The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)
Table 6 Long run and short run forms: specification 2
Variable | Coefficient | t-statistic | Prob. Value |
|---|---|---|---|
Long run results: case 2: restricted constant and no trend | |||
Dependent variable: ln_rgdp | |||
ln_gov_cons | 0.480224*** | 5.615976 | 0.0000 |
ln_rbm | 0.247116*** | 4.506030 | 0.0001 |
ln_rexport | 0.206142*** | 4.059953 | 0.0002 |
constant | 4.939058*** | 4.958204 | 0.0000 |
EC = ln_rgdp-(0.4802*ln_rgov_cons + 0.2471ln_rbm + 0.2061*ln_rexport + 4.9391) | |||
Short run results (ECM Form): case 2: restricted constant and no trend | |||
Dependent variable: D(ln_rgdp) | |||
D(ln_rgov_cons) | 0.158940*** | 5.513950 | 0.0000 |
D(ln_rgov_cons(− 1)) | 0.111161*** | 3.545886 | 0.0011 |
D(ln_rgov_cons(− 2)) | − 0.119017*** | − 3.884408 | 0.0004 |
D(ln_rbm) | 0.054726 | 1.981196 | 0.0550 |
D(ln_rbm(− 1)) | − 0.091657*** | − 2.878767 | 0.0066 |
D(ln_rbm(− 2)) | 0.035741 | 1.040842 | 0.3047 |
D(ln_rbm(− 3)) | 0.075950** | 2.217469 | 0.0328 |
D(ln_rexport) | 0.049112*** | 3.686207 | 0.0007 |
D(ln_rexport(− 1)) | − 0.038099** | − 2.371036 | 0.0231 |
D(ln_rexport(− 2)) | − 0.050009*** | − 2.999342 | 0.0048 |
ecm(− 1) | − 0.187284*** | − 5.846741 | 0.0000 |
Diagnostic tests | Test statistic | Probability |
|---|---|---|
Normality | 1.890654 | 0.388553 |
Heteroscedasticity (Breusch-Pagan-Godfrey) | F-statistic: 0.464389 | 0.9538 |
Obs* R-squared: 9.671626 | 0.9168 | |
Breusch-Godfrey Serial Correlation LM test (2 lags) | F-statistic: 1.186136 | 0.3174 |
Obs*R-squared: 3.491225 | 0.1745 | |
Ramsey RESET Test | F-statistic: 3.077343 | 0.0879 |
CUSUM | stable | |
CUSUM SQ | stable | |