Unit Root test

GDP

Null Hypothesis: GDP_ has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.762164 0.0004

Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GDP_)
Method: Least Squares
Date: 05/07/24 Time: 21:29
Sample (adjusted): 1981 2022
Included observations: 42 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GDP_(-1) -0.640917 0.134585 -4.762164 0.0000

C 2.925605 0.708125 4.131480 0.0002

R-squared 0.361820 Mean dependent var -0.131188

Adjusted R-squared 0.345865 S.D. dependent var 2.396069
S.E. of regression 1.937907 Akaike info criterion 4.207542
Sum squared resid 150.2193 Schwarz criterion 4.290288
Log likelihood -86.35838 Hannan-Quinn criter. 4.237872
F-statistic 22.67820 Durbin-Watson stat 2.117759
Prob(F-statistic) 0.000025
Inflation

Null Hypothesis: INF__ has a unit root

Exogenous: Constant
Lag Length: 6 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.191298 0.0001

Test critical values: 1% level -3.626784
5% level -2.945842
10% level -2.611531

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(INF__)
Method: Least Squares
Date: 05/07/24 Time: 21:30
Sample (adjusted): 1987 2022
Included observations: 36 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

INF__(-1) -1.471135 0.283385 -5.191298 0.0000

D(INF__(-1)) 0.605539 0.219887 2.753869 0.0102
D(INF__(-2)) 0.584570 0.185519 3.150999 0.0039
D(INF__(-3)) 0.964931 0.187926 5.134631 0.0000
D(INF__(-4)) 0.950351 0.228885 4.152087 0.0003
D(INF__(-5)) 0.676129 0.226642 2.983247 0.0059
D(INF__(-6)) 0.476171 0.191050 2.492386 0.0189
C 12.60567 2.401652 5.248751 0.0000

R-squared 0.577704 Mean dependent var 0.454651

Adjusted R-squared 0.472130 S.D. dependent var 3.676713
S.E. of regression 2.671304 Akaike info criterion 4.996141
Sum squared resid 199.8042 Schwarz criterion 5.348034
Log likelihood -81.93053 Hannan-Quinn criter. 5.118961
F-statistic 5.472024 Durbin-Watson stat 1.872118
Prob(F-statistic) 0.000486
Final consumption expenditure

Null Hypothesis: D(FCE_) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.086134 0.0000

Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(FCE_,2)
Method: Least Squares
Date: 05/07/24 Time: 21:29
Sample (adjusted): 1982 2022
Included observations: 41 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(FCE_(-1)) -1.114826 0.157325 -7.086134 0.0000

C 0.138038 0.273028 0.505582 0.6160

R-squared 0.562845 Mean dependent var 0.101446

Adjusted R-squared 0.551636 S.D. dependent var 2.610393
S.E. of regression 1.747919 Akaike info criterion 4.002279
Sum squared resid 119.1536 Schwarz criterion 4.085868
Log likelihood -80.04672 Hannan-Quinn criter. 4.032717
F-statistic 50.21329 Durbin-Watson stat 1.996669
Prob(F-statistic) 0.000000
GDP Per Capita
Null Hypothesis: GDP_PC__ has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.981139 0.0002

Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GDP_PC__)
Method: Least Squares
Date: 05/07/24 Time: 21:31
Sample (adjusted): 1981 2022
Included observations: 42 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GDP_PC__(-1) -0.722076 0.144962 -4.981139 0.0000

C 1.421229 0.417337 3.405471 0.0015

R-squared 0.382828 Mean dependent var -0.073244

Adjusted R-squared 0.367399 S.D. dependent var 2.363729
S.E. of regression 1.880022 Akaike info criterion 4.146892
Sum squared resid 141.3792 Schwarz criterion 4.229638
Log likelihood -85.08472 Hannan-Quinn criter. 4.177221
F-statistic 24.81175 Durbin-Watson stat 1.991468
Prob(F-statistic) 0.000013
Real effective exchang rate index
Null Hypothesis: D(REER_2010_100_) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.126582 0.0000

Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(REER_2010_100_,2)
Method: Least Squares
Date: 05/07/24 Time: 21:32
Sample (adjusted): 1982 2022
Included observations: 41 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(REER_2010_100_(-1)) -0.821740 0.134127 -6.126582 0.0000

C -2.953247 1.316982 -2.242435 0.0307

R-squared 0.490429 Mean dependent var -0.767377

Adjusted R-squared 0.477363 S.D. dependent var 11.22845
S.E. of regression 8.117451 Akaike info criterion 7.073460
Sum squared resid 2569.827 Schwarz criterion 7.157049
Log likelihood -143.0059 Hannan-Quinn criter. 7.103898
F-statistic 37.53500 Durbin-Watson stat 1.240299
Prob(F-statistic) 0.000000
All variables method

Dependent Variable: GDP_

Method: Least Squares
Date: 05/07/24 Time: 21:33
Sample: 1980 2022
Included observations: 43

Variable Coefficient Std. Error t-Statistic Prob.

C 10.63543 1.520598 6.994243 0.0000

INF__ 0.041959 0.015804 2.655035 0.0115
GDP_PC__ 0.977628 0.032723 29.87616 0.0000
FCE_ -0.120308 0.017646 -6.817977 0.0000
REER_2010_100_ 0.019510 0.001642 11.87957 0.0000

R-squared 0.971270 Mean dependent var 4.767925

Adjusted R-squared 0.968246 S.D. dependent var 2.221850
S.E. of regression 0.395927 Akaike info criterion 1.093769
Sum squared resid 5.956802 Schwarz criterion 1.298560
Log likelihood -18.51603 Hannan-Quinn criter. 1.169289
F-statistic 321.1658 Durbin-Watson stat 0.748670
Prob(F-statistic) 0.000000