I am working on a time series data of a specific country, I followed the steps of time series analysis which is checking the stationarity of time series and I found that GDP(dependent variable is stationary with and without trend while all other explanatory variables where stationary with and with out trend after taking the second difference as follows
varsoc GDP
Selection-order criteria
Sample: 5 - 29 Number of obs = 25
+---------------------------------------------------------------------------+
lag LL LR df p FPE AIC HQIC SBIC
----+----------------------------------------------------------------------
0 -67.9555 14.5648* 5.51644* 5.52997* 5.5652*
1 -67.9199 .07119 1 0.790 15.7377 5.5936 5.62064 5.69111
2 -67.8854 .06902 1 0.793 17.0154 5.67083 5.7114 5.8171
3 -67.6367 .49738 1 0.481 18.0986 5.73094 5.78503 5.92596
4 -67.3151 .64319 1 0.423 19.1595 5.78521 5.85282 6.02899
+---------------------------------------------------------------------------+
Endogenous: GDP
Exogenous: _cons
. dfuller GDP, lags(0)
Dickey-Fuller test for unit root Number of obs = 28
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -5.558 -3.730 -2.992 -2.626
MacKinnon approximate p-value for Z(t) = 0.0000
. dfuller GDP, trend lags(0)
Dickey-Fuller test for unit root Number of obs = 28
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -5.510 -4.352 -3.588 -3.233
MacKinnon approximate p-value for Z(t) = 0.0000
and here the ADF test for the explanatory variables
varsoc d2.FDI
Selection-order criteria
Sample: 7 - 29 Number of obs = 23
+---------------------------------------------------------------------------+
lag LL LR df p FPE AIC HQIC SBIC
----+----------------------------------------------------------------------
0 -47.4799 3.96625 4.21564 4.22806 4.26501
1 -47.3304 .2989 1 0.585 4.27236 4.2896 4.31444 4.38834
2 -44.0764 6.508* 1 0.011 3.51563* 4.0936* 4.13085* 4.24171*
3 -43.3091 1.5346 1 0.215 3.59495 4.11384 4.1635 4.31131
4 -43.1511 .31607 1 0.574 3.88151 4.18705 4.24913 4.4339
+---------------------------------------------------------------------------+
Endogenous: D2.FDI
Exogenous: _cons
. dfuller d2.FDI, lags(2)
Augmented Dickey-Fuller test for unit root Number of obs = 24
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -4.607 -3.750 -3.000 -2.630
MacKinnon approximate p-value for Z(t) = 0.0001
. dfuller d2.FDI, lags(2)
Augmented Dickey-Fuller test for unit root Number of obs = 24
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -4.607 -3.750 -3.000 -2.630
MacKinnon approximate p-value for Z(t) = 0.0001
varsoc d2.grosscapital
Selection-order criteria
Sample: 7 - 29 Number of obs = 23
+---------------------------------------------------------------------------+
|lag | LL LR df p FPE AIC HQIC SBIC |
|----+----------------------------------------------------------------------|
| 0 | -63.7527 16.3274 5.63067 5.64308 5.68004 |
| 1 | -61.8089 3.8876 1 0.049 15.0467 5.5486 5.57343 5.64734 |
| 2 | -61.4493 .71909 1 0.396 15.9252 5.60429 5.64154 5.7524 |
| 3 | -60.7264 1.4458 1 0.229 16.3475 5.62838 5.67805 5.82586 |
| 4 | -55.3574 10.738* 1 0.001 11.2193* 5.24847* 5.31055* 5.49531* |
+---------------------------------------------------------------------------+
Endogenous: D2.grosscapital
Exogenous: _cons
. dfuller d2.grosscapital, lags(1)
Augmented Dickey-Fuller test for unit root Number of obs = 25
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
------------------------------------------------------------------------------
Z(t) -4.924 -3.750 -3.000 -2.630
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000
. dfuller d2.grosscapital, trend lags(1)
Augmented Dickey-Fuller test for unit root Number of obs = 25
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
------------------------------------------------------------------------------
Z(t) -4.831 -4.380 -3.600 -3.240
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0004
dfuller d2.Schoolenrollment, lags(1)
Augmented Dickey-Fuller test for unit root Number of obs = 25
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -4.700 -3.750 -3.000 -2.630
MacKinnon approximate p-value for Z(t) = 0.0001
. dfuller d2.Schoolenrollment, lags(1)
Augmented Dickey-Fuller test for unit root Number of obs = 25
---------- Interpolated Dickey-Fuller ---------
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
Z(t) -4.700 -3.750 -3.000 -2.630
MacKinnon approximate p-value for Z(t) = 0.0001
the problem is that P- value in the model is very high and non of the variables are sig. Is that normal or did I miss a step
Source | SS df MS Number of obs = 25
-------------+------------------------------ F( 7, 17) = 1.99
Model | 151.181934 7 21.5974192 Prob > F = 0.1175
Residual | 184.929181 17 10.8781871 R-squared = 0.4498
-------------+------------------------------ Adj R-squared = 0.2232
Total | 336.111115 24 14.0046298 Root MSE = 3.2982
----------------------------------------------------------------------------------
GDP | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------------+----------------------------------------------------------------
FDI |
D2. | .8312631 .475112 1.75 0.098 -.1711357 1.833662
L2D2. | .0552401 .497851 0.11 0.913 -.9951338 1.105614
|
Exports |
LD. | -.0085049 .1595017 -0.05 0.958 -.3450241 .3280143
|
Employment |
LD2. | .7392622 1.67471 0.44 0.664 -2.794066 4.272591
L2D2. | -3.27484 1.387179 -2.36 0.030 -6.201531 -.3481478
|
grosscapital |
LD2. | .081806 .2047711 0.40 0.694 -.3502233 .5138353
|
Schoolenrollment |
LD2. | .6375901 .3396568 1.88 0.078 -.079023 1.354203
|
_cons | 2.942156 .6647112 4.43 0.000 1.539737 4.344574
----------------------------------------------------------------------------------
0 Response to All variables are insignificant
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