Table Appendix-A.
Results of Diagnostics Tests
| a. Results of the Breusch-Godfrey Serial Correlation L.M. test | |||
|---|---|---|---|
| F-statistic | 0.186361 | Prob. F (11,192) | 0.8301 |
| Obs∗R-squared | 0.402533 | Prob. Chi-Square (2) | 0.8177 |
| b. LM test for Auto-regressive conditional heteroskedasticity (ARCH) | |||
| Lags (p) | CHI2 | df | Prob. >Chi2 |
| 1 | 1.688 | 1 | 0.1939 |
| H0: No ARCH effects vs. | H1: ARCH (p) disturbance | ||
| c. Results of the heteroskedasticity test: Breusch-Pagan-Godfrey | |||
| F-statistic | 1.273683 | Prob. F (11,192) | 0.2433 |
| Obs∗R-squared | 13.85908 | Prob. Chi-Square (11) | 0.2409 |
| Scaled explained SS | 62.38135 | Prob. Chi-Square (11) | 0.0000 |
| d. Breusch-Pagan/Cook-Weisberg test for heteroskedasticity | |||
| F (6, 192) = | 1.61 | Prob > F = | 0.1454 |
| e. Cameron & Trivedi's decomposition of IM-Test (White's test for (H0: homoskedasticity against Ha: heteroskedasticity | |||
| source | CHI2 | df | p |
| Heteroskedasticity | 23.37 | 27 | 0.6647 |
| f. Results of the Ramsey RESET test | |||
| Value | df | Probability | |
| t-statistic | 4.720411 | 192 | 0.0000 |
| F-statistic | 22.28228 | (1, 192) | 0.0000 |
| Likelihood ratio | 22.53782 | 1 | 0.0000 |
| g. Durbin-Watson Test Statistics | |||
| Durbin-Watson d-statistics (7, 192) | 1.701635 | between 2 and 1 so ok | |
Source: Author's Estimates