Table I Optimal lag orders, number of...

Table I

Optimal lag orders, number of cointegration relations, and goodness of fit of the estimated VECMX* models

	Optimal lag orders		No. of coint. rel.	Adjusted R²		Weak exogeneity test results
Country	p*	q*	r_i	LNXRSA	LNXPRELSA	5% crit. val	LNXRSA_FOR	LNXPRELSA_FOR	LNGDPRSA
AT	2	2	1	0.1687	0.9630	4.0012	0.1379	1.8966	0.0161
AU	2	1	1	0.3803	0.6430	4.0130	8.5783	0.1095	1.2665
BELU	3	2	2	0.5898	0.9633	3.1478	0.1766	2.4083	6.2576
BG	2	2	2	0.7527	0.7967	3.1478	0.9095	2.3193	5.2657
BR	2	1	1	0.2308	0.5357	4.0012	0.5301	0.8702	0.3378
CA	2	2	2	0.6708	0.7857	3.1531	0.2335	0.2866	0.1944
CH	4	2	2	0.5520	0.8114	3.1478	2.1527	1.1786	2.1066
CN	2	1	2	0.6508	0.8361	3.1404	2.3001	0.0541	5.5327
CY	4	2	2	0.3807	0.8385	3.1428	6.4590	1.2527	2.0920
CZ	2	2	1	0.3748	0.8408	3.9959	1.5935	0.9498	0.0592
DE	2	2	2	0.7583	0.9148	3.1404	0.1125	0.4370	3.5451
DK	2	2	1	0.0451	0.9122	4.0012	0.1183	1.6899	0.6941
EE	2	1	1	0.8029	0.8417	3.9959	0.0418	4.3964	4.5630
ES	4	2	2	0.7281	0.9369	3.1478	1.5733	0.4457	2.0034
FI	2	1	2	0.4647	0.8143	3.1531	1.7189	0.7198	0.8753
FR	2	2	1	0.2752	0.9432	4.0040	3.6249	4.1863	1.9496
GB	2	2	2	0.6071	0.7735	3.1478	1.9552	5.5585	0.6619
GR	2	2	1	0.0141	0.8411	4.0130	2.7263	0.4842	2.3927
HR	1	1	1	−0.0035	0.8580	4.0012	3.1554	2.8899	0.0123
HU	2	1	2	0.5313	0.6698	3.1531	2.6858	0.1958	0.3770
ID	3	2	2	0.6903	0.8216	3.1478	0.1391	2.4068	0.0771
IE	2	1	2	0.4117	0.6976	3.1531	1.2734	3.0157	0.1130
IL	2	2	0	0.5173	0.6093	NC	NC	NC	NC
IN	4	2	2	0.4793	0.7234	3.1531	0.0295	0.1994	0.5857
IS	2	1	1	0.3455	0.6767	3.9959	1.2261	2.7686	1.3123
IT	2	2	2	0.6007	0.7910	3.1478	0.7105	3.3094	2.1919
JP	2	1	1	0.4127	0.6778	4.0012	1.7999	0.0553	5.0443
KR	2	1	2	0.7461	0.6466	3.1531	1.0910	1.0663	0.3286
LT	3	1	1	0.6209	0.9168	4.0012	0.4882	1.3214	0.0030
LV	3	1	1	0.6887	0.8192	3.9959	7.4565	20.6098	1.3273
MT	2	4	2	0.9065	0.8489	3.1478	1.0059	0.3553	1.9400
MX	2	4	2	0.6605	0.8437	3.1478	9.0690	4.1007	1.7200
NL	4	2	2	0.6450	0.9770	3.1478	0.0905	0.5642	1.0008
NO	2	1	2	0.3373	0.6550	3.1531	0.5630	0.1506	0.7448
NZ	4	1	0	0.2084	0.7225	NC	NC	NC	NC
PL	2	1	1	0.3420	0.7247	3.9909	1.2061	0.1136	1.9003
PT	2	2	2	0.5648	0.9692	3.1559	1.5343	2.3002	1.2949
RO	2	1	1	0.3414	0.7400	3.9959	0.7208	2.9132	0.1152
RU	4	1	2	0.9945	0.8938	3.1338	3.8108	0.6763	0.7743
SE	3	1	2	0.5823	0.7531	3.1650	5.3162	1.0669	0.1716
SI	4	2	2	0.7321	0.9788	3.1404	1.9645	4.7260	9.0014
SK	2	1	1	0.5750	0.7300	3.9959	0.0024	1.3496	0.0169
TR	2	1	2	0.5003	0.7429	3.1428	2.3180	0.5739	0.2569
US	2	3	3	0.7256	0.8531	2.7437	0.8590	3.8871	ND
ZA	2	1	1	0.1180	0.6649	4.0012	0.4617	0.6815	2.9233

	Optimal lag orders		No. of coint. rel.	Adjusted R²		Weak exogeneity test results
Country	p*	q*	r_i	LNXRSA	LNXPRELSA	5% crit. val	LNXRSA_FOR	LNXPRELSA_FOR	LNGDPRSA
AT	2	2	1	0.1687	0.9630	4.0012	0.1379	1.8966	0.0161
AU	2	1	1	0.3803	0.6430	4.0130	8.5783	0.1095	1.2665
BELU	3	2	2	0.5898	0.9633	3.1478	0.1766	2.4083	6.2576
BG	2	2	2	0.7527	0.7967	3.1478	0.9095	2.3193	5.2657
BR	2	1	1	0.2308	0.5357	4.0012	0.5301	0.8702	0.3378
CA	2	2	2	0.6708	0.7857	3.1531	0.2335	0.2866	0.1944
CH	4	2	2	0.5520	0.8114	3.1478	2.1527	1.1786	2.1066
CN	2	1	2	0.6508	0.8361	3.1404	2.3001	0.0541	5.5327
CY	4	2	2	0.3807	0.8385	3.1428	6.4590	1.2527	2.0920
CZ	2	2	1	0.3748	0.8408	3.9959	1.5935	0.9498	0.0592
DE	2	2	2	0.7583	0.9148	3.1404	0.1125	0.4370	3.5451
DK	2	2	1	0.0451	0.9122	4.0012	0.1183	1.6899	0.6941
EE	2	1	1	0.8029	0.8417	3.9959	0.0418	4.3964	4.5630
ES	4	2	2	0.7281	0.9369	3.1478	1.5733	0.4457	2.0034
FI	2	1	2	0.4647	0.8143	3.1531	1.7189	0.7198	0.8753
FR	2	2	1	0.2752	0.9432	4.0040	3.6249	4.1863	1.9496
GB	2	2	2	0.6071	0.7735	3.1478	1.9552	5.5585	0.6619
GR	2	2	1	0.0141	0.8411	4.0130	2.7263	0.4842	2.3927
HR	1	1	1	−0.0035	0.8580	4.0012	3.1554	2.8899	0.0123
HU	2	1	2	0.5313	0.6698	3.1531	2.6858	0.1958	0.3770
ID	3	2	2	0.6903	0.8216	3.1478	0.1391	2.4068	0.0771
IE	2	1	2	0.4117	0.6976	3.1531	1.2734	3.0157	0.1130
IL	2	2	0	0.5173	0.6093	NC	NC	NC	NC
IN	4	2	2	0.4793	0.7234	3.1531	0.0295	0.1994	0.5857
IS	2	1	1	0.3455	0.6767	3.9959	1.2261	2.7686	1.3123
IT	2	2	2	0.6007	0.7910	3.1478	0.7105	3.3094	2.1919
JP	2	1	1	0.4127	0.6778	4.0012	1.7999	0.0553	5.0443
KR	2	1	2	0.7461	0.6466	3.1531	1.0910	1.0663	0.3286
LT	3	1	1	0.6209	0.9168	4.0012	0.4882	1.3214	0.0030
LV	3	1	1	0.6887	0.8192	3.9959	7.4565	20.6098	1.3273
MT	2	4	2	0.9065	0.8489	3.1478	1.0059	0.3553	1.9400
MX	2	4	2	0.6605	0.8437	3.1478	9.0690	4.1007	1.7200
NL	4	2	2	0.6450	0.9770	3.1478	0.0905	0.5642	1.0008
NO	2	1	2	0.3373	0.6550	3.1531	0.5630	0.1506	0.7448
NZ	4	1	0	0.2084	0.7225	NC	NC	NC	NC
PL	2	1	1	0.3420	0.7247	3.9909	1.2061	0.1136	1.9003
PT	2	2	2	0.5648	0.9692	3.1559	1.5343	2.3002	1.2949
RO	2	1	1	0.3414	0.7400	3.9959	0.7208	2.9132	0.1152
RU	4	1	2	0.9945	0.8938	3.1338	3.8108	0.6763	0.7743
SE	3	1	2	0.5823	0.7531	3.1650	5.3162	1.0669	0.1716
SI	4	2	2	0.7321	0.9788	3.1404	1.9645	4.7260	9.0014
SK	2	1	1	0.5750	0.7300	3.9959	0.0024	1.3496	0.0169
TR	2	1	2	0.5003	0.7429	3.1428	2.3180	0.5739	0.2569
US	2	3	3	0.7256	0.8531	2.7437	0.8590	3.8871	ND
ZA	2	1	1	0.1180	0.6649	4.0012	0.4617	0.6815	2.9233

Notes: “NC” denotes that the weak exogeneity test statistic could not be calculated for IL and NZ, while “ND” denotes that this test statistic is not defined for LNRGDPSA for the USA since this variable is assumed to be endogenous for this country. p* and q* are determined by BIC (Lütkepohl, 2005). r_i corresponds to the number of hypothesized cointegration relations that cannot be rejected anymore by the cointegration trace statistic at the 5 percent significance level (Johansen, 1991, 1995; MacKinnon et al., 1999; Pesaran et al., 2000), while italic r_i values denote the presence of cointegration. Adjusted R² values greater than 0.5 are given in italics. Weak exogeneity F-test statistics in italics denote that they are below their 5 percent critical values (Harbo et al., 1998; Johansen, 1992)

Sources: IMF, OECD and own calculations

[ViewLarge]

Sharing Unavailable