Scribd
Upload
4 views

SAMI

Research paper

Uploaded by

Yash baghel 19 GGB 259
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
4 views

SAMI

Research paper

Uploaded by

Yash baghel 19 GGB 259
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 5

ardl

Dependent Variable: LNGDP


Method: ARDL
Date: 11/18/24 Time: 20:32
Sample (adjusted): 2 23
Included observations: 22 after adjustments
Maximum dependent lags: 1 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (1 lag, automatic): LNRI LNI
Fixed regressors: C
Number of models evaluated: 4
Selected Model: ARDL(1, 0, 0)

Variable Coefficient Std. Error t-Statistic Prob.*

LNGDP(-1) 0.899525 0.029014 31.00354 0.0000


LNRI 0.466571 0.564923 0.825902 0.0197
LNI -0.241760 0.477820 -0.505964 0.0190
C 1.888280 1.074790 1.756883 0.0059

R-squared 0.993087 Mean dependent var 28.04774


Adjusted R-squared 0.991935 S.D. dependent var 0.602413
S.E. of regression 0.054101 Akaike info criterion -2.832975
Sum squared resid 0.052684 Schwarz criterion -2.634604
Log likelihood 35.16272 Hannan-Quinn criter. -2.786245
F-statistic 861.9237 Durbin-Watson stat 2.249605
Prob(F-statistic) 0.000000

*Note: p-values and any subsequent tests do not account for model
selection.
ARDL Long Run Form and Bounds Test
Dependent Variable: D(LNGDP)
Selected Model: ARDL(1, 0, 0)
Case 2: Restricted Constant and No Trend
Date: 11/18/24 Time: 20:39
Sample: 1 23
Included observations: 22

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C 1.888280 1.074790 1.756883 0.0959


LNGDP(-1)* -0.100475 0.029014 -3.463034 0.0028
LNRI** 0.466571 0.564923 0.825902 0.0197
LNI** -0.241760 0.477820 -0.505964 0.0190

* p-value incompatible with t-Bounds distribution.


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

Levels Equation
Case 2: Restricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

LNRI 4.643646 6.452619 0.719653 0.0010


LNI -2.406167 5.189981 -0.463618 0.0485
C 18.79350 6.148067 3.056815 0.0068

EC = LNGDP - (4.6436*LNRI -2.4062*LNI + 18.7935)

F-Bounds Test Null Hypothesis: No levels relationship

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

Asymptotic: n=1000
F-statistic 21.80736 10% 2.63 3.35
k 2 5% 3.1 3.87
2.5% 3.55 4.38
1% 4.13 5

Actual Sample Size 22 Finite Sample: n=35


10% 2.845 3.623
5% 3.478 4.335
1% 4.948 6.028

Finite Sample: n=30


10% 2.915 3.695
5% 3.538 4.428
1% 5.155 6.265
NORMALITY

8
Series: Residuals
7 Sample 2 23
Observations 22
6
5 Mean 1.35e-15
Median -0.009105
4 Maximum 0.074150
3 Minimum -0.115012
Std. Dev. 0.050087
2 Skewness -0.327564
Kurtosis 2.616855
1
0 Jarque-Bera 0.527994
-0.10 -0.05 0.00 0.05 Probability 0.767976

HETEROSKADICITY
Heteroskedasticity Test: Breusch-Pagan-Godfrey
Null hypothesis: Homoskedasticity

F-statistic 0.644378 Prob. F(3,18) 0.5965


Obs*R-squared 2.133581 Prob. Chi-Square(3) 0.5451
Scaled explained SS 1.154649 Prob. Chi-Square(3) 0.7639

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/18/24 Time: 20:46
Sample: 2 23
Included observations: 22

Variable Coefficient Std. Error t-Statistic Prob.

C -0.030169 0.063553 -0.474705 0.6407


LNGDP(-1) 0.001131 0.001716 0.659276 0.5181
LNRI -0.002344 0.033404 -0.070164 0.9448
LNI 0.002642 0.028254 0.093498 0.9265

R-squared 0.096981 Mean dependent var 0.002395


Adjusted R-squared -0.053522 S.D. dependent var 0.003117
S.E. of regression 0.003199 Akaike info criterion -8.488992
Sum squared resid 0.000184 Schwarz criterion -8.290620
Log likelihood 97.37891 Hannan-Quinn criter. -8.442261
F-statistic 0.644378 Durbin-Watson stat 2.114025
Prob(F-statistic) 0.596480
LM TEST
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags

F-statistic 0.371111 Prob. F(2,16) 0.6958


Obs*R-squared 0.975312 Prob. Chi-Square(2) 0.6141

Test Equation:
Dependent Variable: RESID
Method: ARDL
Date: 11/18/24 Time: 20:46
Sample: 2 23
Included observations: 22
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

LNGDP(-1) 0.001625 0.030283 0.053650 0.9579


LNRI -0.129158 0.604913 -0.213516 0.8336
LNI 0.099108 0.508765 0.194802 0.8480
C 0.098136 1.121464 0.087507 0.9314
RESID(-1) -0.178727 0.264987 -0.674473 0.5096
RESID(-2) -0.176123 0.268856 -0.655081 0.5217

R-squared 0.044332 Mean dependent var 1.35E-15


Adjusted R-squared -0.254314 S.D. dependent var 0.050087
S.E. of regression 0.056096 Akaike info criterion -2.696502
Sum squared resid 0.050348 Schwarz criterion -2.398945
Log likelihood 35.66152 Hannan-Quinn criter. -2.626406
F-statistic 0.148445 Durbin-Watson stat 2.087771
Prob(F-statistic) 0.977603

CUSUM

15

10

-5

-10

-15
6 8 10 12 14 16 18 20 22

CUSUM 5% Significance
CUSUM SQAURE

1.6

1.2

0.8

0.4

0.0

-0.4
6 8 10 12 14 16 18 20 22

CUSUM of Squares 5% Significance

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy