Table 7.
The ECM on Model-2: unconventional determinants.
| Variables | Engle-Granger | VAR | ARDL |
|---|---|---|---|
| DLM(-1) | - | - | 0.48*** (0.10) |
| DLM(-2) | – | −0.37*** (0.13) | – |
| DLX | 0.54*** (0.06) | 0.61*** (0.09) | 0.68*** (0.07) |
| DLX(-1) | – | 0.24*** (0.07) | – |
| DLX(-2) | – | 0.33*** (0.09) | – |
| DLRP | −0.63*** (0.07) | −0.25** (0.09) | −0.46*** (0.08) |
| DLRP(-1) | 0.21*** (0.06) | 0.47*** (0.09) | 0.65*** (0.09) |
| DLRP(-2) | 0.19*** (0.06) | – | – |
| DLFCG | 1.35*** (0.31) | 1.21*** (0.42) | 1.90*** (0.32) |
| DLFCG(-1) | −0.80** (0.33) | −1.59*** (0.50) | −1.77*** (0.39) |
| DLI | −0.31** (0.12) | – | −0.57*** (o.13) |
| DLI(-2) | 0.35*** (0.09) | – | – |
| DLI(-3) | 0.09** (0.04) | – | 0.33*** (0.09) |
| ECM(-1) | −0.66*** (0.13) | −0.06 (0.17) | −1.00*** (0.26) |
| Dummy(TL) | −0.0003 (0.007) | −0.007 (0.01) | 0.0005 (0.007) |
| Dummy(OL) | −0.05*** (0.01) | – | −0.02 (0.01) |
| Long-run aggregate demand for imports | LM = 0.40 LX – 0.28 LRP + 0.16 LFCG + 0.32 LI | LM = - 0.39 LX – 0.87 LRP + 0.77 LFCG + 0.75 LI | LM = 1.01 LX + 0.34 LRP - 0.96 LFCG - 0.28 LI |
| Diagnostic tests | Observations: 38 R-squared: 0.94 DW: 2.27 AIC: 5.51 SC: 4.98 Normality: 1.96 (p. 0.37) LM: 3.23 (p. 0.35) Hetero.: 12.97 (p. 0.37) ARCH: 1.21 (p. 0.74) Ramsey-reset: 0.14 (p. 0.70) |
Observations: 37 R-squared: 0.85 DW: 1.83 AIC: 4.79 SC: 4.34 Normality: 2.72 (p. 0.25) LM: 2.22 (p. 0.52) Hetero.: 5.15 (p. 0.88) ARCH: 2.23 (p. 0.52) Ramsey-reset: 0.69 (p. 0.41) |
Observations: 38 R-squared: 0.93 DW: 2.14 AIC: 5.32 SC: 4.83 Normality: 1.09 (p. 0.57) LM: 0.87 (p. 0.83) Hetero.: 7.36 (p. 0.76) ARCH: 1.42 (p. 0.69) Ramsey-reset: 0.15 (p. 0.69) |
Notes: Standard errors in parentheses, ***p < 0.01, **p < 0.05, *p < 0.1. OL = outlier (the EG used year 2009 and 2017, and ARDL used year 2009 as outliers).