Hausman test and estimate of long-run and short-run relationship using ARDL
| Correlated random effects–Hausman test | ||||
| Equation: Untitled | ||||
| Test cross-section random effects | ||||
| Test summary | Chi-Sq. Statistic | Chi-Sq. d.f | Prob | |
| Cross-section random | 11.369423 | 5 | 0.0445 | |
| Cross-section random effects test comparisons | ||||
| Variable | Fixed | Random | Var (Diff.) | Prob |
| LNFLFPR | 2.969501 | 0.138211 | 2.461991 | 0.0712 |
| LNMLFPR | −1.125913 | 1.927930 | 4.108262 | 0.1319 |
| LNSEMF | 2.420681 | 0.135465 | 1.076291 | 0.0276 |
| LNURP | 0.332488 | 0.032999 | 0.510802 | 0.6752 |
| LNFRF | 1.716545 | 0.218438 | 0.785369 | 0.0909 |
| Correlated random effects–Hausman test | ||||
| Equation: Untitled | ||||
| Test summary | Chi-Sq. Statistic | Chi-Sq. d.f | Prob | |
| Cross-section random | 11.369423 | 5 | 0.0445 | |
| Variable | Fixed | Random | Var (Diff.) | Prob |
| LNFLFPR | 2.969501 | 0.138211 | 2.461991 | 0.0712 |
| LNMLFPR | −1.125913 | 1.927930 | 4.108262 | 0.1319 |
| LNSEMF | 2.420681 | 0.135465 | 1.076291 | 0.0276 |
| LNURP | 0.332488 | 0.032999 | 0.510802 | 0.6752 |
| LNFRF | 1.716545 | 0.218438 | 0.785369 | 0.0909 |
| Estimate of Long-Run and Short-Run Relationship Using ARDL | ||||
| Dependent variable: D(LNGDP2) | ||||
| Method: ARDL | ||||
| Dynamic regressors (2 lags, automatic): LNFLFPR LNMLFPR LNSEMF LNURB LNFRF | ||||
| Fixed regressors: C | ||||
| Note: Final equation sample is larger than selection sample | ||||
| Variable | Coefficient | Std. Error | t-statistic | Prob.* |
| Long-run equation | ||||
| LNFLFPR | −8.093490 | 2.205409 | −3.669836 | 0.0003*** |
| LNMLFPR | 5.070979 | 2.963674 | 1.711045 | 0.0874* |
| LNSEMF | 2.691242 | 1.323378 | 2.033615 | 0.0423** |
| LNURP | 2.225341 | 1.038062 | 2.143745 | 0.0323** |
| LNFRF | −2.949685 | 1.113198 | −2.649740 | 0.0082*** |
| Short run equation | ||||
| COINTEQ01 | −0.080223 | 0.035582 | −30.35883 | 0.0000*** |
| D(LNFLFPR) | −268.3109 | 216.2156 | −1.240941 | 0.2150 |
| D(LNMLFPR) | 207.9931 | 86.27493 | 2.410817 | 0.0161** |
| D(LNSEMF) | −468.2731 | 399.1108 | −1.173291 | 0.2410 |
| D(LNURP) | 447.1900 | 196.7373 | 2.273031 | 0.0233** |
| D(LNFRF) | 47.90231 | 57.38784 | 0.834712 | 0.4041 |
| C | −6.842067 | 2.950585 | −2.318885 | 0.0206 |
| Dependent variable: D(LNGDP2) | ||||
| Method: ARDL | ||||
| Dynamic regressors (2 lags, automatic): LNFLFPR LNMLFPR LNSEMF LNURB LNFRF | ||||
| Fixed regressors: | ||||
| Note: Final equation sample is larger than selection sample | ||||
| Variable | Coefficient | Std. Error | Prob.* | |
| Long-run equation | ||||
| LNFLFPR | −8.093490 | 2.205409 | −3.669836 | 0.0003*** |
| LNMLFPR | 5.070979 | 2.963674 | 1.711045 | 0.0874* |
| LNSEMF | 2.691242 | 1.323378 | 2.033615 | 0.0423** |
| LNURP | 2.225341 | 1.038062 | 2.143745 | 0.0323** |
| LNFRF | −2.949685 | 1.113198 | −2.649740 | 0.0082*** |
| Short run equation | ||||
| COINTEQ01 | −0.080223 | 0.035582 | −30.35883 | 0.0000*** |
| D(LNFLFPR) | −268.3109 | 216.2156 | −1.240941 | 0.2150 |
| D(LNMLFPR) | 207.9931 | 86.27493 | 2.410817 | 0.0161** |
| D(LNSEMF) | −468.2731 | 399.1108 | −1.173291 | 0.2410 |
| D(LNURP) | 447.1900 | 196.7373 | 2.273031 | 0.0233** |
| D(LNFRF) | 47.90231 | 57.38784 | 0.834712 | 0.4041 |
| C | −6.842067 | 2.950585 | −2.318885 | 0.0206 |
Note(s): Estimated cross-section random effect variance is zero
***, **, and * represents 1, 5 and 10% respectively
Source(s): Eview version 10 calculations