Table 7.
Estimated short-run and long-run coefficients of ARDL model.
Source: Authors’ estimation
| Variables | Coefficients |
|---|---|
| A. Short-run coefficients | |
| ect | − 0.73*** |
| (− 6.89) | |
| D(usg) | 0.06 |
| (0.03) | |
| D(ird) | − 0.02 |
| (− 0.83) | |
| D(inf) | − 0.01 |
| (− 0.57) | |
| con | − 5.07 |
| (− 1.10) | |
| B. Long-run coefficients | |
| ner | − 0.68* |
| (− 1.94) | |
| gdp | 1.50*** |
| (5.70) | |
| oil | 0.28*** |
| (3.57) | |
| usg | − 0.42 |
| (− 0.45) | |
| ird | 0.02 |
| (1.33) | |
| inf | 0.01 |
| (1.28) | |
| smd | 0.33 |
| (1.38) | |
| C. Diagnostic tests | |
| R-squared | 0.43 |
| Adj.R-squared | 0.35 |
| AIC | − 107.01 |
| F-statistic | 5.52*** |
| Ljung-Box autocorrelation test | 1.17 |
| Jarque–Bera normality test | 12.78 |
| ARCH LM-test | 28.76 |
| Ramsey RESET test | 2.79*** |
| CUSUM test | Stable |
The t-statistic is given in parenthesis; Asterisk sign(s) ‘*’, ‘**’ and ‘***’ denote the significance at 5%, 1% and 0.1% levels