Appendix 1
Appendix 2
Table 4.4 Variables definition of the model and units of data
Appendix 3 1.1 Regression Results Under Different Blocks1.1.1 Macroeconomic Block1.1.1.1 Private Consumption at Constant Price
$$ {\displaystyle \begin{array}{c}\Delta \log \left(\mathrm{PCONc}\right)=0.03892-0.3356\ast \Delta \log \left(\mathrm{PCONc}\left(-1\right)\right)\\ [5pt] \hspace*{0.5pc} {}\kern1.5em{}-0.07153\ast \mathrm{ECM}\_\mathrm{PCONc}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{PCONc}=\kern0.5em \log
\left(\mathrm{P}\mathrm{CONc}\left(-1\right)\right)\\[5pt] \hspace*{6.5pc} {}-0.95\ast
\log
\left(\mathrm{GNP}\mathrm{c}\left(-1\right)-\mathrm{GTAX}\left(-1\right)/\left(\mathrm{GNP}\left(-1\right)/\mathrm{GNPc}\left(-1\right)\right)\right)\\[5pt] \hspace*{6.5pc}
{}-0.05\ast \log
\left(\left(\mathrm{DDEBT}\left(-1\right)+\mathrm{M}0\left(-1\right)+\mathrm{NFA}\left(-1\right)\right)/\mathrm{P}\_\mathrm{C}\left(-1\right)\right)\\[5pt] \hspace*{6.5pc}
{}+0.001\ast \left(\mathrm{IRD}\left(-2\right)-100\ast
\mathrm{dlog}\left(\mathrm{P}\_\mathrm{C}\left(-2\right)\right)\right)\end{array}}
$$
Diagnostic Tests:
Sigma
0.0155215
R^2
0.353919
AR 1-2 test
F(2,23) = 0.34059 [0.7149]
ARCH 1-1 test
F(1,23) =0.0066794 [0.9356]
Normality test
Chi^2(2) = 6.6762 [0.0355]∗
hetero test
F(4,20) = 0.43762 [0.7799]
hetero-X test
F(5,19) = 0.40672 [0.8381]
RESET test
F(1,24) = 0.67548 [0.4192]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.1.2 Private Investment at Constant Price
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{PINVc}\right)=-1.678+0.4878\ast \Delta \log
\left(\mathrm{PINVc}\left(-1\right)\right)\\[5pt] \hspace*{6.5pc} {}+0.363\ast \Big(\log
\left(\left(\mathrm{DCCB}\left(-2\right)+\mathrm{DCDMB}\left(-2\right)\right)/\mathrm{P}\_\mathrm{INV}\left(-2\right)\right)\\[5pt] \hspace*{6.5pc}
{}-\log
\left(\left(\mathrm{DCCB}\left(-3\right)+\mathrm{DCDMB}\left(-3\right)\right)/\mathrm{P}\_\mathrm{INV}\left(-3\right)\right)\Big)\\[5pt] \hspace*{6.5pc}
{}-0.3807\ast \mathrm{ECM}\_\mathrm{PINVc}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{PINVc} = \log
\left(\mathrm{P}\mathrm{INVc}\left(-1\right)\right)-\log
\left(\mathrm{GNPc}\left(-1\right)\right)\\[5pt] \hspace*{5.5pc} {}+0.001\ast
\left(\mathrm{IRL}\left(-2\right)-100\ast
\mathrm{dlog}\left(\mathrm{P}\_\mathrm{INV}\left(-2\right)\right)\right)\\[5pt] \hspace*{5.5pc}
{}-0.85\ast \log \left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0447481
R^2
0.463892
AR 1-2 test
F(2,17) = 0.12531 [0.8830]
ARCH 1-1 test
F(1,17) = 0.19853 [0.6615]
Normality test
Chi^2(2) = 1.4364 [0.4876]
Hetero test
F(6,12) = 1.3098 [0.3244]
Hetero-X test
Not enough observations
RESET test
F(1,18) = 0.66885 [0.4241]
1.1.1.3 Private Investment at Current Price
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{P}\mathrm{INV}\right) = \log
\left(\mathrm{P}\mathrm{INV}\mathrm{c}\right)+\log
\left(\mathrm{P}\mathrm{INV}\left(-1\right)/\mathrm{PINVc}\left(-1\right)\right)\\[5pt] \hspace*{5.5pc}
{}-0.2808\ast \left(\log
\left(\mathrm{P}\mathrm{INV}\left(-1\right)/\mathrm{PINVc}\left(-1\right)\right)-\log
\left(\mathrm{P}\mathrm{INV}\left(-2\right)/\mathrm{PINVc}\left(-2\right)\right)\right)\\[5pt] \hspace*{5.3pc}\
{}+0.2077\ast
\mathrm{dlog}\left(\mathrm{P}\_\mathrm{M}\right)+0.6601\ast \log
\left(\mathrm{VA}2\left(-3\right)/\mathrm{VA}2\mathrm{c}\left(-3\right)\right)\\[5pt] \hspace*{5.5pc}
{}-\log
\left(\mathrm{VA}2\left(-4\right)/\mathrm{VA}2\mathrm{c}\left(-4\right)\right)\Big)-0.1749\ast
\mathrm{ifeq}(1999)\\[5pt] \hspace*{5.5pc} {}-0.1899\ast
\mathrm{ECM}\_\mathrm{PINVc}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{PINV} = \log
\left(\mathrm{P}\mathrm{INV}\left(-1\right)/\mathrm{PINVc}\left(-1\right)\right)\\[5pt] \hspace*{5.0pc}
{}-0.5\ast \log
\left(\mathrm{P}\_\mathrm{M}\left(-1\right)\right)-0.5\ast \log
\left(\mathrm{VA}2\left(-3\right)/\mathrm{VA}2\mathrm{c}\left(-3\right)\right)\end{array}}
$$
Diagnostic Tests:
Sigma
0.0334281
log-likelihood
58.1777
AR 1-2 test
F(2,21) = 2.2873 [0.1263]
ARCH 1-1 test
F(1,21) = 0.38265 [0.5428]
Normality test
Chi^2(2) = 1.3126 [0.5188]
Hetero test
F(9,13) = 1.0978 [0.4259]
Hetero-X test
Not enough observations
RESET test
F(1,22) = 2.0178 [0.1695]
1.1.2 Production Block1.1.2.1 Value Added in Agriculture Sector in Constant Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{VA}1\mathrm{c}\right)=0.6802\ast \Delta \log
\left(\mathrm{VA}3\mathrm{c}\right)-0.3325\ast \Delta \log
\left(\mathrm{IRRIG}\right)\\[5pt] \hspace*{5.5pc} {}+0.2721\ast \Delta \log
\left(\mathrm{IRRIG}\left(-1\right)\right)-0.574\ast
\mathrm{ECM}\_\mathrm{VA}1\mathrm{c}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{VA}1\mathrm{c}=\log
\left(\mathrm{VA}1\mathrm{c}\left(-1\right)\right)-2.21093+0.142550\ast
\log \left(\mathrm{VA}2\mathrm{c}\left(-1\right)\right)\\[5pt] \hspace*{5.0pc}
{}-0.842551\ast \log
\left(\mathrm{VA}3\mathrm{c}\left(-1\right)\right)-0.0572921\ast
\log \left(\mathrm{RAIN}\left(-1\right)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0166401
log-likelihood
77.1142
AR 1-2 test
F(2,22) = 0.77360 [0.4735]
ARCH 1-1 test
F(1,22) = 0.14526 [0.7068]
Normality test
Chi^2(2) = 3.4625 [0.1771]
Hetero test
F(8,15) = 0.13374 [0.9963]
Hetero-X test
F(14,9) = 0.16939 [0.9983]
RESET test
F(1,23) = 0.47500 [0.4976]
1.1.2.2 Value Added in Agriculture Sector in Current Prices
$$ {\displaystyle \begin{array}{l}\log
\left(\mathrm{VA}1\right)=\log
\left(\mathrm{VA}1\mathrm{c}\right)+\log
\left(\mathrm{VA}1\left(-1\right)/\mathrm{VA}1\mathrm{c}\left(-1\right)\right)\\[5pt] \hspace*{4.2pc}
{}+0.01868+0.7142\ast
\mathrm{dlog}\left(\mathrm{P}\_\mathrm{P}\right)-0.121\ast
\mathrm{ifeq}(1992)\\[5pt] \hspace*{4.2pc} {}-0.4091\ast
\mathrm{ECM}\_\mathrm{VA}1\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{VA}1=\log \left(\mathrm{VA}1\left(-1\right)/\mathrm{VA}1\mathrm{c}\left(-1\right)\right)-0.90\ast \log \left(\mathrm{P}\_\mathrm{P}\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.0265619
R^2
0.816459
AR 1-2 test
F(2,24) = 3.7882 [0.0372]∗
ARCH 1-1 test
F(1,24) = 0.34507 [0.5624]
Normality test
Chi^2(2) = 1.2792 [0.5275]
Hetero test
F(5,20) = 2.4039 [0.0732]
Hetero-X test
F(6,19) = 2.0532 [0.1080]
RESET test
F(1,25) = 0.12616 [0.7254]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.2.3 Value Added in Manufacturing Sector in Constant Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{VA}2\mathrm{c}\right)=0.1754+1.176\ast \Delta \log
\left(\mathrm{VA}3\mathrm{c}\right)\\[5pt] \hspace*{5.4pc} {}+0.1336\ast \Big(\log
\left(\mathrm{Kc}\left(-1\right)\ast
\left(\mathrm{VA}2\left(-1\right)/\mathrm{GDP}\left(-1\right)\right)\right)\\[5pt] \hspace*{5.4pc}
{}-\log \left(\mathrm{Kc}\left(-2\right)\ast
\left(\mathrm{VA}2\left(-2\right)/\mathrm{GDP}\left(-2\right)\right)\right)\Big)\\[5pt] \hspace*{5.4pc}
{}+0.05199\ast \Delta \log \left(\mathrm{Xc}\right)+0.04261\ast
\Delta \log \left(\mathrm{Xc}\left(-3\right)\right)\\[5pt] \hspace*{5.4pc}
{}-0.07246\ast \mathrm{ECM}\_\mathrm{VA}2\mathrm{c}\end{array}}
$$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{VA}2\mathrm{c}=\log
\left(\mathrm{VA}2\mathrm{c}\left(-1\right)\right)-0.40\ast \log
\left(\mathrm{Kc}\left(-1\right)\ast
\left(\mathrm{VA}2\left(-1\right)/\mathrm{GDP}\left(-1\right)\right)\right)\\[5pt] \hspace*{4.9pc}
{}-0.30\ast \log
\left(\mathrm{VA}3\mathrm{c}\left(-1\right)\right)-0.05\ast \log
\left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0113262
R^2
0.797123
AR 1-2 test
F(2,20) = 0.062210 [0.9399]
ARCH 1-1 test
F(1,20) = 0.37028 [0.5497]
Normality test
Chi^2(2) = 1.3067 [0.5203]
Hetero test
F(10,11) = 0.44105 [0.8960]
Hetero-X test
Not enough observations
RESET test
F(1,21) = 2.7510 [0.1121]
1.1.2.4 Value Added in Manufacturing Sector in Current Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{VA}2\right)=\Delta \log
\left(\mathrm{VA}2\mathrm{c}\right)+0.4812\ast \Delta \log
\left(\mathrm{P}\_\mathrm{P}\right)\\[5pt] \hspace*{5.0pc} {}+0.2821\ast \Delta \log
\left(\mathrm{P}\_\mathrm{M}\right)-0.6683\ast
\mathrm{ECM}\_\mathrm{VA}2\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{VA}2=\log
\left(\mathrm{VA}2\left(-1\right)/\mathrm{VA}2\mathrm{c}\left(-1\right)\right)-0.60\ast
\log \left(\mathrm{P}\_\mathrm{P}\ \left(-1\right)\right)\\[5pt] \hspace*{4.7pc}
{}-0.20\ast \log
\left(\mathrm{P}\_\mathrm{M}\left(-1\right)\right)-0.26\ast \log\
\Big(\left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right)/\\[5pt] \hspace*{4.7pc}
{}\left(\mathrm{VA}1\left(-1\right)/\mathrm{VA}1\mathrm{c}\left(-1\right)\right)\Big)\end{array}}
$$
Diagnostic Tests:
Sigma
0.0222731
log-likelihood
75.5262
ARCH 1-1 test
F(1,26) = 0.59667 [0.4468]
Normality test
Chi^2(2) = 2.2523 [0.3243]
Hetero test
F(6,21) = 0.29711 [0.9314]
Hetero-X test
F(9,18) = 0.60531 [0.7768]
RESET test
F(1,27) = 1.4544 [0.2383]
1.1.2.5 Value Added in Service Sector in Constant Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{VA}3\mathrm{c}\right)=-0.2502+0.3651\ast \Delta
\log \left(\mathrm{ADc}\right)\\[5pt] \hspace*{5.7pc} {}+0.2943\ast \Delta \log
\left(\mathrm{ADc}\left(-2\right)\right)-0.3582\ast
\mathrm{ECM}\_\mathrm{VA}3\mathrm{c}\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{VA}3\mathrm{c}=\log \left(\mathrm{VA}3\mathrm{c}\left(-1\right)\right)-\log \left(\mathrm{ADc}\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.0176603
R^2
0.262108
AR 1-2 test
F(2,23) = 0.65276 [0.5300]
ARCH 1-1 test
F(1,23) = 2.5233 [0.1258]
Normality test
Chi^2(2)= 8.7262 [0.0127]∗
Hetero test
F(6,18) = 0.97352 [0.4708]
Hetero-X test
F(9,15) = 1.5891 [0.2055]
RESET test
F(1,24) = 14.622 [0.0008]∗∗
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.2.6 Value Added in Service Sector in Current Prices
$$ {\displaystyle \begin{array}{l}\log
\left(\mathrm{VA}3\right)=\log
\left(\mathrm{VA}3\mathrm{c}\right)+\log
\left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right)+0.02006+0.058\\[5pt] \hspace*{4.2pc}
{}\ast \left(\log
\left(\mathrm{VA}3\left(-3\right)/\mathrm{VA}3\mathrm{c}\left(-3\right)\right)-\log
\left(\mathrm{VA}3\left(-4\right)/\mathrm{VA}3\mathrm{c}\left(-4\right)\right)\right)-0.06095\\[5pt] \hspace*{4.2pc}
{}\ast \left(\log
\left(\mathrm{GCON}\left(-1\right)/\mathrm{GCONc}\left(-1\right)\right)-\log
\left(\mathrm{GCON}\left(-2\right)/\mathrm{GCONc}\left(-2\right)\right)\right)\\[5pt] \hspace*{4.2pc}
{}+0.5333\ast
\mathrm{dlog}\left(\mathrm{P}\_\mathrm{C}\right)-0.3753\ast
\mathrm{ECM}\_\mathrm{VA}2\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{VA}2=\log
\left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right)-\log
\left(\mathrm{P}\_\mathrm{C}\left(-1\right)\right)+0.107812\\[5pt] \hspace*{4.5pc} {}\ast
\log
\left(\mathrm{P}\_\mathrm{M}\left(-1\right)\right)-0.000175127\ast
\log \left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.025641
R^2
0.47869
AR 1-2 test
F(2,21) = 0.53202 [0.5951]
ARCH 1-1 test
F(1,21) = 1.0179 [0.3245]
Normality test
Chi^2(2) = 8.5870 [0.0137]∗
Hetero test
F(8,14) = 0.53672 [0.8104]
Hetero-X test
Not enough observations
RESET test
F(1,22) = 0.022487 [0.8822]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.2.7 GNP in Constant Prices
$$ {\displaystyle \begin{array}{l}\log
\left(\mathrm{GNP}\mathrm{c}\right)=\log
\left(\mathrm{GNP}\right)-\log
\left(\mathrm{GNP}\left(-1\right)/\mathrm{GNPc}\left(-1\right)\right)-0.01598\\[5pt] \hspace*{4.6pc}
{}-0.3451\ast \left(\log
\left(\mathrm{VA}1/\mathrm{VA}1\mathrm{c}\right)-\log
\left(\mathrm{VA}1\left(-1\right)/\mathrm{VA}1\mathrm{c}\left(-1\right)\right)\right)\\[5pt] \hspace*{4.6pc}
{}-0.266\ast \left(\log
\left(\mathrm{VA}2/\mathrm{VA}2\mathrm{c}\right)-\log
\left(\mathrm{VA}2\left(-1\right)/\mathrm{VA}2\mathrm{c}\left(-1\right)\right)\right)\\[5pt] \hspace*{4.6pc}
{}-0.1756\ast \left(\log
\left(\mathrm{VA}3/\mathrm{VA}3\mathrm{c}\right)-\log
\left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right)\right)\\[5pt] \hspace*{4.6pc}
{}+0.8726\ast \mathrm{ECM}\_\mathrm{GNPc}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{GNPc}=\log
\left(\mathrm{GNP}\left(-1\right)/\mathrm{GNPc}\left(-1\right)\right)-0.277787\\[5pt] \hspace*{5.1pc}
{}\ast \log
\left(\mathrm{VA}1\left(-1\right)/\mathrm{VA}1\mathrm{c}\left(-1\right)\right)-0.397247\\[5pt] \hspace*{5.1pc}
{}\ast \log
\left(\mathrm{VA}2\left(-1\right)/\mathrm{VA}2\mathrm{c}\left(-1\right)\right)-0.374275\\[5pt] \hspace*{5.1pc}
{}\ast \log
\left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right)\end{array}}
$$
Diagnostic Tests:
Sigma
0.01162
R^2
0.85793
AR 1-2 test
F(2,24) = 3.3388 [0.0526]
ARCH 1-1 test
F(1,24) = 0.15256 [0.6995]
Normality test
Chi^2(2) = 21.323 [0.0000]∗∗
Hetero test
F(8,17) = 3.8100 [0.0098]∗∗
Hetero-X test
F(14,11) = 7.0421 [0.0013]∗∗
RESET test
F(1,25) = 1.6042 [0.2170]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.2.8 Net Factor Income from Abroad
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{NFIA}\right)=0.25469\kern0.75em -0.47142\ast \Delta
\log \left(\mathrm{NFIA}\left(-2\right)\right)\\[5pt] \hspace*{5.5pc} {}-0.03110\ast
\mathrm{ECM}\_\mathrm{NFIA}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{NFIA}=\log
\left(\mathrm{NFIA}\left(-1\right)\right)+1.45\ast \log
\left(\mathrm{ER}\left(-1\right)\ast
\left(\mathrm{FCPI}\left(-1\right)/\mathrm{P}\_\mathrm{P}\left(-1\right)\right)\right)\\[5pt] \hspace*{5.1pc}
{}-4.95\ast \log \left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.098694
R^2
0.491495
AR 1-2 test
F(2,23) = 0.27155 [0.7646]
ARCH 1-1 test
F(1,23) = 0.35577 [0.5567]
Normality test
Chi^2(2)= 1.9064 [0.3855]
Hetero test
F(4,20) = 0.26558 [0.8966]
Hetero-X test
F(5,19) = 0.71541 [0.6196]
RESET test
F(1,24) = 1.5517 [0.2249]
1.1.3 Government Block1.1.3.1 Government Revenue at Current Prices
$$ \Delta \log \left(\mathrm{GREV}\right)=0.1493+0.5011\ast \Delta \log \left(\mathrm{GTAX}\right)-0.3717\ast \mathrm{ECM}\_\mathrm{GREV} $$
$$ \mathrm{ECM}\_\mathrm{GREV}=\log\ \left(\mathrm{GREV}\ \left(-1\right)\right)-\log\ \left(\mathrm{GTAX}\ \left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.0210324
R^2
0.709137
AR 1-2 test
F(2,26) = 0.80690 [0.4571]
ARCH 1-1 test
F(1,26) = 1.0230 [0.3211]
Normality test
Chi^2(2) = 1.2843 [0.5262]
Hetero test
F(4,23) = 0.13251 [0.9688]
Hetero-X test
F(5,22) = 0.18297 [0.9661]
RESET test
F(1,27) = 0.15531 [0.6966]
1.1.3.2 Government Tax Revenue in Current Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{GTAX}\right)=-0.6725+0.9238\ast \Delta \log
\left(\mathrm{GNP}\right)+0.11\ast \mathrm{ifeq}(2000)\\[5pt] \hspace*{6.1pc}
{}+0.1289\ast \mathrm{ifeq}(2010)-0.2135\ast
\mathrm{ECM}\_\mathrm{GTAX}\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{GTAX}=\log \left(\mathrm{GTAX}\left(-1\right)\right)-\log \left(\mathrm{GNP}\left(-1\right)\right)-0.20\ast \log \left(\mathrm{time}(1981)\right) $$
Diagnostic Tests:
sigma
0.044885
R^2
0.477251
AR 1-2 test
F(2,23) = 0.67129 [0.5208]
ARCH 1-1 test
F(1,23) = 0.47496 [0.4976]
Normality test
Chi^2(2) = 0.41815 [0.8113]
hetero test
F(6,18) = 3.2838 [0.0232]∗
Hetero-X test
Not enough observations
RESET test
F(1,24) = 0.12942 [0.7222]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.3.3 Government Consumption in Constant Prices via Deflator Equation
$$ {\displaystyle \begin{array}{l}\log
\left(\mathrm{GCON}\mathrm{c}\right)=\log
\left(\mathrm{GCON}\right)-\log
\left(\mathrm{GCON}\left(-1\right)/\mathrm{GCONc}\left(-1\right)\right)\\[5pt] \hspace*{5.6pc}
{}-0.5141\ast \Big(\log
\left(\mathrm{GCON}\left(-1\right)/\mathrm{GCONc}\left(-1\right)\right)\\[5pt] \hspace*{5.6pc}
{}-\log
\left(\mathrm{GCON}\left(-2\right)/\mathrm{GCONc}\left(-2\right)\right)\Big)-0.3882\\[5pt] \hspace*{5.6pc}
{}\ast \left(\log
\left(\mathrm{VA}3/\mathrm{VA}3\mathrm{c}\right)-\log
\left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right)\right)\\[5pt] \hspace*{5.6pc}
{}+0.3163\ast \mathrm{ECM}\_\mathrm{GCONc}\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{GCONc}=\log \left(\mathrm{GCON}\left(-1\right)/\mathrm{GCONc}\left(-1\right)\right)-\log \left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.0201784
log-likelihood
73.6253
AR 1-2 test
F(2,24) = 4.8118 [0.0175]∗
ARCH 1-1 test
F(1,24) = 8.3306 [0.0081]∗∗
Normality test
Chi^2(2) = 6.4245 [0.0403]∗
Hetero test
F(6,19) = 1.2507 [0.3255]
Hetero-X test
F(9,16) = 1.8906 [0.1277]
RESET test
F(1,25) = 3.7072 [0.0656]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.3.4 Government Consumption in Current Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{GCON}\right)=0.607\ast \Delta \log
\left(\mathrm{GREV}\left(-1\right)\right)+0.4478\\[5pt] \hspace*{6.0pc} {}\ast \Big(\log
\left(\mathrm{GEXP}2\left(-3\right)/\mathrm{GREV}\left(-3\right)\right)\\[5pt] \hspace*{6.0pc}
{}-\log
\left(\mathrm{GEXP}2\left(-4\right)/\mathrm{GREV}\left(-4\right)\right)\Big)-0.06818\ast
\mathrm{ECM}\_\mathrm{GCON}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathbf{E}\mathrm{CM}\_\mathrm{GCON}=\log
\left(\mathrm{GCON}\left(-1\right)\right)-\log
\left(\mathrm{GREV}\left(-1\right)\right)\\[5pt] \hspace*{5.6pc} {}+0.007\ast \log
\left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0321337
log-likelihood
58.1162
AR 1-2 test
F(2,23) = 0.16220 [0.8512]
ARCH 1-1 test
F(1,23) = 3.7558 [0.0650]
Normality test
Chi^2(2) = 6.1587 [0.0460]∗
Hetero test
F(6,18) = 2.2078 [0.0901]
Hetero-X test
F(9,15) = 1.8334 [0.1438]
RESET test
F(1,24) =0.00063080 [0.9802]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.3.5 Government Revenue Expenditure in Current Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{GREXP}\right)=-0.3806+3.488\ast \Delta \log
\left(\mathrm{GREV}\right)\\[5pt] \hspace*{6.6pc} {}+2.391\ast \Delta \log
\left(\mathrm{GREV}\left(-1\right)\right)-1.05\ast
\mathrm{ECM}\_\mathrm{GREXP}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{GREXP}=\log
\left(\mathrm{GREXP}\left(-1\right)\right)-0.90\ast \log
\left(\mathrm{GREV}\left(-1\right)\right)\\[5pt] \hspace*{6.2pc} {}-0.20\ast \log
\left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
sigma
0.119731
R^2
0.712494
AR 1-2 test
F(2,10) = 1.8132 [0.2129]
ARCH 1-1 test
F(1,10) = 0.090820 [0.7693]
Normality test
Chi^2(2) = 1.5656 [0.4571]
hetero test
F(6,5) = 4.9169 [0.0507]
Hetero-X test
Not enough observations
RESET test
F(1,11) = 0.18669 [0.6740]
1.1.3.6 Government Development Expenditure/Public Investment in Current Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{GINV}\right)=-0.09583+0.4212\ast \Delta \log
\left(\mathrm{GINV}\left(-1\right)\right)+0.7257\\[5pt] \hspace*{6.0pc} {}\ast \Delta
\log \left(\mathrm{DEBT}\right)-0.8892\ast
\mathrm{ECM}\_\mathrm{GINV}\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{GINV}=\log \left(\mathrm{GINV}\left(-1\right)\right)-0.85\ast \log \left(\mathrm{DEBT}\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.104452
R^2
0.379036
AR 1-2 test
F(2,24) = 0.10207 [0.9034]
ARCH 1-1 test
F(1,24) = 1.0435 [0.3172]
Normality test
Chi^2(2) = 5.2643 [0.0719]
Hetero test
F(6,19) = 0.81166 [0.5738]
Hetero-X test
F(9,16) = 1.0888 [0.4217]
RESET test
F(1,25) = 0.83655 [0.3691]
1.1.3.7 Domestic Debt in Current Prices
$$ \Delta \log \left(\mathrm{DDEBT}\right)=-0.30577\ast \Delta \log \left(\mathrm{DDEBT}\left(-2\right)\right)-0.02328\ast \mathrm{ECM}\_\mathrm{DDEBT} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{DDEBT}=\log
\left(\mathrm{DDEBT}\left(-1\right)\right)-0.86\\[5pt] \hspace*{6.0pc} {}\ast \log
\left(\mathrm{FDEBT}\left(-1\right)\right)-3.50\ast \log
\left(\mathrm{IRL}\left(-1\right)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.461213
log-likelihood
17.0237
AR 1-2 test
F(2,24) = 0.27567 [0.7614]
ARCH 1-1 test
F(1,24) = 0.40827 [0.5289]
Normality test
Chi^2(2) = 7.8212 [0.0200]∗
Hetero test
F(4,21) = 1.5550 [0.2230]
Hetero-X test
F(5,20) = 1.1913 [0.3486]
RESET test
F(1,25) = 0.072401 [0.7901]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.3.8 Foreign Debt in Current Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{FDEBT}\right)=0.2611\ast \left(\log
\left(-\mathrm{cGDEF}\left(-1\right)\right)-\log
\left(-\mathrm{cGDEF}\left(-2\right)\right)\right)\\[5pt] \hspace*{6.5pc} {}+1.094\ast
\Big(\mathrm{NFA}/\left(\mathrm{DCCB}+\mathrm{DCDMB}\right)-\mathrm{NFA}\left(-1\right)\\[5pt] \hspace*{6.5pc}
{}/\left(\mathrm{DCCB}\left(-1\right)+\mathrm{DCDMB}\left(-1\right)\right)\Big)+0.6283\\[5pt] \hspace*{6.5pc}
{}\ast
\Big(\mathrm{NFA}\left(-2\right)/\left(\mathrm{DCCB}\left(-2\right)+\mathrm{DCDMB}\left(-2\right)\right)\\[5pt] \hspace*{6.5pc}
{}-\mathrm{NFA}\left(-3\right)/\left(\mathrm{DCCB}\left(-3\right)+\mathrm{DCDMB}\left(-3\right)\right)\Big)\\[5pt] \hspace*{6.5pc}
{}+0.9381\ast \Delta \log \left(\mathrm{ER}\right)-0.4557\ast
\mathrm{ECM}\_\mathrm{FDEBT}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{FDEBT}=\log
\left(\mathrm{FDEBT}\left(-1\right)\right)-4.13062-0.358651\ast \log
\left(-\mathrm{cGDEF}\left(-1\right)\right)\\[5pt] \hspace*{6.0pc} {}-0.748811\ast \log
\left(\mathrm{ER}\left(-1\right)\right)-0.998,947\\[5pt] \hspace*{6.0pc} {}\ast
\left(\mathrm{NFA}\left(-2\right)/\left(\mathrm{DCCB}\left(-2\right)+\mathrm{DCDMB}\left(-2\right)\right)\right)\end{array}}
$$
Diagnostic Tests:
Sigma
0.04332
log-likelihood
50.9196
AR 1-2 test
F(2,21) = 1.1516 [0.3353]
ARCH 1-1 test
F(1,21) = 0.014222 [0.9062]
Normality test
Chi^2(2)= 0.82357 [0.6625]
hetero test
F(10,12) = 0.31343 [0.9623]
Hetero-X test
Not enough observations
RESET test
F(1,22) =0.0032061 [0.9554]
1.1.4 Trade Block1.1.4.1 Exports in Constant Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{Xc}\right)=0.218-0.738\ast \Big(\log
\left(\mathrm{ER}\left(-3\right)\ast
\left(\mathrm{FCPI}\left(-3\right)/\mathrm{P}\_\mathrm{P}\left(-3\right)\right)\right)\\[5pt] \hspace*{4.4pc}
{}-\log \left(\mathrm{ER}\left(-4\right)\ast
\left(\mathrm{FCPI}\left(-4\right)/\mathrm{P}\_\mathrm{P}\left(-4\right)\right)\right)\Big)1.53\ast
\\[5pt] \hspace*{4.4pc} {}\Delta \log
\left(\mathrm{FGDPc}\left(-2\right)\right)-0.21\ast
\mathrm{ECM}\_\mathrm{Xc}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{Xc}=\log
\left(\mathrm{Xc}\left(-1\right)\right)-1.18773\ast \log
\left(\mathrm{ER}\left(-1\right)\ast
\left(\mathrm{FCPI}\left(-1\right)/\mathrm{P}\_\mathrm{P}\left(-1\right)\right)\right)\\[5pt] \hspace*{4.0pc}
{}-0.314626\ast \log
\left(\mathrm{FGDPc}\left(-1\right)\right)-0.427229\ast \log
\left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0875171
R^2
0.444844
AR 1-2 test
F(2,21) = 0.42347 [0.6602]
ARCH 1-1 test
F(1,21) = 0.088985 [0.7684]
Normality test
Chi^2(2) = 5.4857 [0.0644]
Hetero test
F(6,16) = 0.61355 [0.7165]
Hetero-X test
F(9,13) = 0.60779 [0.7705]
RESET test
F(1,22) = 0.016296 [0.8996]
1.1.4.2 Imports in Constant Prices
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{Mc}\right)=0.07807+0.3333\ast \Delta \log
\left(\mathrm{Mc}\left(-2\right)\right)+0.8252\ast
\mathrm{dlog}\left(\mathrm{Xc}\right)+0.3675\\[5pt] \hspace*{4.6pc} {}\ast \Delta \log
\left(\mathrm{Xc}\left(-1\right)\right)-0.3387\ast
\mathrm{dlog}\left(\mathrm{Xc}\left(-2\right)\right)-0.339\\[5pt] \hspace*{4.6pc} {}\ast
\left(\log \left(\mathrm{ER}\ast
\left(\mathrm{FCPI}/\mathrm{P}\_\mathrm{P}\right)\right)-\log
\left(\mathrm{ER}\left(-1\right)\ast
\left(\mathrm{FCPI}\left(-1\right)/\mathrm{P}\_\mathrm{P}\left(-1\right)\right)\right)\right)\\[5pt] \hspace*{4.2pc}\
{}+0.6117\ast \Big(\log \left(\mathrm{ER}\left(-3\right)\ast
\left(\mathrm{FCPI}\left(-3\right)/\mathrm{P}\_\mathrm{P}\left(-3\right)\right)\right)\\[5pt] \hspace*{4.5pc}
{}-\log \left(\mathrm{ER}\left(-4\right)\ast
\left(\mathrm{FCPI}\left(-4\right)/\mathrm{P}\_\mathrm{P}\left(-4\right)\right)\right)\Big)-0.7889\ast
\mathrm{ECM}\_\mathrm{Mc}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{Mc}=\log
\left(\mathrm{Mc}\left(-1\right)\right)-0.50\ast \log
\left(\mathrm{PCONc}\left(-1\right)+\mathrm{GCONc}\left(-1\right)+\mathrm{PINVc}\left(-1\right)\right)\\[5pt] \hspace*{4.0pc}
{}-0.50\ast \log \left(\mathrm{Xc}\left(-1\right)\right)+0.24\ast
\log \left(\mathrm{ER}\left(-1\right)\ast
\left(\mathrm{FCPI}\left(-1\right)/\mathrm{P}\_\mathrm{P}\left(-1\right)\right)\right)\end{array}}
$$
Diagnostic Tests:
Sigma
0.0590461
R^2
0.837801
AR 1-2 test
F(2,18) = 0.56582 [0.5777]
ARCH 1-1 test
F(1,18) = 0.61494 [0.4431]
Normality test
Chi^2(2) = 1.9212 [0.3827]
Hetero test
F(14,5) = 0.58687 [0.8016]
Hetero-X test
Not enough observations
RESET test
F(1,19) = 0.29780 [0.5916]
1.1.4.3 Current Account Balances in Current Prices
$$ {\displaystyle \begin{array}{l}\Delta
\left(\mathrm{CAB}\right)=-1432-0.3742\ast \Delta
\left(\mathrm{CAB}\left(-1\right)\right)-0.8206\ast
\Big(\mathrm{X}\left(-2\right)-\mathrm{M}\left(-2\right)\\[5pt] \hspace*{4.2pc}
{}-\mathrm{X}\left(-3\right)+\mathrm{M}\left(-3\right)\Big)-0.9523\ast
\left(\mathrm{X}\left(-3\right)-\mathrm{M}\left(-3\right)-\mathrm{X}\left(-4\right)+\mathrm{M}\left(-4\right)\right)\\[5pt] \hspace*{4.2pc}
{}-0.3758\ast \mathrm{ECM}\_\mathrm{CAB}\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{CAB}=\mathrm{CAB}\left(-1\right)+1656+0.17\ast \left(\mathrm{X}\left(-1\right)-\mathrm{M}\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
2256.73
R^2
0.821872
AR 1-2 test
F(2,21) = 0.034961 [0.9657]
ARCH 1-1 test
F(1,21) =0.00063578 [0.9801]
Normality test
Chi^2(2) = 2.3322 [0.3116]
Hetero test
F(8,14) = 0.43740 [0.8792]
Hetero-X test
Not enough observations
RESET test
F(1,22) = 0.11957 [0.7328]
1.1.5 Money Block1.1.5.1 Money in Circulation
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{M}0\right)=-0.4268\ast \Delta \log
\left(\mathrm{M}0\left(-2\right)\right)+0.7671\ast \Delta \log
\left(\mathrm{M}1\right)\\[5pt] \hspace*{4.8pc} {}+0.2727\ast \Delta \log
\left(\mathrm{M}1\left(-2\right)\right)-0.1009\ast
\mathrm{ECM}\_\mathrm{M}0\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{M}0=\Big(\log \left(\mathrm{M}0\left(-1\right)\right)-\log \left(\mathrm{M}1\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.0361518
log-likelihood
55.3886
AR 1-2 test
F(2,22) = 0.40415 [0.6724]
ARCH 1-1 test
F(1,22) = 0.17126 [0.6830]
Normality test
Chi^2(2)= 4.9178 [0.0855]
Hetero test
F(8,15) = 1.1826 [0.3705]
Hetero-X test
F(14,9) = 1.3256 [0.3421]
RESET test
F(1,23) = 5.6891 [0.0257]∗
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.5.2 Narrow Money
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{M}1\right)=\Delta \log
\left(\mathrm{P}\_\mathrm{C}\right)-0.7956-0.2771\ast
\left(\Delta \log
\left(\mathrm{M}1\left(-3\right)\right)-\Delta \log
\left(\mathrm{P}\_\mathrm{C}\left(-3\right)\right)\right)\\[5pt] \hspace*{4.8pc}
{}+1.365\ast \Delta \log
\left(\mathrm{ADc}\left(-2\right)\right)-0.2475\ast
\mathrm{ECM}\_\mathrm{M}1\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{M}1=\log
\left(\mathrm{M}1\left(-1\right)/\mathrm{P}\_\mathrm{C}\left(-1\right)\right)-\log
\left(\mathrm{ADc}\left(-1\right)\right)+0.008\\[5pt] \hspace*{4.3pc} {}\ast
\left(\mathrm{IRL}\left(-1\right)-100\ast \Delta \log
\left(\mathrm{P}\_\mathrm{C}\left(-1\right)\right)\right)-0.30\ast
\log \left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0662882
R^2
0.404229
AR 1-2 test
F(2,22) = 1.0763 [0.3581]
ARCH 1-1 test
F(1,22) = 0.53500 [0.4722]
Normality test
Chi^2(2) = 2.9824 [0.2251]
Hetero test
F(6,17) = 0.68394 [0.6651]
Hetero-X test
F(9,14) = 2.9895 [0.0326]∗
RESET test
F(1,23) = 11.561 [0.0025]∗∗
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.5.3 Broad Money
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{M}2\right)=+0.2416\ast \Delta \log
\left(\mathrm{M}2\left(-1\right)\right)+0.574\ast \Big(\log
\left(\mathrm{DCCB}+\mathrm{DCDMB}+\mathrm{NFA}\right)\\[5pt] \hspace*{4.8pc} {}-\log
\left(\mathrm{DCCB}\left(-1\right)+\mathrm{DCDMB}\left(-1\right)+\mathrm{NFA}\left(-1\right)\right)\Big)-0.1783\ast
\mathrm{ECM}\_\mathrm{M}2\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{M}2=\log \left(\mathrm{M}2\left(-1\right)\right)-\log \left(\mathrm{DCCB}\left(-1\right)+\mathrm{DCDMB}\left(-1\right)+\mathrm{NFA}\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.0361319
log-likelihood
58.6296
AR 1-2 test
F(2,25) = 9.9780 [0.0007]∗∗
ARCH 1-1 test
F(1,25) = 24.204 [0.0000]∗∗
Normality test
Chi^2(2) = 8.5917 [0.0136]∗
Hetero test
F(6,20) = 3.7812 [0.0111]∗
Hetero-X test
F(9,17) = 2.5962 [0.0432]∗
RESET test
F(1,26) = 0.62176 [0.4375]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.5.4 Net Foreign Asset
$$ {\displaystyle \begin{array}{l}\Delta
\left(\mathrm{NFA}\right)=\Delta
\left(\mathrm{NFA}\left(-1\right)\right)+1061+0.7546\ast \Delta
\left(\mathrm{CAB}\right)-0.4242\\[5pt] \hspace*{4.0pc} {}\ast \Delta
\left(\mathrm{CAB}\left(-2\right)\right)-0.6238\ast
\mathrm{ECM}\_\mathrm{NFA}\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{NFA}=\Delta \left(\mathrm{NFA}\left(-1\right)\right)-\mathrm{CAB}\left(-1\right) $$
Diagnostic Tests:
Sigma
1548.26
R^2
0.897147
AR 1-2 test
F(2,22) = 0.43728 [0.6513]
ARCH 1-1 test
F(1,22) = 3.3356 [0.0814]
Normality test
Chi^2(2) = 0.38018 [0.8269]
Hetero test
F(6,17) = 3.9846 [0.0113]∗
Hetero-X test
F(9,14) = 4.2894 [0.0076]∗∗
RESET test
F(1,23) = 25.473 [0.0000]∗∗
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.5.5 Domestic Credit of Central Bank
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{DCCB}\right)=0.1453+0.9768\ast \Big(\log
\left(\Delta \left(\mathrm{DDEBT}\right)+50,000\right)\\[5pt] \hspace*{5.8pc} {}-\log
\left(\Delta
\left(\mathrm{DDEBT}\left(-1\right)\right)+50,000\right)\Big)-0.1238\ast
\mathrm{ECM}\_\mathrm{DCCB}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{DCCB}=\log
\left(\mathrm{DCCB}\left(-1\right)\right)+22-2.52\ast \log
\left(\Delta
\left(\mathrm{DEBT}\left(-1\right)\right)+50,000\right)\\[5pt] \hspace*{5.5pc}
{}-1.22\ast \log \left(\mathrm{time}(1981)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.204798
R^2
0.236123
AR 1-2 test
F(2,25) = 0.065650 [0.9366]
ARCH 1-1 test
F(1,25) = 0.11489 [0.7375]
Normality test
Chi^2(2) = 2.8479 [0.2408]
Hetero test
F(4,22) = 2.3240 [0.0884]
Hetero-X test
F(5,21) = 1.7748 [0.1618]
RESET test
F(1,26) = 3.0232 [0.0939]
1.1.5.6 Domestic Credit of Deposit Money Banks
$$ \Delta\ \log \left(\mathrm{DCDMB}\right)=1.209\ast \Delta \log \left(\mathrm{INV}\right)-0.2178\ast \mathrm{ECM}\_\mathrm{DCDMB} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{DCDMB}=\log
\left(\mathrm{DCDMB}\left(-1\right)\right)+2.10-1.23\ast \log
\left(\mathrm{INV}\left(-1\right)\right)\\[5pt] \hspace*{6.2pc} {}+0.001\ast
\left(\mathrm{IRL}\left(-1\right)-100\ast \Delta \log
\left(\mathrm{P}\_\mathrm{C}\left(-1\right)\right)\right)\end{array}}
$$
Diagnostic Tests:
Sigma
0.0353202
log-likelihood
52.9967
AR 1-2 test
F(2,23) = 0.23524 [0.7923]
ARCH 1-1 test
F(1,23) = 0.047610 [0.8292]
Normality test
Chi^2(2) = 6.2479 [0.0440]∗
Hetero test
F(4,20) = 1.9279 [0.1450]
Hetero-X test
F(5,19) = 1.7251 [0.1773]
RESET test
F(1,24) = 2.2865 [0.1436]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.5.7 Deposit Rate
$$ {\displaystyle \begin{array}{l}\Delta
\left(\mathrm{IRD}\right)=+0.5785\ast \Delta
\left(\mathrm{BR}\right)+0.09656\ast \Delta
\left(\mathrm{ER}\right)-0.09438\ast \Delta
\left(\mathrm{ER}\left(-3\right)\right)\\[5pt] \hspace*{4.0pc} {}-0.5344\ast
\mathrm{ECM}\_\mathrm{IRD}\end{array}} $$
$$ \mathrm{ECM}\_\mathrm{IRD}=\mathrm{IRD}\left(-1\right)+2.52-0.82\ast \mathrm{BR}\left(-1\right)-0.08\ast \mathrm{ER}\left(-1\right) $$
Diagnostic Tests:
Sigma
0.380562
AR 1-2 test
F(2,20) = 0.037920 [0.9629]
ARCH 1-1 test
F(1,20) = 1.0457 [0.3187]
Normality test
Chi^2(2) = 1.9972 [0.3684]
Hetero test
F(8,13) = 0.43143 [0.8818]
Hetero-X test
F(14,7) = 0.18466 [0.9964]
RESET test
F(1,21) = 0.13951 [0.7125]
1.1.5.8 Lending Rate
$$ \Delta \left(\mathrm{IRL}\right)=0.7863\ast \Delta \left(\mathrm{IRD}\right)-0.2139\ast \mathrm{ECM}\_\mathrm{IRL} $$
$$ \mathrm{ECM}\_\mathrm{IRL}=\mathrm{IRL}\left(-1\right)-11-0.70\ast \mathrm{IRD}\left(-1\right)+0.28\ast \log \left(\mathrm{DDEBT}\left(-1\right)\right) $$
Diagnostic Tests:
Sigma
0.427457
AR 1-2 test
F(2,23) = 0.92255 [0.4117]
ARCH 1-1 test
F(1,23) = 0.019697 [0.8896]
Normality test
Chi^2(2) = 7.9926 [0.0184]∗
Hetero test
F(4,20) = 2.0860 [0.1207]
Hetero-X test
F(5,19) = 1.7556 [0.1704]
RESET test
F(1,24) = 1.2794 [0.2692]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.6 Price Block1.1.6.1 GDP Deflator
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{P}\_\mathrm{GDP}\right)=0.4667\ast \Delta \log
\left(\mathrm{P}\_\mathrm{GDP}\left(-1\right)\right)+0.1885\ast
\Delta \log
\left(\mathrm{P}\_\mathrm{GDP}\left(-3\right)\right)\\[5pt] \hspace*{5.9pc} {}\kern0.5em
+0.6552\ast \Big(\log
\left(\left(\mathrm{P}\mathrm{CON}+\mathrm{GCON}+\mathrm{INV}\right)/\left(\mathrm{P}\mathrm{CON}\mathrm{c}+\mathrm{GCON}\mathrm{c}+\mathrm{INV}\mathrm{c}\right)\right)\\[5pt] \hspace*{6.3pc}
{}-\log
\left(\mathrm{P}\mathrm{CON}\left(-1\right)+\mathrm{GCON}\left(-1\right)+\mathrm{INV}\left(-1\right)\right)\Big)/\\[5pt] \hspace*{5.8pc}
{}\kern0.75em
\left(\mathrm{P}\mathrm{CON}\mathrm{c}\left(-1\right)+\mathrm{GCON}\mathrm{c}\left(-1\right)+\mathrm{INV}\mathrm{c}\left(-1\right)\right)\\[5pt] \hspace*{6.0pc}
{}\kern0.5em -0.3345\ast \left(\log
\right(\left(\mathrm{P}\mathrm{CON}\left(-1\right)+\mathrm{GCON}\left(-1\right)+\mathrm{INV}\left(-1\right)\right)/\\[5pt] \hspace*{5.8pc}
{}\kern0.75em
\left(\mathrm{P}\mathrm{CON}\mathrm{c}\left(-1\right)+\mathrm{GCON}\mathrm{c}\left(-1\right)+\mathrm{INV}\mathrm{c}\left(-1\right)\right)\Big)\\[5pt] \hspace*{6.3pc}
{}-\log
\Big(\left(\mathrm{P}\mathrm{CON}\left(-2\right)+\mathrm{GCON}\left(-2\right)+\mathrm{INV}\left(-2\right)\right)/\\[5pt] \hspace*{6.1pc}
{}\kern0.5em
\left(\mathrm{P}\mathrm{CON}\mathrm{c}\left(-2\right)+\mathrm{GCON}\mathrm{c}\left(-2\right)+\mathrm{INV}\mathrm{c}\left(-2\right)\right)\Big)\kern0.1em
-0.3353\ast \mathrm{ECM}\_\mathrm{P}\_\mathrm{GDP}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{P}\_\mathrm{GDP}=\log
\left(\mathrm{P}\_\mathrm{GDP}\left(-1\right)\right)-0.91\\[5pt] \hspace*{5.8pc} {}\ast
\log
\Big(\left(\mathrm{P}\mathrm{CON}\left(-1\right)+\mathrm{GCON}\left(-1\right)+\mathrm{INV}\left(-1\right)\right)\\[5pt] \hspace*{5.8pc}
{}/\left(\mathrm{P}\mathrm{CON}\mathrm{c}\left(-1\right)+\mathrm{GCON}\mathrm{c}\left(-1\right)+\mathrm{INV}\mathrm{c}\left(-1\right)\right)\Big)\end{array}}
$$
Diagnostic Tests:
Sigma
0.00875871
log-likelihood
92.3715
AR 1-2 test
F(2,20) = 0.045236 [0.9559]
ARCH 1-1 test
F(1,20) = 1.0296 [0.3224]
Normality test
Chi^2(2) = 0.83493 [0.6587]
Hetero test
F(10,11) = 1.0692 [0.4539]
Hetero-X test
Not enough observations
RESET test
F(1,21) = 1.1421 [0.2973]
1.1.6.2 Consumer Price Index
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{P}\_\mathrm{C}\right)=0.03688+0.3802\ast \Delta
\log \left(\mathrm{P}\_\mathrm{P}\right)+0.1699\ast \Delta \log
\left(\mathrm{P}\_\mathrm{M}\right)\\[5pt] \hspace*{5.0pc} {}+0.1917\ast \Delta \log
\left(\mathrm{P}\_\mathrm{M}\left(-1\right)\right)-0.3982\ast
\mathrm{ECM}\_\mathrm{P}\_\mathrm{C}\end{array}} $$
ECM _ P _ C = log (P _ C(−1)) − 0.33 ∗ log (P _ P(−1)) − 0.18 ∗ log (P _ M(−1)) − 0.26 ∗ log (M2(−1)/GDPc(−1)) − 0.03 ∗ log (GPW2(−1)) − 0.04 ∗ log (FPW2(−1)) − 0.06 ∗ log (EPW2(−1))
Diagnostic Tests:
Sigma
0.0177119
R^2
0.658657
AR 1-2 test
F(2,20) = 0.22329 [0.8019]
ARCH 1-1 test
F(1,20) = 0.37002 [0.5498]
Normality test
Chi^2(2) = 2.0840 [0.3528]
Hetero test
F(8,13) = 0.75906 [0.6432]
Hetero-X test
Not enough observations
RESET test
F(1,21) = 2.6695 [0.1172]
1.1.6.3 Producer Price Index
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{P}\_\mathrm{P}\right)=0.364239\ast \Delta \log
\left(\mathrm{P}\_\mathrm{P}\left(-1\right)\right)+0.321486\ast
\Delta \log \left(\mathrm{P}\_\mathrm{P}\left(-3\right)\right)\\[5pt] \hspace*{5.0pc}
{}+0.229704\ast \Delta \log
\left(\mathrm{P}\_\mathrm{M}\left(-2\right)\right)-0.214906\ast
\mathrm{ECM}\_\mathrm{P}\_\mathrm{P}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{P}\_\mathrm{P}=\log
\left(\mathrm{P}\_\mathrm{P}\left(-1\right)\right)+1.20-0.46\\[5pt] \hspace*{4.5pc}
{}\ast \log
\left(\mathrm{P}\_\mathrm{M}\left(-1\right)\right)-0.25\ast \log
\left(\mathrm{GPW}2\left(-1\right)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0354513
log-likelihood
55.9365
AR 1-2 test
F(2,22) = 1.3451 [0.2811]
ARCH 1-1 test
F(1,22) = 0.37581 [0.5461]
Normality test
Chi^2(2) = 5.2604 [0.0721]
Hetero test
F(8,15) = 0.65827 [0.7194]
Hetero-X test
F(14,9) = 0.77607 [0.6765]
RESET test
F(1,23) = 0.18601 [0.6703]
1.1.6.4 Investment Deflator
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{P}\_\mathrm{INV}\right)=0.4952\ast \left(\log
\left(\mathrm{VA}3\left(-2\right)/\mathrm{VA}3\mathrm{c}\left(-2\right)\right)-\log
\left(\mathrm{VA}3\left(-3\right)/\mathrm{VA}3\mathrm{c}\left(-3\right)\right)\right)\\[5pt] \hspace*{5.9pc}
{}-0.1624\ast \mathrm{ifeq}(1999)-0.4997\ast
\mathrm{ECM}\_\mathrm{P}\_\mathrm{INV}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{P}\_\mathrm{INV}=\log
\left(\mathrm{P}\_\mathrm{INV}\left(-1\right)\right)-0.60\ast \log
\left(\mathrm{VA}2\left(-1\right)/\mathrm{VA}2\mathrm{c}\left(-1\right)\right)\\[5pt] \hspace*{5.5pc}
{}-0.35\ast \log
\left(\mathrm{VA}3\left(-1\right)/\mathrm{VA}3\mathrm{c}\left(-1\right)\right)-0.001\ast
\mathrm{IRL}\left(-2\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0282803
log-likelihood
63.8363
AR 1-2 test
F(2,24) = 0.32778 [0.7237]
ARCH 1-1 test
F(1,24) = 0.068873 [0.7952]
Normality test
Chi^2(2) = 0.45551 [0.7963]
Hetero test
F(5,20) = 0.68335 [0.6414]
Hetero-X test
F(6,19) = 0.54284 [0.7693]
RESET test
F(1,25) = 2.3988 [0.1340]
1.1.6.5 Export Deflator
$$ {\displaystyle \begin{array}{l}\Delta \log
\left(\mathrm{P}\_\mathrm{X}\right)=-0.219\ast \Delta \log
\left(\mathrm{P}\_\mathrm{X}\left(-1\right)\right)+0.4864\\[5pt] \hspace*{5.2pc} {}\ast
\left(\log
\left(\mathrm{VA}2\left(-3\right)/\mathrm{VA}2\mathrm{c}\left(-3\right)\right)-\log
\left(\mathrm{VA}2\left(-4\right)/\mathrm{VA}2\mathrm{c}\left(-4\right)\right)\right)\\[5pt] \hspace*{5.2pc}
{}+0.4109\ast \Delta \log
\left(\mathrm{P}\_\mathrm{M}\right)-0.2565\ast
\mathrm{ECM}\_\mathrm{P}\_\mathrm{X}\end{array}} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{P}\_\mathrm{X}=\log
\left(\mathrm{P}\_\mathrm{X}\left(-1\right)\right)-0.5\ast \log
\left(\mathrm{P}\_\mathrm{M}\left(-1\right)\right)\\[5pt] \hspace*{4.4pc} {}-0.5\ast \log
\left(\mathrm{VA}2\left(-1\right)/\mathrm{VA}2\mathrm{c}\left(-1\right)\right)\end{array}}
$$
Diagnostic Tests:
Sigma
0.0246245
log-likelihood
66.1403
AR 1-2 test
F(2,22) = 0.40800 [0.6699]
ARCH 1-1 test
F(1,22) = 0.025071 [0.8756]
Normality test
Chi^2(2) = 7.7422 [0.0208]∗
Hetero test
F(8,15) = 1.0970 [0.4166]
Hetero-X test
F(14,9) = 3.7995 [0.0250]∗
RESET test
F(1,23) = 1.9806 [0.1727]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively
1.1.6.6 Import Deflator
$$ \Delta \log \left(\mathrm{P}\_\mathrm{M}\right)=0.0191048+0.767812\ast \Delta \log \left(\mathrm{P}\_\mathrm{X}\right)-0.136711\ast \mathrm{ECM}\_\mathrm{P}\_\mathrm{M} $$
$$ {\displaystyle
\begin{array}{l}\mathrm{ECM}\_\mathrm{P}\_\mathrm{M}=\log
\left(\mathrm{P}\_\mathrm{M}\left(-1\right)\right)+4.34921+0.261571\ast
\log \left(\mathrm{time}(1981)\right)\\[5pt] \hspace*{4.7pc} {}-0.673132\ast \log
\left(\mathrm{FCPI}\left(-1\right)\right)-1.37486\ast \log
\left(\mathrm{ER}\left(-1\right)\right)\end{array}} $$
Diagnostic Tests:
Sigma
0.0311255
R^2
0.598272
AR 1-2 test
F(2,26) = 0.051444 [0.9500]
ARCH 1-1 test
F(1,26) = 0.30609 [0.5848]
Normality test
Chi^2(2) = 6.3204 [0.0424]∗
Hetero test
F(4,23) = 2.9677 [0.0410]∗
Hetero-X test
F(5,22) = 5.8836 [0.0013]∗∗
RESET test
F(1,27) = 0.86269 [0.3612]
Note: *, ** indicate significance at 1% or higher and below 1% level, respectively