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FDP On Applied Econometrics Presentation
FDP On Applied Econometrics Presentation
Presentation
Niharika
Banasthali Vidyapith
Objective : To find the relationship between
Financial Development and
Economic Growth in India in Post
Reform Era
Economic Growth = f(FINDEV, Fiscal Deficit,
Inflation, Trade openness
Model Specification :
GDP = β0 + β1FINDEX + β2 FD + β3INF + β4TRDO +
µ.....(1)
Time Series Data...Secondary data...(1989-2015)
FINANCIAL DEVELOPMENT
Index : Principal Component Analysis
1.Stock market capitalisation to GDP
2.Private Credit to GDP
3.Broad Money to GDP
4. Bank Density
5. Ratio of Central Bank Assets to the sum of
Commercial Bank and Central
Bank Asset
6. Financial Interrelation Ratio (FIR)
7. New Issue Ratio (NIR)
8. Ratio of Broad Money to Narrow Money
(Innovation Ratio)
Steps for empirical estimation
1.Test of stationarity
3.Causality
Variable ADF-Test PP-Test
H0: Series has unit root H0: Series has unit root
Adjusted T-
T- Statistics P-Value Statistic P-Value
*Note: p-values and any subsequent tests do not account for model
selection.
ARDL Bound Test
Serial Correlation Test
Heteroskedasticity Test
Stability Test (RAMSEY test & CUSUM test)
Normality Test
Estimation of Long Run Relationship (Bound test)
Short Run Relationship
Breusch-Godfrey Serial Correlation LM Test:
Value df Probability
t-statistic 1.802088 18 0.0883
F-statistic 3.247519 (1, 18) 0.0883
F-test summary:
Sum of Sq. df Mean Squares
Test SSR 8.147227 1 8.147227
Restricted SSR 53.30480 19 2.805516
Unrestricted SSR 45.15757 18 2.508754
15
10
-5
-10
-15
1998 2000 2002 2004 2006 2008 2010 2012 2014
CUSUM 5% Significance
6
Series: Residuals
Sample 1990 2015
5
Observations 26
4 Mean 5.93e-15
Median 0.230680
3 Maximum 2.034954
Minimum -3.050894
Std. Dev. 1.460203
2
Skewness -0.406417
Kurtosis 2.108523
1
Jarque-Bera 1.576715
0 Probability 0.454591
-3 -2 -1 0 1 2
ARDL Long Run Form and Bounds Test
Dependent Variable: D(GDP)
Selected Model: ARDL(1, 1, 0, 0, 0)
Case 3: Unrestricted Constant and No Trend
Date: 09/14/17 Time: 22:20
Sample: 1989 2015
Included observations: 26
Levels Equation
Case 3: Unrestricted Constant and No Trend
ECM Regression
Case 3: Unrestricted Constant and No Trend