29 Observations used for Estimation from 1989 to 2020

Regressor

Coefficient

Standard Error

T-Ratio

[Prob.]

EC(−1)

0.47624

0.13797

3.45180

[0.003]***

LL

0.03216

0.01454

2.21240

[0.042]**

LL(−1)

0.03017

0.00907

3.32520

[0.004]***

IR

−0.00462

0.01212

−0.38102

[0.708]

COM

−0.00280

0.01003

−0.27872

[0.784]

COM(−1)

0.02296

0.01228

1.86910

[0.080]*

COM(−2)

−0.02276

0.01283

−1.77460

[0.095]*

EF

0.02160

0.01024

2.10930

[0.051]*

EF(−1)

0.01421

0.01312

1.08350

[0.295]

EF(−2)

−0.03855

0.01470

−2.62300

[0.018]**

PRIV

0.00787

0.01674

0.47005

[0.645]

COMP

0.00270

0.01409

0.19134

[0.851]

CONSTANT

0.02222

0.00821

2.70770

[0.016]**

R-Squared

0.99174

R-Bar-Squared

0.98554

S.E of Regression

0.012672

F-stat. F(17, 11)

160.0253 [0.000]

Mean of Dep. Var.

0.13604

S.D of Dep.Var.

0.10569

RSS

0.0025692

Equat LL

94.1569

AIC

81.1569

SBC

72.2695

DW-statistic

2.0438

Durbin’s h-statistic = −0.17621 [0.860]

F-statistic

95% LB

95% UB

90% LB

90% UB

4.0623

3.0144

4.5077

2.4978

3.7886

W-statistic

95% LB

95% UB

90% LB

90% UB

28.4360

21.0801

31.5538

17.4845

26.5202

Diagnostic Tests

Serial Correlation, CHSQ(1) = 0.031224 [0.860] * F(1, 15) = 0.016168 [0.901]*: Lagrange multiplier test of residual serial correlation

Functional Form, CHSQ(1) = 0.031224 [0.860] * F(1, 15) = 0.016168 [0.901]*: Ramsey’s RESET test using the square of the fitted values

Normality, CHSQ (2) = *CHSQ(2) = 4.0107 (0.135) * Not applicable: Based on a test of skewness and kurtosis of residuals

Heteroscedasticity, CHSQ(1) = 2.3786 [0.123] * F(1, 27) = 2.4124 [0.132]*: Based on the Regression of Squared Residuals on Squared Fitted Values