Figure 1:
Figure 2:
Figure 3:
Figure 4:
Panel unit root tests
| Maddala & Wu (1999) Panel Unit Root test | |||||||
|---|---|---|---|---|---|---|---|
| Specification without trend | Specification with trend | ||||||
| Variables | lags | Chi-Square | p-value | Variables | lags | Chi-Square | p-value |
| lper | 0 | 72.878 | 0.090 | lper | 0 | 86.045 | 0.010 |
| dlper | 0 | 303.272 | 0.000 | dlper | 0 | 277.706 | 0.000 |
| lgdppc | 0 | 55.546 | 0.5670 | lgdppc | 0 | 455.452 | 0.000 |
| dlgdppc | 0 | 865.527 | 0.000 | dlgdppc | 0 | 681.756 | 0.000 |
| une | 0 | 101.813 | 0.000 | une | 0 | 370.916 | 0.000 |
| dune | 0 | 402.546 | 0.000 | dune | 0 | 273.373 | 0.000 |
| exc | 0 | 66.322 | 0.212 | exc | 0 | 124.349 | 0.000 |
| dexc | 0 | 318.098 | 0.000 | dexc | 0 | 225.599 | 0.002 |
| ldepa | 0 | 32.529 | 0.997 | ldepa | 0 | 112.73 | 0.000 |
| dldepa | 0 | 213.454 | 0.000 | dldepa | 0 | 239.402 | 0.000 |
Estimation results (corrected shocks)
| Dependent Variable: DLPIL | Coefficients | FE | Coefficients | FE-DK |
|---|---|---|---|---|
| Constant | −41.51392 | *** | −41.51392 | *** |
| jap2016 | −2.82544 | *** | −2.82544 | *** |
| ndl2017 | 2.047733 | *** | 2.047733 | *** |
| Dldepa | 2.35E-08 | 2.35E-08 | ** | |
| Dlgdppc | 2.760323 | ** | 2.760323 | ** |
| Dexc | 0.013365 | * | 0.013365 | * |
| lpil(−1) (ECM) | −0.9630423 | *** | −0.9630423 | *** |
| Diagnostic statistics | ||||
| N | 261 | 261 | ||
| R2 | 0.5233 | 0.5233 | ||
| F stat | F(9, 223) = 27.21 | F(9, 8) = 4874.67 | ||
| Prob | *** | *** | ||
Variance inflation factor statistics
| Variable | VIF | ||
|---|---|---|---|
| Lgdppc | 1.10 | ||
| Exc | 1.09 | Mean VIF | 1.07 |
| Une | 1.06 | ||
| Ldepa | 1.04 | ||
| Dlgdppc | 1.60 | ||
| Dune | 1.48 | Mean VIF | 1.33 |
| Dldepa | 1.17 | ||
| Dexc | 1.08 | ||
Impacts and speed of adjustment
| Dependent Variable: DLPIL | Coefficients | FE | Coefficients | FE-DK |
|---|---|---|---|---|
| Short-term impacts | ||||
| Dldepa | 2.35E-08 | 2.35E-08 | ** | |
| Dlgdppc | 2.760323 | ** | 2.760323 | ** |
| Dexc | 0.013365 | * | 0.013365 | * |
| Long-term impacts | ||||
| ldepa(−l) | 1.133986 | *** | 1.133986 | *** |
| lgdppc(−l) | 2.8l2038 | *** | 2.812038 | *** |
| une(−l) | −0.0381511 | −0.0381511 | *** | |
| Speed of adjustment | ||||
| ECM | −0.9630423 | *** | −0.9630423 | *** |
Hausman test
| FE vs. RE | FE vs. RE |
|---|---|
| Chi2(8) = 151.74*** | 99.99*** |
| Default option by Stata | Sigmamore option by Stata |
Correlation matrix and cross-sectional dependence (CD)
| Correlation matrix | Cross-sectional dependence | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| lpil | lgdppc | Une | exc | ldepa | CD-test | p value | corr | abs(corr) | |
| lpil | 1 | 29.27 | 0.000 | 0.459 | 0.500 | ||||
| lgdppc | −0.2629* | 1 | 35.94 | 0.000 | 0.564 | 0.664 | |||
| une | 0.4568* | −0.1734* | 1 | 11.35 | 0.000 | 0.178 | 0.498 | ||
| exc | −0.0152 | −0.2436* | −0.0496 | 1 | 13.83 | 0.000 | 0.217 | 0.575 | |
| ldepa | 0.3892* | −0.0782 | 0.1281* | 0.1287* | 1 | 31.87 | 0.000 | 0.500 | 0.566 |
| dlpil | dlgdppc | Dune | dexc | dldepa | |||||
| dlpil | 1 | 23.32 | 0.000 | 0.386 | 0.473 | ||||
| dlgdppc | 0.2009* | 1 | 28.16 | 0.000 | 0.466 | 0.541 | |||
| dune | −0.2057* | −0.5664* | 1 | 21.14 | 0.000 | 0.350 | 0.517 | ||
| dexc | 0.1472* | 0.1586* | −0.1373* | 1 | 5.60 | 0.000 | 0.093 | 0.403 | |
| dldepa | 0.1574* | 0.3093* | −0.1486* | 0.2563* | 1 | 8.19 | 0.000 | 0.135 | 0.305 |
Statistical description of the data
| Variable | Obs. | Mean | Stand. dev. | Minimum | Maximum |
|---|---|---|---|---|---|
| pil | 290 | 4307.65 | 9111.46 | 10 | 69540 |
| gdppc | 290 | 1927727 | 6393161 | 12323.84 | 37500000 |
| depa | 290 | 22400000 | 25500000 | 261000 | 143000000 |
| une | 290 | 8.12 | 5.14 | 0.29 | 27.33 |
| exc | 290 | 97.61 | 8.42 | 69.42 | 129.96 |
| lpil | 290 | 6.963 | 1.706 | 2.303 | 11.150 |
| lgdppc | 290 | 11.348 | 1.989 | 9.419 | 17.439 |
| ldepa | 290 | 16.315 | 1.230 | 12.472 | 18.779 |
| dlpil | 261 | 0.145 | 0.727 | −1.901 | 3.203 |
| dlgdppc | 261 | 0.014 | 0.035 | −0.155 | 0.215 |
| dldepa | 261 | 842058 | 2981744 | −17200000 | 18400000 |
| dune | 261 | 0.068 | 1.146 | −3.072 | 6.603 |
| dexc | 261 | −0.798 | 5.086 | −21.251 | 12.405 |
Specification tests
| Statistics | Probability | |
|---|---|---|
| Modified Wald test | 275.61 | 0.0000 |
| Pesaran's test | 19.945 | 0.0000 |
| Wooldridge test | 33.975 | 0.0000 |