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Ardl Analysis Appendix
Ardl Analysis Appendix
Date: 07/17/23
Time: 16:27
Sample: 1991 2021
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Sum 5.204391 37.53073 43.64784 388.5530
Sum Sq. Dev. 11.01819 2.356373 0.515213 1.691066
Observations 31 31 31 31
t-Statistic Prob.*
t-Statistic Prob.*
2
*MacKinnon (1996) one-sided p-values.
t-Statistic Prob.*
3
F-statistic 69.45093 Durbin-Watson stat 1.986910
Prob(F-statistic) 0.000000
t-Statistic Prob.*
4
C 19.84248 6.492610 3.056164 0.0071
POV(-1)* -0.768761 0.194226 -3.958073 0.0010
COR(-1) 1.083841 0.618398 1.752657 0.0977
URT** -0.952261 1.213932 -0.784444 0.4436
RGDPCPI(-1) -1.585440 0.556804 -2.847390 0.0111
D(COR) 0.525666 0.405038 1.297821 0.2117
D(RGDPCPI) 4.293111 3.342813 1.284281 0.2163
D(RGDPCPI(-1)) -0.896928 3.505135 -0.255890 0.8011
D(RGDPCPI(-2)) 0.767786 3.596841 0.213461 0.8335
D(RGDPCPI(-3)) 8.656566 3.473802 2.491957 0.0233
Levels Equation
Case 2: Restricted Constant and No Trend
Asymptotic:
n=1000
F-statistic 5.774024 10% 2.37 3.2
k 3 5% 2.79 3.67
2.5% 3.15 4.08
1% 3.65 4.66
Finite Sample:
Actual Sample Size 27 n=35
10% 2.618 3.532
5% 3.164 4.194
1% 4.428 5.816
Finite Sample:
n=30
10% 2.676 3.586
5% 3.272 4.306
1% 4.614 5.966
5
Sample: 1991 2021
Included observations: 27
ECM Regression
Case 2: Restricted Constant and No Trend
Test Equation:
Dependent Variable: RESID
Method: ARDL
Date: 07/17/23 Time: 16:33
Sample: 1995 2021
Included observations: 27
Presample missing value lagged residuals set to zero.
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RGDPCPI -1.196019 3.067471 -0.389904 0.7021
RGDPCPI(-1) 1.301423 4.825529 0.269695 0.7911
RGDPCPI(-2) -1.050647 5.229487 -0.200908 0.8435
RGDPCPI(-3) -1.561845 4.960955 -0.314827 0.7572
RGDPCPI(-4) 3.299102 3.422621 0.963911 0.3504
C -11.72583 8.025878 -1.461002 0.1646
RESID(-1) -1.019243 0.475979 -2.141361 0.0491
RESID(-2) -0.522960 0.254185 -2.057396 0.0575
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 07/17/23 Time: 16:34
Sample: 1995 2021
Included observations: 27
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APPENDIX 8: RESET LINEARITY TEST
Value df Probability
t-statistic 0.495988 16 0.6266
F-statistic 0.246004 (1, 16) 0.6266
F-test summary:
Mean
Sum of Sq. df Squares
Test SSR 0.041855 1 0.041855
Restricted SSR 2.764078 17 0.162593
Unrestricted SSR 2.722223 16 0.170139
*Note: p-values and any subsequent tests do not account for model
selection.
8
APPENDIX 9: GRANGER CAUSALITY TEST