Bound test for cointegration of variables
| Critical values bound of the F-statistics intercept and no trend | ||||||
|---|---|---|---|---|---|---|
| k | 99% | 95% | 90% | |||
| 5 | I (0) | I (1) | I (0) | I (1) | I (0) | I (1) |
| 3.5 | 4.63 | 2.81 | 3.76 | 2.49 | 3.38 | |
| Critical values bound of the F-statistics intercept and no trend | ||||||
|---|---|---|---|---|---|---|
| 99% | 95% | 90% | ||||
| 5 | I (0) | I (1) | I (0) | I (1) | I (0) | I (1) |
| 3.5 | 4.63 | 2.81 | 3.76 | 2.49 | 3.38 | |
| Model | Estimated F-Stas | Inference |
|---|---|---|
| F (GDP) = (GDP/FI,GCF,DCP,INFL,TOPN) | 7.6056a | Cointegration |
| F (FI) = (FI/GDP,GCF,DCP,INFL,TOPN) | 2.8617 | No cointegration |
| F (GCF) = (GCF/FI,GDP,DCP,INFL,TOPN) | 4.1161b | Cointegration |
| F (DCP) = (DCP/FI,GCF,GDP,INFL,TOPN) | 5.9826a | Cointegration |
| F (INFL) = (INFL/FI,GCF,DCP,GDP,TOPN) | 6.1822a | Cointegration |
| F (POPN) = (TOPN/FI,GCF,DCP,INFL,GDP) | 1.6199 | No cointegration |
| Model | Estimated F-Stas | Inference |
|---|---|---|
| F (GDP) = (GDP/FI,GCF,DCP,INFL,TOPN) | 7.6056a | Cointegration |
| F (FI) = (FI/GDP,GCF,DCP,INFL,TOPN) | 2.8617 | No cointegration |
| F (GCF) = (GCF/FI,GDP,DCP,INFL,TOPN) | 4.1161b | Cointegration |
| F (DCP) = (DCP/FI,GCF,GDP,INFL,TOPN) | 5.9826a | Cointegration |
| F (INFL) = (INFL/FI,GCF,DCP,GDP,TOPN) | 6.1822a | Cointegration |
| F (POPN) = (TOPN/FI,GCF,DCP,INFL,GDP) | 1.6199 | No cointegration |
Note(s): Models estimated using Unrestricted Constant and Restricted Trend. K is the number of regressors. Critical values are extracted from Narayan (2004) while a, b and c are statistically significant at 1% a 5% and 10%, respectively
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