Table 3 Lag order selection,... | Emerald Publishing

Table 3

Lag order selection, stationarity and bound test

Lag order selection
Lag	LogL	LR	FPE	AIC	SC	HQ
0	107.564	NA	1.22e−10	−5.804	−5.537	−5.712
1	232.648	200.135*	7.73e−13	−10.894*	−9.028*	−10.249*
2	269.784	46.685	8.77e−13*	−10.959	−7.493	−9.7626

Lag order selection
0	107.564	NA	1.22e−10	−5.804	−5.537	−5.712
1	232.648	200.135*	7.73e−13	−10.894*	−9.028*	−10.249*
2	269.784	46.685	8.77e−13*	−10.959	−7.493	−9.7626

Stationarity tests
	ADF test		PP test
Variable	Const. and trend	Const. and trend	Const. and trend	Const. and trend
	Levels	1st difference	Levels	1st difference
FDI	−2.795	−5.281***	−2.907	−5.235***
GEX	−3.041	−6.109***	−3.195	−8.286***
INF	−4.002**	−6.313***	−5.485***	−17.662***
REER	−2.524	−6.482***	−1.862	−6.831***
AGR	−2.491	−6.937***	−2.439*	−8.262***
TB	−0.030	−4.428***	−0.136	−6.254***

Stationarity tests
	ADF test		PP test
Variable	Const. and trend	Const. and trend	Const. and trend	Const. and trend
	Levels	1st difference	Levels	1st difference
FDI	−2.795	−5.281***	−2.907	−5.235***
GEX	−3.041	−6.109***	−3.195	−8.286***
INF	−4.002**	−6.313***	−5.485***	−17.662***
REER	−2.524	−6.482***	−1.862	−6.831***
AGR	−2.491	−6.937***	−2.439*	−8.262***
TB	−0.030	−4.428***	−0.136	−6.254***

Bound test
F-statistics	90% upper bound	95% upper bound	99% upper bound
6.692	3.79	4.25	5.23
	90% lower bound	95% lower bound	99% lower bound
	2.75	3.12	3.93

Note(s): * indicates lag order selected by the criterion. LR: sequential modified LR test statistic (each test at 5% level); FPE: Final prediction error; AIC: Akaike information criterion; SC: Schwarz information criterion; HQ: Hannan-Quinn information criterion. Also, *, **, and *** indicate the rejection of the null hypothesis of non-stationary at 10%, 5%, and 1% significance levels

Source(s): Produced from BoG, IMF and WDI data, 2024

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