-06 0.000852 -0.009940 0.9925
LGNDI(-2) 0.001163 0.000856 1.358928 0.2323
INF -6.43E-05 7.89E-05 -0.815433 0.4519
INF(-1) 8.81E-05 8.98E-05 0.981200 0.3716
INF(-2) 2.82E-06 3.25E-05 0.086560 0.9344
DIR -0.000129 0.000992 -0.129737 0.9018
DIR(-1) -0.000658 0.000499 -1.320319 0.2439
DIR(-2) 0.000501 0.000776 0.645428 0.5471
LPREM -3.10E-06 1.00E-05 -0.309161 0.7697
LPREM(-1) -1.11E-06 1.54E-05 -0.072297 0.9452
LPREM(-2) 3.74E-06 7.31E-06 0.511191 0.6310

R-squared 0.771361 Mean dependent var 6.24E-06

Adjusted R-squared -0.006010 S.D. dependent var 8.44E-06
S.E. of regression 8.47E-06 Akaike info criterion -20.48158
Sum squared resid 3.58E-10 Schwarz criterion -19.59293
Log likelihood 253.5382 Hannan-Quinn criter. -20.25809
F-statistic 0.992268 Durbin-Watson stat 3.167369
Prob(F-statistic) 0.556922
8
6
4
2
0
-2
-4
-6
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2018 2019 2020 2021 2022

CUSUM 5% Significance

1.6

1.2

0.8

0.4

0.0

-0.4
2018 2019 2020 2021 2022

CUSUM of Square s 5% Significance

ARDL Long Run Form and Bounds Test
Dependent Variable: D(LGNS)
Selected Model: ARDL(2, 2, 2, 2, 2, 2)
Case 3: Unrestricted Constant and No Trend
Date: 03/15/24 Time: 22:58
Sample: 1998 2022
Included observations: 23

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C -4.150384 0.596920 -6.952994 0.0009

LGNS(-1)* -1.633776 0.221429 -7.378335 0.0007
LCEX(-1) -5.766965 0.792066 -7.280918 0.0008
LGNDI(-1) 7.434865 1.019158 7.295108 0.0008
INF(-1) -0.222863 0.087289 -2.553143 0.0511
DIR(-1) -1.180719 0.487334 -2.422812 0.0599
LPREM(-1) -0.033738 0.008757 -3.852475 0.0120
D(LGNS(-1)) 0.564256 0.131887 4.278325 0.0079
D(LCEX) -3.543006 0.129124 -27.43875 0.0000
D(LCEX(-1)) 2.098230 0.448698 4.676259 0.0055
D(LGNDI) 4.839324 0.190691 25.37784 0.0000
D(LGNDI(-1)) -2.358117 0.541658 -4.353514 0.0073
D(INF) -0.179592 0.049943 -3.595919 0.0156
D(INF(-1)) -0.020979 0.020595 -1.018643 0.3551
D(DIR) -2.292178 0.628075 -3.649530 0.0148
D(DIR(-1)) -1.195022 0.491136 -2.433179 0.0591
D(LPREM) 0.006006 0.006342 0.947106 0.3871
D(LPREM(-1)) 0.024316 0.004625 5.257996 0.0033

* p-value incompatible with t-Bounds distribution.

Levels Equation
Case 3: Unrestricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

LCEX -3.529837 0.076384 -46.21203 0.0000

LGNDI 4.550724 0.077015 59.08868 0.0000
INF -0.136409 0.046514 -2.932651 0.0325
DIR -0.722693 0.235853 -3.064166 0.0280
LPREM -0.020650 0.004346 -4.751966 0.0051

EC = LGNS - (-3.5298*LCEX + 4.5507*LGNDI -0.1364*INF -0.7227*DIR

-0.0207*LPREM)

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

Asymptotic: n=1000
F-statistic 29.50407 10% 2.26 3.35
k 5 5% 2.62 3.79
2.5% 2.96 4.18
1% 3.41 4.68

Actual Sample Size 23 Finite Sample: n=35

10% 2.508 3.763
5% 3.037 4.443
1% 4.257 6.04
ARDL Error Correction Regression
Dependent Variable: D(LGNS)
Selected Model: ARDL(2, 2, 2, 2, 2, 2)
Case 3: Unrestricted Constant and No Trend
Date: 03/15/24 Time: 22:59
Sample: 1998 2022
Included observations: 23

ECM Regression
Case 3: Unrestricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

C -4.150384 0.223315 -18.58531 0.0000

D(LGNS(-1)) 0.564256 0.054206 10.40945 0.0001
D(LCEX) -3.543006 0.034318 -103.2398 0.0000
D(LCEX(-1)) 2.098230 0.180847 11.60224 0.0001
D(LGNDI) 4.839324 0.057406 84.30007 0.0000
D(LGNDI(-1)) -2.358117 0.222839 -10.58217 0.0001
D(INF) -0.179592 0.016842 -10.66327 0.0001
D(INF(-1)) -0.020979 0.010892 -1.926130 0.1120
D(DIR) -2.292178 0.185060 -12.38614 0.0001
D(DIR(-1)) -1.195022 0.197643 -6.046375 0.0018
D(LPREM) 0.006006 0.002980 2.015753 0.0999
D(LPREM(-1)) 0.024316 0.002324 10.46112 0.0001
CointEq(-1)* -1.633776 0.086828 -18.81619 0.0000

R-squared 0.999663 Mean dependent var 0.219958

Adjusted R-squared 0.999260 S.D. dependent var 0.139256
S.E. of regression 0.003789 Akaike info criterion -8.015796
Sum squared resid 0.000144 Schwarz criterion -7.373995
Log likelihood 105.1817 Hannan-Quinn criter. -7.854385
F-statistic 2475.290 Durbin-Watson stat 2.818845
Prob(F-statistic) 0.000000

* p-value incompatible with t-Bounds distribution.

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

F-statistic 29.50407 10% 2.26 3.35

k 5 5% 2.62 3.79
2.5% 2.96 4.18
1% 3.41 4.68

t-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

t-statistic -18.81619 10% -2.57 -3.86

5% -2.86 -4.19
2.5% -3.13 -4.46
1% -3.43 -4.79