Table 6.
The Equilibrium Correction Mechanism (ECM) on Model-1 (conventional determinants).
| Variables | Engle-Granger | VAR | ARDL |
|---|---|---|---|
| DLY | 1.63*** (0.38) | 0.99* (0.50) | 1.18** (0.50) |
| DLRP | −0.58*** (0.06) | −0.49*** (0.09) | −0.47*** (0.09) |
| DLRP(-1) | 0.20*** (0.07) | 0.38*** (0.10) | 0.50*** (0.09) |
| ECM(-1) | −0.70*** (0.10) | −0.52*** (0.16) | −0.79*** (0.24) |
| Dummy(TL) | −0.008 (0.011) | −0.006 (0.01) | −0.01 (0.01) |
| Long-run aggregate demand for imports | LM = 1.03 LY – 0.49 LRP – 0.009 LR | LM = 1.03 LY – 0.22 LRP – 0.008 LR | LM = 0.86 LY – 0.26 LRP – 0.015 LR |
| Diagnostic tests | Observation: 40 R-squared: 0.86 DW: 1.89 AIC: 4.83 SC: 4.57 Normality: 1.69 (p. 0.43) LM: 1.07 (p. 0.58) Hetero.: 2.78 (p. 0.83) ARCH: 3.73 (p. 0.15) White: 21.12 (p. 0.27) Ramsey-reset: 2.23 (p. 0.14) |
Observation: 38 R-squared: 0.76 DW: 1.44 AIC: 4.37 SC: 4.10 Normality: 0.23 (p. 0.88) LM: 6.77 (p. 0.03)** Hetero.: 7.00 (p. 0.32) ARCH: 0.38 (p. 0.82) White: 16.14 (p. 0.51) Ramsey-reset: 2.34 (p. 0.13) |
Observation: 38 R-squared: 0.74 DW: 1.48 AIC: 4.32 SC: 4.05 Normality: 0.43 (p. 0.80) LM: 6.19 (p. 0.04)** Hetero.: 3.75 (p. 0.70) ARCH: 0.66 (p. 0.71) White: 9.66 (p. 0.88) Ramsey-reset: 5.55 (p. 0.02)** |
Notes: Standard errors in parentheses; ***p < 0.01, **p < 0.05, *p < 0.1; TL = Trade Liberalization; OL = Outlier (the EG used year 2004 and 2017, and the ARDL used year 2004 as outliers).