À propos de cet article
Article Category: Empirical Paper
Publié en ligne: 30 juin 2020
Pages: 99 - 108
Reçu: 30 oct. 2019
Accepté: 18 avr. 2020
DOI: https://doi.org/10.2478/ijme-2020-0013
Mots clés
© 2020 Michael Frenkel et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Reduced rank cointegration relations
| βExports | 1 | 1 | 1 | 1 | 1 | 1 |
| βDemand | –0.973 |
–0.976 |
–0.815 |
–0.943 |
–0.910 |
–1 [0.113] |
| βREER | 0.630 |
0.746 |
0.682 |
0.687 |
0.605 |
0.426 |
| βR&D | 0.030 (0.835) | |||||
| βEnergy prices | –0.081 |
–0.071 |
||||
| βFDI | –0.013 (0.079) | |||||
| βDomestic VA | 1.304 |
1.837 |
||||
| αExports | –0.256 |
–0.294 |
–0.377 |
–0.257 |
–0.213 |
–0.424 |
| Adj. R2 | 0.638 | 0.600 | 0.645 | 0.581 | 0.614 | 0.651 |
| S.E. | (0.027) | (0.028) | (0.027) | (0.029) | (0.028) | (0.027) |
| LM(4) | [0.658] | [0.359] | [0.701] | [0.341] | [0.058] | [0.169] |
| JB | [0.739] | [0.349] | [0.949] | [0.603] | [0.139] | [0.942] |
Variables included in the different models
| 1 | x | x | x | ||||
| 2 | x | x | x | x | |||
| 3 | x | x | x | x | |||
| 4 | x | x | x | x | |||
| 5 | x | x | x | x | |||
| 6 | x | x | x | x | x |
Johansen's cointegration test
| 0 | 44.653 |
25.327 |
0 | 72.332 |
37.686 |
| 1 | 19.326 |
12.013 [0.185] | 1 | 34.646 |
18.102 [0.174] |
| 2 | 7.313 [0.110] | 7.313 [0.111] | 2 | 16.545 [0.150] | 12.020 [0.185] |
| 0 | 64.402 |
37.484 |
0 | 058.588 |
33.641 |
| 1 | 26.918 [0.293] | 12.644 [0.592] | 1 | 24.947 [0.163] | 19.285 |
| 2 | 14.274 [0.271] | 8.305 [0.512] | 2 | 5.661 [0.735] | 3.801 [0.880] |
| 0 | 64.249 |
35.174 |
0 | 111.458 |
51.920 |
| 1 | 29.076 |
18.923 |
1 | 59.539 [0.110] | 27.113 [0.181] |
| 2 | 10.153 [0.269] | 8.465 [0.333] | 2 | 32.425 [0.366] | 19.588 [0.268] |