Panel VECM dynamic fixed-effects estimates
| 1 | 2 | 3 | 4 | ||
|---|---|---|---|---|---|
| Long-run | |||||
| OPEN | 0.0043*** | 0.0044*** | 0.0041*** | 0.0042*** | |
| (0.0014) | (0.0014) | (0.0014) | (0.0014) | ||
| FDI (% GDP) | −0.0029 | −0.0029 | −0.0027 | −0.0028 | |
| (0.0027) | (0.0028) | (0.0026) | (0.0027) | ||
| L10PISAAVE | 0.0221*** | ||||
| (0.0085) | |||||
| L10PISAREAD | 0.0164** | ||||
| (0.0071) | |||||
| L10PISAMAT | 0.0236*** | ||||
| (0.0084) | |||||
| L10PISASCIE | 0.0258*** | ||||
| (0.0094) | |||||
| Short-run | |||||
| Error Correction | −0.0316*** | −0.0312*** | −0.0327*** | −0.0321*** | |
| (0.0049) | (0.0050) | (0.0049) | (0.0049) | ||
| ΔOPEN | 0.0002** | 0.0002** | 0.0002** | 0.0002** | |
| (0.0001) | (0.0001) | (0.0001) | (0.0001) | ||
| ΔFDI (% GDP) | 0.0001* | 0.0001* | 0.0001* | 0.0001* | |
| (0.0001) | (0.0001) | (0.0001) | (0.0001) | ||
| ΔL10PISAAVE(−1) | −0.0007 | ||||
| (0.0007) | |||||
| ΔL10PISAREAD(−1) | −0.0008 | ||||
| (0.0005) | |||||
| ΔL10PISAMAT(−1) | −0.0001 | ||||
| (0.0009) | |||||
| ΔL10PISASCIE(−1) | −0.0008 | ||||
| (0.0007) | |||||
| Constant | 0.0018 | 0.0780 | −0.0184 | −0.0517 | |
| (0.1130) | (0.0992) | (0.1136) | (0.1247) | ||
CIPS unit root test results
| Variable | Levels | First differences | ||
|---|---|---|---|---|
| Zt-bar | p-value | Zt-bar | p-value | |
| logGDP | 44.523 | 1.00 | −1.854 | 0.03 |
| OPEN | 0.01 | 0.50 | −5.525 | <0.01 |
| FDI | 0.72 | 0.76 | −16.309 | <0.01 |
| PISAAVE | 1.318 | 0.91 | −17.421 | <0.01 |
| PISAREAD | 1.159 | 0.88 | −17.024 | <0.01 |
| PISAMAT | 3.338 | 1.00 | −18.784 | <0.01 |
| PISASCIE | −1.907 | 0.03 | −16.632 | <0.01 |
Pesaran CD test results
| PISAAVE | PISAREAD | PISAMAT | PISASCIE | |
|---|---|---|---|---|
| Breusch-Pagan LM | 47,950.26 | 47,579.72 | 46,412.74 | 48,879.8 |
| <0.001 | <0.001 | <0.001 | <0.001 | |
| Pesaran scaled LM | 563.4106 | 558.7497 | 544.0704 | 575.1033 |
| <0.001 | <0.001 | <0.001 | <0.001 | |
| Pesaran CD | 202.8806 | 202.8742 | 197.609 | 205.7417 |
| <0.001 | <0.001 | <0.001 | <0.001 |
Panel VECM Granger causality
| Null Hypothesis: | Common coefficients | Individual coefficients | |||
|---|---|---|---|---|---|
| F-statistic | p-value | W-Stat. | Zbar-Stat. | p-value | |
| PISAAVE does not cause Log(GDP) | 127.347 | 0.000 | 9.534 | 15.982 | 0.000 |
| LOG(GDP) does not cause PISAAVE | 17.455 | <0.001 | 4.692 | 3.111 | 0.002 |
| PISAREAD does not cause Log(GDP) | 22.825 | 0.000 | 1.482 | −2.938 | 0.003 |
| LOG(GDP) does not cause PISAREAD | 1.740 | 0.157 | 1.704 | −2.109 | 0.035 |
| PISAMAT does not cause Log(GDP) | 83.056 | 0.000 | 9.422 | 15.683 | 0.000 |
| LOG(GDP) does not cause PISAMAT | 11.649 | <0.001 | 5.699 | 5.788 | <0.001 |
| PISASCIE does not cause Log(GDP) | 214.826 | 0.000 | 11.419 | 20.993 | 0.000 |
| LOG(GDP) does not cause PISASCIE | 23.700 | <0.001 | 7.167 | 9.690 | <0.001 |
Westerlund cointegration test results
| Statistic | Value | Z-value | p-value | Robust p-value |
|---|---|---|---|---|
| PISAAVE | ||||
| Gt | −2.655 | 2.798 | <0.01*** | 0.01** |
| Ga | −9.173 | 1.592 | 0.94 | <0.01*** |
| Pt | −15.039 | 2.881 | <0.01*** | 0.01** |
| Pa | −8.567 | 1.054 | 0.15 | <0.01*** |
| PISAREAD | ||||
| Gt | −2.738 | −3.347 | <0.01*** | <0.01*** |
| Ga | −8.582 | 2.117 | 0.98 | 0.01** |
| Pt | −14.547 | −2.415 | 0.01** | <0.01*** |
| Pa | −8.166 | −0.673 | 0.25 | <0.01*** |
| PISAMAT | ||||
| Gt | −2.569 | −2.225 | 0.01** | 0.04** |
| Ga | −8.584 | 2.115 | 0.98 | <0.01*** |
| Pt | −14.21 | −2.097 | 0.02** | 0.01** |
| Pa | −8.025 | −0.538 | 0.30 | <0.01*** |
| PISASCIE | ||||
| Gt | −2.528 | −1.951 | 0.03** | 0.04** |
| Ga | −9.397 | 1.393 | 0.91 | <0.01*** |
| Pt | −14.082 | −1.975 | 0.02** | 0.01** |
| Pa | −8.61 | −1.095 | 0.14 | <0.01*** |
Descriptive statistics
| Variable | Obs | Mean | Std. Dev. | Min | Max |
|---|---|---|---|---|---|
| logGDP | 4,942 | 8.942929 | 1.233535 | 5.508054 | 11.82894 |
| OPEN | 7,538 | 80.11214 | 51.46048 | 0.0209992 | 531.7374 |
| FDI | 5,535 | 1.86752 | 12.44171 | −202.8239 | 247.9023 |
| PISAAVE | 4,154 | 420.173 | 50.2345 | 312.482 | 550.1743 |
| PISASCIE | 4,154 | 424.9734 | 48.47972 | 323.4689 | 550.6454 |
| PISAMAT | 4,154 | 419.5068 | 51.97938 | 319.7289 | 566.1837 |
| PISAREAD | 4,154 | 416.0389 | 51.054 | 294.2483 | 543.4544 |