Table 5.
CS-ARDL regressions
| (1) | (2) | (3) | (4) | |
|---|---|---|---|---|
| Short-run coefficients | ||||
| TGE / GDP | –1.7157*** | –1.7012*** | –0.6801* | –0.7291** |
| (0.5962) | (0.6231) | (0.3713) | (0.3698) | |
| PGE / TGE | 1.6403*** | 1.2185 | ||
| (0.6164) | (1.0571) | |||
| UGE / TGE | –1.5142** | –1.2502 | ||
| (0.5854) | (1.0289) | |||
| GDP | 0.4826 | 0.4730 | ||
| (0.3194) | (0.3550) | |||
| INTEREST | -0.0049** | -0.0033* | ||
| (0.0023) | (0.0021) | |||
| Long-run coefficients | ||||
| TGE / GDP | –5.5561*** | –5.6710*** | –2.1134*** | -2.3279*** |
| (0.5962) | (0.6231) | (0.3713) | (0.3698) | |
| PGE / TGE | 5.3122*** | 3.7863*** | ||
| (0.6164) | (1.0571) | |||
| UGE / TGE | –5.0477*** | –3.9920*** | ||
| (0.5854) | (1.0289) | |||
| GDP | 1.4996*** | 1.5103*** | ||
| (0.3194) | (0.3550) | |||
| INTEREST | -0.0031* | –0.0046* | ||
| (0.0018) | (0.0025) | |||
| ECT(t-1) | –0.3088** | –0.3000* | –0.3218** | –0.3132* |
| (0.1399) | (0.1529) | (0.1454) | (0.1572) | |
| N*T | 608 | 608 | 489 | 489 |
| Groups | 28 | 28 | 25 | 25 |
| RMSE | 0.0566 | 0.0570 | 0.0513 | 0.0517 |
| CD p-value | 0.0713 | 0.0513 | 0.108 | 0.109 |
| Hausman p-value | 0.632 | 0.115 | 0.454 | 0.090 |
Notes: PMG estimates. Dependent variable: Real private investments per capita (logarithm). Linear country-specific time trends are included in the models but not reported. The standard errors (reported in square brackets) are calculated through the delta method. The p-values of both cross-sectional dependence and Hausman tests are reported. The asterisks ***, **, * denote significance at 1%, 5%, 10%, respectively. The optimal lag length is selected according to the value that minimises AIC