Table 3.
Cointegrating long-run estimations using the Engle-Granger (Fully Modified Least Square (FMOLS)) procedure.
| Panel A: Variables | Model-1 | Model-2 |
|---|---|---|
| LY | 1.03*** (0.08) | – |
| LRP | −0.49*** (0.09) | −0.28*** (0.01) |
| LR | −0.009** (0.004) | – |
| LX | – | 0.40*** (0.12) |
| LFCG | – | 0.16 (0.16) |
| LI | – | 0.32*** (0.12) |
| Dummy(TL) | 0.07*** (0.02) | 0.06*** (0.02) |
| C |
−3.30*** (1.04) |
−0.77 (1.05) |
|
Panel B: Cointegration test through the ADF test on EG's residual | ||
| Residual at level | −5.84** | −5.40** |
| Residual at 1 lag | −4.73** | −5.41** |
| Diagnostic tests | R2 = 0.97 SER = 0.04 Normality = X2 1.04 (prob. 0.59) |
R2 = 0.98 SER = 0.03 Normality = X2 0.33 (prob. 0.84) |
Notes: Standard errors in parentheses, ***p < 0.01, **p < 0.05, and * p < 0.1. Critical values for the ADF unit root test at the 5% significance level are −4.35 for model-1 and -4.76 for model-2, which are taken from MacKinnon (1991).