Cointegration test results
| Test Statistic | Value | k |
|---|---|---|
| F-statistic | 36.4926 | 7 |
| Critical Value Bounds | ||
| Significance | I(0) Bound | I(1) Bound |
| 10% | 2.03 | 3.13 |
| 5% | 2.32 | 3.5 |
| 2.5% | 2.6 | 3.84 |
| 1% | 2.96 | 4.26 |
ARDL Long-run estimate result
| Long Run Coefficients | ||||
|---|---|---|---|---|
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| VAT | 0.0002 | 0.0001 | 2.3601 | 0.0285 |
| CUSTD | 0.6426 | 0.3264 | 1.9568 | 0.0463 |
| CIT | 0.0002 | 0.0001 | 2.3203 | 0.0310 |
| GOVTCE | 0.5424 | 2.3260 | 0.2332 | 0.8180 |
| ECONG | −0.0042 | 0.0392 | −0.1067 | 0.9161 |
| OILR | 0.5275 | 0.4874 | 1.0824 | 0.2919 |
| DEBT | −0.0383 | 0.0146 | −2.6275 | 0.0116 |
| C | 1896.62 | 232.34 | 8.1632 | 0.0000 |
ARDL Short run Estimation Result
| Cointegrating Form | ||||
|---|---|---|---|---|
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| D(VAT) | 0.0001 | 0.0000 | 12.2540 | 0.0000 |
| D(VAT(-1)) | 0.0001 | 0.0000 | 13.3917 | 0.0000 |
| D(CUSTD) | 6.2248 | 1.1651 | 5.3425 | 0.0000 |
| D(CIT) | 0.0003 | 0.0000 | 6.9280 | 0.0000 |
| D(GOVTCE) | 7.1070 | 0.8620 | 8.2451 | 0.0000 |
| D(ECONG) | 0.1380 | 0.0571 | 2.4166 | 0.0253 |
| D(ECONG(-1)) | −0.1582 | 0.0590 | −2.6807 | 0.0144 |
| D(OILR) | −0.0958 | 0.0836 | −1.1449 | 0.2658 |
| D(OILR(-1)) | 0.2092 | 0.0819 | 2.5554 | 0.0189 |
| D(DEBT) | 0.1686 | 0.0883 | 1.9075 | 0.0709 |
| ecm(-1) | −0.3489 | 0.1509 | −2.3122 | 0.0315 |
Post-estimation diagnostic tests
| S/N | Variable | Variance Inflation Factor | |
|---|---|---|---|
|
|
| |
| F-statistic | 0.8170 | Prob. F(2,18) | 0.4575 |
| Prob. Chi-Square (2) | 0.1973 | ||
| Breusch-Pagan-Godfrey test | |||
| F-Statistics | 0.7061 | Prob. F(18,20) | 0.7689 |
| Prob. Chi-Square (18) | 0.6514 | ||
| Prob. Chi-Square (18) | 0.9977 | ||
| Ramsey RESET test | |||
| Value | Df | Probability | |
| t-statistic | 0.5747 | 19 | 0.5723 |
| F-statistic | 0.3302 | (1, 19) | 0.5723 |
ADF unit root test
| Variables | Statistics for variables in levels | Statistics for variables in 1st order difference | Order of integration | ||||
|---|---|---|---|---|---|---|---|
| ADF Computed | ADF Critical | Status | ADF Computed | ADF Critical | Status | ||
| INFDEV | 3.1547 | 2.9369 | Stationary | - | - | - | I(0) |
| VAT | 3.0654 | 2.9604 | Stationary | - | - | - | I(0) |
| CUSTD | 1.7353 | 2.9369 | Non-stationary | 5.0983 | 2.9398 | Stationary | I(1) |
| CIT | 7.0656 | 2.9540 | Stationary | - | - | - | I(0) |
| GOVTCE | 4.5855 | 2.9604 | Stationary | - | - | - | I(0) |
| ECONG | 12.5474 | 2.9369 | Stationary | - | - | - | I(0) |
| OILR | 1.4726 | 2.9369 | Non-stationary | 6.4604 | 2.9389 | Stationary | I(1) |
| DEBT | 1.1352 | 2.9389 | Non-stationary | 6.5047 | 2.9434 | Stationary | I(1) |