I am performing the Pesaran, Shin, and Smith (2001) bounds test using
Code:
estat ectest
My unit root results show the following
Variable | at level | at first difference |
Y | unit root | stationary |
X1 | unit root | Stationary |
X2 and X3 | stationary | stationary |
My bound test result
Pesaran, Shin, and Smith (2001) bounds test
H0: no level relationship
F = 3.402
t = -3.430
10% | 5% | 1% | |
I(0) I(1) | I(0) I(1) | I(0) I(1) | |
F | 2.835. 4.057 | 3.455. 4.838 | 4.917. 6.662 |
t | -2.521 -3.413 | -2.870 -3.807 | -3.575. -4.595 |
p value for t stata 0.014 0.097
0 Response to Bounds Test Interpretation
Post a Comment