Dependent Variable: LRGDP

Method: ARDL
Date: 03/15/24 Tim e: 21:50
Sam ple (adjus ted): 2000 2022
Included obs ervations : 23 after adjus tm ents
Maxim um dependent lags : 2 (Autom atic s election)
Model s election m ethod: Akaike info criterion (AIC)
Dynam ic regres s ors (2 lags , autom atic): LCEX LGNS INF PSID
Fixed regres s ors : C @TREND
Num ber of m odels evaluated: 162
Selected Model: ARDL(2, 0, 1, 1, 2)

Variable Coefficient Std. Error t-Statis tic Prob.*

LRGDP(-1) -0.053504 0.023251 -2.301109 0.0419

LRGDP(-2) -0.060671 0.018539 -3.272539 0.0074
LCEX -0.048366 0.064404 -0.750984 0.4684
LGNS 0.063058 0.048673 1.295559 0.2217
LGNS(-1) 0.209166 0.064949 3.220482 0.0082
INF -0.073556 0.071645 -1.026664 0.3266
INF(-1) -0.075916 0.058193 -1.304562 0.2187
PSID -0.013086 0.030331 -0.431431 0.6745
PSID(-1) -0.015881 0.035719 -0.444611 0.6652
PSID(-2) -0.050284 0.036698 -1.370214 0.1979
C 11.95401 0.736711 16.22620 0.0000
@TREND 0.049747 0.011779 4.223574 0.0014

R-s quared 0.999497 Mean dependent var 13.70524

Adjus ted R-s quared 0.998994 S.D. dependent var 0.613793
S.E. of regres s ion 0.019470 Akaike info criterion -4.733966
Sum s quared res id 0.004170 Schwarz criterion -4.141535
Log likelihood 66.44061 Hannan-Quinn criter. -4.584972
F-s tatis tic 1986.581 Durbin-Wats on s tat 1.839580
Prob(F-s tatis tic) 0.000000

*Note: p-values and any s ubs equent tes ts do not account for m odel
s election.
Ramsey RESET Test
Equation: UNTITLED
Omitted Variables: Squares of fitted values
Specification: LRGDP LRGDP(-1) LRGDP(-2) LCEX LGNS LGNS(-1) INF
INF(-1) PSID PSID(-1) PSID(-2) C @TREND

Value df Probability
t-statistic 0.558497 10 0.5888
F-statistic 0.311919 (1, 10) 0.5888
Likelihood ratio 0.706452 1 0.4006

F-test summary:
Sum of Sq. df Mean Squares
Test SSR 0.000126 1 0.000126
Restricted SSR 0.004170 11 0.000379
Unrestricted SSR 0.004044 10 0.000404

LR test summary:
Value
Restricted LogL 66.44061
Unrestricted LogL 66.79384

Unrestricted Test Equation:

Dependent Variable: LRGDP
Method: Least Squares
Date: 03/15/24 Time: 21:53
Sample: 2000 2022
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

LRGDP(-1) -0.094953 0.078004 -1.217278 0.2514

LRGDP(-2) -0.118398 0.105120 -1.126316 0.2863
LCEX -0.064062 0.072211 -0.887149 0.3958
LGNS 0.082184 0.060826 1.351127 0.2064
LGNS(-1) 0.368885 0.293741 1.255817 0.2377
INF -0.140398 0.140710 -0.997779 0.3419
INF(-1) -0.149494 0.144805 -1.032383 0.3262
PSID -0.011986 0.031389 -0.381854 0.7106
PSID(-1) -0.026713 0.041680 -0.640924 0.5360
PSID(-2) -0.084836 0.072553 -1.169287 0.2694
C 16.60206 8.357129 1.986574 0.0750
@TREND 0.100446 0.091588 1.096716 0.2985
FITTED^2 -0.031319 0.056077 -0.558497 0.5888

R-squared 0.999512 Mean dependent var 13.70524

Adjusted R-squared 0.998927 S.D. dependent var 0.613793
S.E. of regression 0.020109 Akaike info criterion -4.677725
Sum squared resid 0.004044 Schwarz criterion -4.035924
Log likelihood 66.79384 Hannan-Quinn criter. -4.516314
F-statistic 1707.148 Durbin-Watson stat 1.921297
Prob(F-statistic) 0.000000
10.0
7.5

5.0
2.5

0.0

-2.5
-5.0

-7.5

-10.0
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

CUSUM 5% Significance

1.6

1.2

0.8

0.4

0.0

-0.4
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

CUSUM of Squares 5% Significance

6
Series: Residuals
Sample 2000 2022
5
Observations 23

4 Mean -9.52e-16
Median 0.001967
3 Maximum 0.024031
Minimum -0.029809
2 Std. Dev. 0.013768
Skewness -0.232212
Kurtosis 2.491567
1
Jarque-Bera 0.454436
0 Probability 0.796747
-0.03 -0.02 -0.01 0.00 0.01 0.02
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags

F-statistic 0.039438 Prob. F(2,9) 0.9615

Obs*R-squared 0.199819 Prob. Chi-Square(2) 0.9049

Test Equation:
Dependent Variable: RESID
Method: ARDL
Date: 03/15/24 Time: 21:56
Sample: 2000 2022
Included observations: 23
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

LRGDP(-1) -8.80E-05 0.027785 -0.003167 0.9975

LRGDP(-2) 0.001145 0.021550 0.053110 0.9588
LCEX -0.000912 0.083506 -0.010923 0.9915
LGNS -0.001557 0.053876 -0.028905 0.9776
LGNS(-1) 0.001977 0.075959 0.026024 0.9798
INF 0.007032 0.082972 0.084752 0.9343
INF(-1) 0.005662 0.068090 0.083160 0.9355
PSID 0.004588 0.037169 0.123434 0.9045
PSID(-1) -0.004812 0.043413 -0.110841 0.9142
PSID(-2) 0.005033 0.044200 0.113873 0.9118
C -0.001222 0.911403 -0.001340 0.9990
@TREND -1.62E-05 0.013894 -0.001165 0.9991
RESID(-1) 0.058011 0.440867 0.131584 0.8982
RESID(-2) -0.114188 0.470882 -0.242497 0.8138

R-squared 0.008688 Mean dependent var -9.52E-16

Adjusted R-squared -1.423208 S.D. dependent var 0.013768
S.E. of regression 0.021432 Akaike info criterion -4.568779
Sum squared resid 0.004134 Schwarz criterion -3.877609
Log likelihood 66.54096 Hannan-Quinn criter. -4.394952
F-statistic 0.006067 Durbin-Watson stat 1.941345
Prob(F-statistic) 1.000000
Heteros kedas ticity Tes t: Breus ch-Pagan-Godfrey
Null hypothes is : Hom os kedas ticity

F-s tatis tic 1.147092 Prob. F(11,11) 0.4120

Obs *R-s quared 12.28784 Prob. Chi-Square(11) 0.3424
Scaled explained SS 2.096129 Prob. Chi-Square(11) 0.9981

Tes t Equation:
Dependent Variable: RESID^2
Method: Leas t Squares
Date: 03/15/24 Tim e: 21:57
Sam ple: 2000 2022
Included obs ervations : 23

Variable Coefficient Std. Error t-Statis tic Prob.

C 0.001588 0.008268 0.192065 0.8512

LRGDP(-1) -4.96E-05 0.000261 -0.189937 0.8528
LRGDP(-2) 0.000109 0.000208 0.523915 0.6107
LCEX 0.000193 0.000723 0.266984 0.7944
LGNS -0.000812 0.000546 -1.486267 0.1653
LGNS(-1) 0.000336 0.000729 0.460631 0.6540
INF 0.000140 0.000804 0.173768 0.8652
INF(-1) -0.000189 0.000653 -0.289981 0.7772
PSID -0.000500 0.000340 -1.468681 0.1699
PSID(-1) 0.000577 0.000401 1.438764 0.1781
PSID(-2) -0.000361 0.000412 -0.875594 0.4000
@TREND 4.52E-05 0.000132 0.341882 0.7389

R-s quared 0.534254 Mean dependent var 0.000181

Adjus ted R-s quared 0.068508 S.D. dependent var 0.000226
S.E. of regres s ion 0.000219 Akaike info criterion -13.71358
Sum s quared res id 5.25E-07 Schwarz criterion -13.12114
Log likelihood 169.7061 Hannan-Quinn criter. -13.56458
F-s tatis tic 1.147092 Durbin-Wats on s tat 3.149677
Prob(F-s tatis tic) 0.412010
 -4.74
-4.72
-4.70
-4.68
-4.66
-4.64
Model67 -4.62
Model13
Model61
Model58
Model72
Model71
Model65
Model66
Model34
Model64
Model40 Model67: ARDL(2, 0, 1, 1, 2)
Model13: ARDL(2, 2, 1, 1, 2)
Model70 Model61: ARDL(2, 0, 2, 0, 2)
Model58: ARDL(2, 0, 2, 1, 2)
Model35 Model72: ARDL(2, 0, 1, 0, 0)
Model71: ARDL(2, 0, 1, 0, 1)
Model68 Model65: ARDL(2, 0, 1, 2, 1)

Model15 Model66: ARDL(2, 0, 1, 2, 0)

Model34: ARDL(2, 1, 2, 0, 2)
Model62 Model64: ARDL(2, 0, 1, 2, 2)
Model40: ARDL(2, 1, 1, 1, 2)
Model55 Model70: ARDL(2, 0, 1, 0, 2)
Akaike Information Criteria (top 20 models)

Model35: ARDL(2, 1, 2, 0, 1)
Model10 Model68: ARDL(2, 0, 1, 1, 1)
Model15: ARDL(2, 2, 1, 1, 0)
Model4 Model62: ARDL(2, 0, 2, 0, 1)

Model63 Model55: ARDL(2, 0, 2, 2, 2)

Model10: ARDL(2, 2, 1, 2, 2)
Model4: ARDL(2, 2, 2, 1, 2)
Model63: ARDL(2, 0, 2, 0, 0)
ARDL Error Correction Regression
Dependent Variable: D(LRGDP)
Selected Model: ARDL(2, 0, 1, 1, 2)
Case 5: Unrestricted Constant and Unrestricted Trend
Date: 03/15/24 Time: 22:15
Sample: 1998 2022
Included observations: 23

ECM Regression
Case 5: Unrestricted Constant and Unrestricted Trend

Variable Coefficient Std. Error t-Statistic Prob.

C 11.95401 0.148730 80.37405 0.0000

@TREND 0.049747 0.000979 50.84021 0.0000
D(LRGDP(-1)) 0.060671 0.010957 5.537244 0.0002
D(LGNS) 0.063058 0.033419 1.886889 0.0858
D(INF) -0.073556 0.033623 -2.187642 0.0512
D(PSID) -0.013086 0.020732 -0.631178 0.5408
D(PSID(-1)) 0.050284 0.020324 2.474113 0.0309
CointEq(-1)* -1.114175 0.013862 -80.37624 0.0000

R-squared 0.998528 Mean dependent var 0.157161

Adjusted R-squared 0.997841 S.D. dependent var 0.358830
S.E. of regression 0.016673 Akaike info criterion -5.081793
Sum squared resid 0.004170 Schwarz criterion -4.686838
Log likelihood 66.44061 Hannan-Quinn criter. -4.982463
F-statistic 1453.495 Durbin-Watson stat 1.839580
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 947.5165 10% 3.03 4.06

k 4 5% 3.47 4.57
2.5% 3.89 5.07
1% 4.4 5.72
 ARDL Error Correction Regression
Dependent Variable: D(LRGDP)
Selected Model: ARDL(2, 0, 1, 1, 2)
Case 5: Unrestricted Constant and Unrestricted Trend
Date: 03/15/24 Time: 22:15
Sample: 1998 2022
Included observations: 23

ECM Regression
Case 5: Unrestricted Constant and Unrestricted Trend

Variable Coefficient Std. Error t-Statistic Prob.

C 11.95401 0.148730 80.37405 0.0000

@TREND 0.049747 0.000979 50.84021 0.0000
D(LRGDP(-1)) 0.060671 0.010957 5.537244 0.0002
D(LGNS) 0.063058 0.033419 1.886889 0.0858
D(INF) -0.073556 0.033623 -2.187642 0.0512
D(PSID) -0.013086 0.020732 -0.631178 0.5408
D(PSID(-1)) 0.050284 0.020324 2.474113 0.0309
CointEq(-1)* -1.114175 0.013862 -80.37624 0.0000

F-Bounds Test Null Hypothesis: No levels relationship

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

F-statistic 947.5165 10% 3.03 4.06

k 4 5% 3.47 4.57
2.5% 3.89 5.07
1% 4.4 5.72

R-squared 0.998528 Mean dependent var 0.157161

Adjusted R-squared 0.997841 S.D. dependent var 0.358830
S.E. of regression 0.016673 Akaike info criterion -5.081793
Sum squared resid 0.004170 Schwarz criterion -4.686838
Log likelihood 66.44061 Hannan-Quinn criter. -4.982463
F-statistic 1453.495 Durbin-Watson stat 1.839580
Prob(F-statistic) 0.000000
ARDL Long Run Form and Bounds Test
Dependent Variable: D(LRGDP)
Selected Model: ARDL(2, 0, 1, 1, 2)
Case 5: Unrestricted Constant and Unrestricted Trend
Date: 03/15/24 Time: 22:17
Sample: 1998 2022
Included observations: 23

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C 11.95401 0.736711 16.22620 0.0000

@TREND 0.049747 0.011779 4.223574 0.0014
LRGDP(-1)* -1.114175 0.031341 -35.54994 0.0000
LCEX** -0.048366 0.064404 -0.750984 0.4684
LGNS(-1) 0.272225 0.050518 5.388613 0.0002
INF(-1) -0.149472 0.096170 -1.554245 0.1484
PSID(-1) -0.079251 0.040986 -1.933622 0.0793
D(LRGDP(-1)) 0.060671 0.018539 3.272539 0.0074
D(LGNS) 0.063058 0.048673 1.295559 0.2217
D(INF) -0.073556 0.071645 -1.026664 0.3266
D(PSID) -0.013086 0.030331 -0.431431 0.6745
D(PSID(-1)) 0.050284 0.036698 1.370214 0.1979

* p-value incompatible with t-Bounds distribution.

** Variable interpreted as Z = Z(-1) + D(Z).

Levels Equation
Case 5: Unrestricted Constant and Unrestricted Trend

Variable Coefficient Std. Error t-Statistic Prob.

LCEX -0.043410 0.057009 -0.761457 0.4624

LGNS 0.244328 0.042540 5.743447 0.0001
INF -0.134155 0.086576 -1.549566 0.1495
PSID -0.071130 0.035802 -1.986766 0.0724

EC = LRGDP - (-0.0434*LCEX + 0.2443*LGNS -0.1342*INF -0.0711*PSID)

F-Bounds Test Null Hypothesis: No levels relationship

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

Asymptotic: n=1000
F-statistic 947.5165 10% 3.03 4.06
k 4 5% 3.47 4.57
2.5% 3.89 5.07
1% 4.4 5.72

Actual Sample Size 23 Finite Sample: n=35

10% 3.374 4.512
5% 4.036 5.304
1% 5.604 7.172

Finite Sample: n=30

10% 3.43 4.624
5% 4.154 5.54
1% 5.856 7.578

t-Bounds Test Null Hypothesis: No levels relationship