Table 6. ARDL bound tests and ECT for...

Table 6.

ARDL bound tests and ECT for RGDPG, SMI1 and SMI2

Long run relationship, ARDL and bound tests results
	RGDPG		SMI1	SMI2
RGDPG			0.222349	−0.337290***
SMI1	1.139416***			0.395901***
SMI2	−0.954387***		−0.020214
Bound tests F-value	12.29329***		1.476818	9.544598***
k = 2	10%		5%	1%
Finite sample: n = 70	I (0)	3.25	3.947	5.487
	I (1)	4.237	5.02	6.88
Short run and error correction form [ECT]
	ARDL (1, 0, 0)		ARDL (1, 0, 1)	ARDL (1, 1, 1)
	RGDPG		SMI1	SMI2
ΔRGDPG			0.020781	−0.071348**
ΔRGDPG (−1)	0.264906**			−0.109312***
ΔSMI1	0.837578***			1.015911***
ΔSM1(−1)			0.906537***	−0.803857***
ΔSMI2	−0.701564***		0.218853***
ΔSMI2(−1)			−0.220743***	0.464378**
C	4.091239***		−0.097105	0.969978***
ECT(t − 1) [Coeff.] Test [Value]	−0.735094* [−6.160264]*		−0.093463** [−2.135594]	−0.535622* [−5.430335]*
R²	0.404167		0.888826	0.518206
R²_aj	0.378261		0.882287	0.482251
χ² SC (1)	1.649922		2.363589	2.605154
χ² HET (1)	0.889510		3.769435	3.434376
F-statistic	15.60141***		135.9138***	14.41272***
Durbin – Watson stat	2.184826		2.453840	2.315884

Notes:

Critical values for the bounds test: case III: unrestricted intercept and no trend, Narayan and Smyth (2005, p. 1988);

***,

** and

*indicate statistical significance at 1, 5 and 10% respectively

Long run relationship, ARDL and bound tests results
	RGDPG		SMI1	SMI2
RGDPG			0.222349	−0.337290***
SMI1	1.139416***			0.395901***
SMI2	−0.954387***		−0.020214
Bound tests F-value	12.29329***		1.476818	9.544598***
k = 2	10%		5%	1%
Finite sample: n = 70	I (0)	3.25	3.947	5.487
	I (1)	4.237	5.02	6.88
Short run and error correction form [ECT]
	ARDL (1, 0, 0)		ARDL (1, 0, 1)	ARDL (1, 1, 1)
	RGDPG		SMI1	SMI2
ΔRGDPG			0.020781	−0.071348**
ΔRGDPG (−1)	0.264906**			−0.109312***
ΔSMI1	0.837578***			1.015911***
ΔSM1(−1)			0.906537***	−0.803857***
ΔSMI2	−0.701564***		0.218853***
ΔSMI2(−1)			−0.220743***	0.464378**
C	4.091239***		−0.097105	0.969978***
ECT(t − 1) [Coeff.]Test [Value]	−0.735094*[−6.160264]*		−0.093463**[−2.135594]	−0.535622*[−5.430335]*
R²	0.404167		0.888826	0.518206
R²_aj	0.378261		0.882287	0.482251
χ² SC (1)	1.649922		2.363589	2.605154
χ² HET (1)	0.889510		3.769435	3.434376
F-statistic	15.60141***		135.9138***	14.41272***
Durbin – Watson stat	2.184826		2.453840	2.315884

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