Table 3.
Cointegration and diagnostic test results of the estimated model.
| Description | Test statistics | |
|---|---|---|
| Cointegration test | ||
| Selected ARDL model: SIC | (3,0,3,2,4,3) | |
| K | 5 | |
| F statistic | 6.9476 | |
| Critical values | I(0) Bound | I(1) Bound |
| 1 % | 3.41 | 4.68 |
| 5 % | 2.62 | 3.79 |
| 10 % | 2.26 | 3.35 |
| Diagnostic test | ||
| Test | Statistic | p-value |
| R2 | 0.901 | |
| Adjusted R2 | 0.824 | |
| F-statistic | 11.745 | 0.000x |
| LM Test | 1.6015 | 0.449 |
| ARCH Test | 0.2682 | 0.605 |
| RESET Test | 1.2537 | 0.226 |
| Normality Test | 0.1450 | 0.930 |
x
1 % significant level. ARDL = autoregressive distributive lag, LM = Langrange multiplier, ARCH = autoregressive conditional heteroskedasticity, SIC = Schwarz Information criteria.