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Ardl FR Cointegrating Final100

The document presents an ARDL model analysis for the dependent variable FR, using data from 1998Q1 to 2011Q3 with 54 observations. It includes both cointegrating and long-run coefficients, indicating significant relationships between FR and variables such as EXR, INT_RATE, and TB, with p-values suggesting statistical significance. The model highlights the long-run equation for FR based on various economic indicators.

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Tewabe Gashaw
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29 views1 page

Ardl FR Cointegrating Final100

The document presents an ARDL model analysis for the dependent variable FR, using data from 1998Q1 to 2011Q3 with 54 observations. It includes both cointegrating and long-run coefficients, indicating significant relationships between FR and variables such as EXR, INT_RATE, and TB, with p-values suggesting statistical significance. The model highlights the long-run equation for FR based on various economic indicators.

Uploaded by

Tewabe Gashaw
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as RTF, PDF, TXT or read online on Scribd
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ARDL Cointegrating And Long Run Form

Dependent Variable: FR
Selected Model: ARDL(1, 1, 1, 1, 0, 0, 0, 0, 0)
Date: 12/27/17 Time: 19:04
Sample: 1998Q1 2011Q3
Included observations: 54

Cointegrating Form

Variable Coefficient Std. Error t-Statistic Prob.

5750.24568
D(EXR) 7 1444.883322 3.979730 0.0003
D(B) -0.024917 0.137988 -0.180575 0.8576
-
7681.51673
D(INT__RATE) 3 2328.070438 -3.299521 0.0020
D(L) -0.512475 0.116680 -4.392128 0.0001
D(LRR) 0.547935 1.166771 0.469617 0.6411
799172469 6581607164.
D(M2_GDP) 7.541132 808766 0.000000 0.0000
D(TB) -0.829729 0.104436 -7.944887 0.0000
D(UES) 0.066343 0.057505 1.153700 0.2553
CointEq(-1) -1.109952 0.097349 -11.401730 0.0000

Cointeq = FR - (7873.8415*EXR + 0.1940*B -19539.5490*INT__RATE


-0.4617*L + 0.4937*LRR + 7200060642.8866*M2_GDP -0.7475*TB +
0.0598*UES + 589.1498 )

Long Run Coefficients

Variable Coefficient Std. Error t-Statistic Prob.

7873.84147
EXR 9 1914.367198 4.113026 0.0002
B 0.193967 0.115071 1.685620 0.0995
-
19539.5490
INT__RATE 47 5400.574071 -3.618050 0.0008
L -0.461709 0.105029 -4.396021 0.0001
LRR 0.493656 1.057856 0.466658 0.6432
720006064 6097556725.
M2_GDP 2.886608 742614 1.180811 0.2445
TB -0.747536 0.118474 -6.309706 0.0000
UES 0.059771 0.052768 1.132703 0.2639
C 589.149807 190.867200 3.086700 0.0036

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