Appendix
A1 VAR lag length
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VAR Lag Order Selection Criteria Endogenous variables: CP GDP M2
Exogenous variables: C
Date: 07/26/12 Time: 03:52
Sample: 1970 2010
Included observations: 36
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Lag
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LogL
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LR
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FPE
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AIC
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SC
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HQ
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0
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-16.79238
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NA
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0.000603
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1.099577
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1.231537
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1.145634
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1
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99.05879
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205.9576*
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1.60e-06*
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-4.836600*
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-4.308760*
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-4.652370*
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2
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105.2066
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9.904788
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1.89e-06
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-4.678144
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-3.754425
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-4.355741
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3
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110.4105
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7.516778
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2.41e-06
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-4.467251
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-3.147652
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-4.006676
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4
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119.3113
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11.37318
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2.57e-06
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-4.461737
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-2.746258
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-3.862989
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5
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128.4008
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10.09944
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2.82e-06
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-4.466709
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-2.355351
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-3.729789
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* indicates lag order selected by the criterion
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LR: sequential modified LR test statistic (each test at 5%
level)
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FPE: Final prediction error
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AIC: Akaike information criterion
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SC: Schwarz information criterion
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HQ: Hannan-Quinn information criterion
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A2 Cointegration test
Date: 08/16/12 Time: 13:14
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Sample (adjusted): 1971 2010
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Included observations: 40 after adjustments
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Trend assumption: Linear deterministic trend
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Series: CP GDP FD
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Lags interval (in first differences): No lags
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Unrestricted Cointegration Rank Test (Trace)
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Hypothesized
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Trace
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0.05
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No. of CE(s)
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Eigenvalue
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Statistic
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Critical Value
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Prob.**
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None
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0.441065
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26.03211
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29.79707
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0.1277
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At most 1
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0.061416
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2.763230
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15.49471
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0.9766
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At most 2
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0.005682
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0.227925
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3.841466
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0.6331
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Trace test indicates no cointegration at the 0.05 level * denotes
rejection of the
hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999)
p-values
Unrestricted Cointegration Rank Test (Maximum
Eigenvalue)
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Hypothesized
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Max-Eigen
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0.05
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No. of CE(s)
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Eigenvalue
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Statistic
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Critical Value
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Prob.**
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None *
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0.441065
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23.26888
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21.13162
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0.0246
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At most 1
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0.061416
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2.535305
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14.26460
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0.9728
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At most 2
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0.005682
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0.227925
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3.841466
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0.6331
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Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05
level * denotes
rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999)
p-values
Unrestricted Cointegrating Coefficients (normalized by
b'*S11*b=I):
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CP
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GDP
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FD
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-2.494180
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-3.258155
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4.272959
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-1.553644
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1.676929
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-0.177757
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0.893488
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4.323155
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0.391353
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Unrestricted Adjustment Coefficients (alpha):
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D(CP)
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-0.056446
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0.038557
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-0.001286
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D(GDP)
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0.018937
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0.006920
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0.003697
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D(FD)
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-0.086857
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-0.003577
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0.003878
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1 Cointegrating Equation(s): Log likelihood 102.4326
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Normalized cointegrating coefficients (standard error in
parentheses)
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CP
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GDP
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M2
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1.000000
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1.306303
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-1.713172
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(0.34947)
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(0.20415)
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Adjustment coefficients (standard error in parentheses)
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D(CP)
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0.140787
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(0.06835)
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D(GDP)
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-0.047233
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(0.02441)
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D(FD)
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0.216637
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(0.04508)
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2 Cointegrating Equation(s): Log likelihood 103.7002
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Normalized cointegrating coefficients (standard error in
parentheses)
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CP
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GDP
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FD
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1.000000
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0.000000
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-0.712449
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(0.61835)
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0.000000
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1.000000
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-0.766072
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(0.47572)
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Adjustment coefficients (standard error in parentheses)
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D(CP)
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0.080882
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0.248568
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(0.07840)
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(0.09776)
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D(GDP)
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-0.057983
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-0.050097
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(0.02857)
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(0.03563)
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D(FD)
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0.222195
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0.276995
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(0.05309)
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(0.06620)
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A3 vector Autoregression Estimates
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Vector Autoregression Estimates
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Date: 09/06/12 Time: 11:16
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Sample (adjusted): 1971 2010
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Included observations: 40 after adjustments
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Standard errors in ( ) & t-statistics in [ ]
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GDP
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CP
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FD
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GDP(-1)
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0.965886
(0.05650)
[ 17.0957]
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0.243011
(0.15534)
[ 1.56440]
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0.293759
(0.10513)
[ 2.79437]
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CP(-1)
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-0.054680
(0.03062)
[-1.78580]
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1.079734
(0.08418)
[ 12.8258]
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0.225660
(0.05697)
[ 3.96086]
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FD(-1)
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0.081135
(0.04281)
[ 1.89506]
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-0.248549
(0.11771)
[-2.11150]
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0.631017
(0.07966)
[ 7.92114]
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C
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0.865941
(1.52758)
[ 0.56687]
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-6.172351 (4.19993) [-1.46963]
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-7.562115
(2.84233)
[-2.66054]
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R-squared
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0.931321
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0.899022
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0.897710
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Adj. R-squared
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0.925598
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0.890607
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0.889186
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Sum sq. resids
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0.143120
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1.081871
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0.495495
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S.E. equation
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0.063052
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0.173355
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0.117319
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F-statistic
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162.7258
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106.8380
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105.3140
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Log likelihood
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55.90150
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15.44621
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31.06402
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Akaike AIC
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-2.595075
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-0.572311
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-1.353201
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Schwarz SC
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-2.426187
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-0.403423
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-1.184313
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Mean dependent
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27.37380
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2.215064
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2.566628
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S.D. dependent
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0.231156
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0.524134
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0.352429
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Determinant resid covariance (dof adj.)
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1.53E-06
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Determinant resid covariance
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1.12E-06
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Log likelihood
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103.8142
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Akaike information criterion
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-4.590710
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Schwarz criterion
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-4.084046
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A4 Vector error Correction Estimates
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Vector Error Correction Estimates
Date: 08/16/12 Time: 22:31
Sample (adjusted): 1971 2010
Included observations: 40 after adjustments Standard errors in (
) & t-statistics in [ ]
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Cointegrating Eq:
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CointEq1
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GDP(-1)
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1.000000
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CP(-1)
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0.765519
(0.14499)
[ 5.27997]
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FD(-1)
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-1.311466
(0.20636)
[-6.35514]
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C
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-25.71474
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Error Correction:
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D(GDP)
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D(CP)
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D(FD)
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CointEq1
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-0.061700
(0.03189)
[-1.93501]
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0.183910
(0.08928)
[ 2.05985]
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0.282994
(0.05889)
[ 4.80530]
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C
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0.018184
(0.00979)
[ 1.85806]
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0.020999
(0.02740)
[ 0.76631]
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0.034749
(0.01808)
[ 1.92244]
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R-squared
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0.089695
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0.100443
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0.377976
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Adj. R-squared
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0.065740
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0.076770
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0.361607
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Sum sq. resids
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0.145582
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1.141404
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0.496608
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S.E. equation
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0.061896
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0.173312
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0.114318
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F-statistic
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3.744264
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4.242996
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23.09087
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Log likelihood
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55.56039
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14.37487
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31.01913
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Akaike AIC
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-2.678019
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-0.618744
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-1.450957
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Schwarz SC
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-2.593575
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-0.534300
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-1.366513
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Mean dependent
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0.018184
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0.020999
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0.034749
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S.D. dependent
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0.064037
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0.180374
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0.143077
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Determinant resid covariance (dof adj.)
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1.40E-06
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Determinant resid covariance
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1.20E-06
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Log likelihood
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102.4326
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Akaike information criterion
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-4.671629
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Schwarz criterion
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-4.291632
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Acknowledgment
Acknowledgment
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