Page 21 - Azerbaijan State University of Economics

M.R. Jamilov, R.M. Jamilov: Factor-Augmented J-Curve

Table 4: Factor Labeling
Cumulative Variance
Factor Factor Label
Explained, %
1 All Industries 51.67
2 Non-Heavy Industries 67.09
3 Communication and Utilities 73.70
4 Textiles and Light Equipment 79.47
5 Machinery, Vehicles, and Related Tools 83.29
6 Heavy Metals and Inorganic Chemicals 86.58
7 Storage and Infrastructure 88.80
8 Agriculture and Organic Chemicals 90.87
9 Mineral and Quarrying Goods 92.82
Note: Factor labels are put arbitrarily, based on the authors‟ analysis of the rotated
component matrix.
Table 5: Unit Root Test Results

Level First-Differences
t-stat P-value t-stat P-value
Exchange Rate -1.97 0.59 -2.05 0.07*
All Industries -2.65 0.26 -2.91 0.06*
Non-Heavy Industries -5.23 0.00** -3.95 0.01
Communication and Utilities -0.67 0.96 -2.52 0.02**
Textiles and Light Equipment -2.61 0.28 -7.86 0.00**
Machinery, Vehicles, and Related Tools -3.59 0.05 -3.93 0.01**
Heavy Metals and Inorganic Chemicals -4.20 0.02** -6.19 0.00
Storage and Infrastructure -4.38 0.01** -5.42 0.00
Agriculture and Organic Chemicals -3.56 0.06 -5.19 0.00**
Mineral and Quarrying Goods -2.66 0.26 -3.66 0.01**
Note: Regressions in Level form include the Time Trend and the Intercept. Regressions in First-
Differences include the Intercept only. 1 lag has been chosen in all cases. *,**- indicates rejection
of the null hypothesis of unit root at the 10% and 5% levels, respectively.
Table 6: ARDL Cointegration Testing
F-Stat ECT R-squared Lag Order
All Industries 9.73** -0.51** 0.54 1.2
Non-Heavy Industries 5.63* -0.57** 0.36 1,0
Communication and Utilities 3.39 0.02 0.25 1,0
Textiles and Light Equipment 8.80** -0.60** 0.48 1,0
Machinery, Vehicles, and Related Tools 14.85** -1.76** 0.78 3,0
Heavy Metals and Inorganic Chemicals 9.05** -0.81** 0.58 1,1
Storage and Infrastructure 7.73** -0.90 0.46 1,1
Agriculture and Organic Chemicals 4.72 -0.59 0.31 1,0

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