Reduced rank cointegration relations
| Model | 1 | 2 | 3 | 4 | 5 | 6 |
|---|---|---|---|---|---|---|
| βExports | 1 | 1 | 1 | 1 | 1 | 1 |
| βDemand | –0.973*** (0.067) | –0.976*** (0.057) | –0.815*** (0.041) | –0.943*** (0.122) | –0.910*** (0.056) | –1 [0.113]a |
| βREER | 0.630*** (0.237) | 0.746*** (0.217) | 0.682*** (0.131) | 0.687*** (0.229) | 0.605*** (0.210) | 0.426*** (0.142) |
| βR&D | 0.030 (0.835) | |||||
| βEnergy prices | –0.081*** (0.022) | –0.071*** (0.021) | ||||
| βFDI | –0.013 (0.079) | |||||
| βDomestic VA | 1.304* (0.796) | 1.837*** (0.643) | ||||
| αExports | –0.256*** (0.071) | –0.294*** (0.048) | –0.377*** (0.063) | –0.257*** (0.049) | –0.213*** (0.065) | –0.424*** (0.069) |
| 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
| Model | Exports | Demand | REER | R&D | Energy prices | FDI | Domestic VA |
|---|---|---|---|---|---|---|---|
| 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
| Model 1 | Model 2 | ||||
| H0: rank | Trace test [Prob] | Max test [Prob] | H0: rank | Trace test [Prob] | Max test [Prob] |
| 0 | 44.653*** [0.003] | 25.327** [0.018] | 0 | 72.332*** [0.000] | 37.686*** [0.003] |
| 1 | 19.326* [0.067] | 12.013 [0.185] | 1 | 34.646* [0.057] | 18.102 [0.174] |
| 2 | 7.313 [0.110] | 7.313 [0.111] | 2 | 16.545 [0.150] | 12.020 [0.185] |
| Model 3 | Model 4 | ||||
| H0: rank | Trace test [Prob] | Max test [Prob] | H0: rank | Trace test [Prob] | Max test [Prob] |
| 0 | 64.402*** [0.005] | 37.484*** [0.003] | 0 | 058.588*** [0.004] | 33.641*** [0.007] |
| 1 | 26.918 [0.293] | 12.644 [0.592] | 1 | 24.947 [0.163] | 19.285* [0.089] |
| 2 | 14.274 [0.271] | 8.305 [0.512] | 2 | 5.661 [0.735] | 3.801 [0.880] |
| Model 5 | Model 6 | ||||
| H0: rank | Trace test [Prob] | Max test [Prob] | H0: rank | Trace test [Prob] | Max test [Prob] |
| 0 | 64.249*** [0.000] | 35.174*** [0.004] | 0 | 111.458*** [0.000] | 51.920*** [0.000] |
| 1 | 29.076* [0.060] | 18.923* [0.099] | 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] |