After finding that my variables were stationary in the first difference and that there is presence of cointegration I estimated an ARDL error correction model as shown below. I have also shown the bounds test which shows a co integrating relationship I believe.
Code:
ardl lnrealCURPC lngdppercapita interestrate infld directtaxratiod, lag(. . . . .) m > axlag(3 3 3 3 3) aic ec ARDL(2,0,0,0,3) regression Sample: 2002q3 - 2018q4 Number of obs = 66 R-squared = 0.3891 Adj R-squared = 0.2909 Log likelihood = 108.59474 Root MSE = 0.0507 --------------------------------------------------------------------------------- D.lnrealCURPC | Coef. Std. Err. t P>|t| [95% Conf. Interval] ----------------+---------------------------------------------------------------- ADJ | lnrealCURPC | L1. | -.6820688 .1177544 -5.79 0.000 -.9179592 -.4461783 ----------------+---------------------------------------------------------------- LR | lngdppercapita | 1.043669 .0353481 29.53 0.000 .972858 1.11448 interestrate | .0020574 .0098193 0.21 0.835 -.017613 .0217279 infld | -.6836962 .5265204 -1.30 0.199 -1.738443 .3710509 directtaxratiod | -33.38411 10.4536 -3.19 0.002 -54.32518 -12.44304 ----------------+---------------------------------------------------------------- SR | lnrealCURPC | LD. | .4115564 .1239233 3.32 0.002 .1633082 .6598047 | directtaxratiod | D1. | 8.462358 13.72885 0.62 0.540 -19.03983 35.96455 LD. | 11.06642 17.31682 0.64 0.525 -23.62333 45.75618 L2D. | 40.31898 17.03499 2.37 0.021 6.193793 74.44416 | _cons | -.9017556 .2910219 -3.10 0.003 -1.484742 -.3187687 ---------------------------------------------------------------------------------
Code:
estat ectest Pesaran, Shin, and Smith (2001) bounds test H0: no level relationship F = 6.804 Case 3 t = -5.792 Finite sample (4 variables, 66 observations, 4 short-run coefficients) Kripfganz and Schneider (2018) critical values and approximate p-values | 10% | 5% | 1% | p-value | I(0) I(1) | I(0) I(1) | I(0) I(1) | I(0) I(1) ---+------------------+------------------+------------------+----------------- F | 2.531 3.695 | 3.016 4.297 | 4.113 5.637 | 0.000 0.002 t | -2.539 -3.639 | -2.865 -4.009 | -3.512 -4.728 | 0.000 0.001 do not reject H0 if both F and t are closer to zero than critical values for I(0) variables (if p-values > desired level for I(0) variables) reject H0 if both F and t are more extreme than critical values for I(1) variables (if p-values < desired level for I(1) variables)
Thanks.
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