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THE JOURNAL OF ECONOMIC SCIENCES: THEORY AND PRACTICE, V.80, # 2, 2023, pp. 47-59
The Augmented Dickey-Fuller test (Dickey and Fuller, 1981) is used to check the
stationarity of the variables. Results are presented below:
Table 2: ADF test results
I(0) I(1)
Indicators
Intercept Trend and Intercept Trend and
intercept intercept
RGDPG -1.906* -2.376 -7.915 *** -7.773 ***
RNOGDPG -4.764** -5.559*** -9.214 *** -9.312 ***
RGOVREV -2.681* -2.076 -5.498*** -19.950***
RCAPINV -1.386 -1.109 -4.905 *** -5.068 ***
RTOTTRADE -3.839*** -3,574** -4.714*** -4.774***
OILPRCG -6.909*** -6.874*** -8.374*** -8.310***
*
**
Note: *** , and denote statistical significance at 1%, 5% and 10% level,
respectively
Source: Compiled by author based on Eviews calculations
The specification of the 2 models are presented below:
= + −1 + −1 + −1 +
3
2
1
0
−1 + −1 + ∑ Δ − + ∑ Δ − +
=0
5
4
=1
∑ Δ − + ∑ Δ − + ∑ =0 Δ − + (1)
=0
=0
= + −1 + −1 + −1 +
0
3
2
1
−1 + −1 + ∑ Δ − +
5
4
=1
∑ Δ − + ∑ Δ − + ∑ Δ − +
=0
=0
=0
∑ =0 Δ − + (2)
While , i = 1,...,6 represents long term coefficients, , i = 1,...,m , , , i = 1,...,n ,
, i = 1,...,w , , i = 1,...,p , , i = 1,...,q , , i = 1,...,r denote short term
coefficients. The symbols m, n, w, p, q, r represents optimal lag lentghs chosen
using Akaike info criterion (AIC).
EMPIRICAL RESULTS AND DISCUSSION
Optimal lags for the models using AIC criterion are presented in the Table 3.
Table 3: Selection of optimal models
Selected models
Model 1 ARDL (3,1,0,0,2)
Model 2 ARDL (4,1,0,4,2)
Source: Compiled by author based on Eviews calculations
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