VECTOR ERROR CORRECTION MODEL AN EVIEWS …

1 1 VECTOR ERROR CORRECTION MODEL AN EVIEWS APPLICATION DATA OBS CONS EX GDP 1960 1961 1962 1963 1964 1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992

2 1993 1994 1995 Here, GDP = GDP CONS = Consumption EX= Export 2 UNIT ROOT TESTING USING AUGMENTED DICKEY FULLER AT LEVEL GDP DATA CONSTANT Null Hypothesis: GDP has a unit root Exogenous: Constant Lag Length: 4 (Automatic based on SIC, MAXLAG=9) t-Statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

3 Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP) Method: Least Squares Date: 04/28/09 Time: 17:57 Sample (adjusted): 1965 1995 Included observations: 31 after adjustments Coefficient Std. Errort-StatisticProb. GDP(-1) D(GDP(-1)) D(GDP(-2)) D(GDP(-3)) D(GDP(-4)) C R-squared Mean dependent var Adjusted R-squared dependent var of regression Akaike info Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter.

4 F-statistic Durbin-Watson stat Prob(F-statistic) 3 CONSTANT LINEAR TREND Null Hypothesis: GDP has a unit root Exogenous: Constant, Linear Trend Lag Length: 4 (Automatic based on SIC, MAXLAG=9) t-Statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

5 Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP) Method: Least Squares Date: 04/28/09 Time: 18:01 Sample (adjusted): 1965 1995 Included observations: 31 after adjustments Coefficient Std. Errort-StatisticProb. GDP(-1) (GDP(-1)) (GDP(-2)) (GDP(-3)) (GDP(-4)) @TREND(1960) Mean dependent var R-squared dependent var of regression Akaike info criterion squared resid Schwarz criterion likelihood Hannan-Quinn criter. Durbin-Watson stat (F-statistic) 4 NONE Null Hypothesis: GDP has a unit root Exogenous: None Lag Length: 4 (Automatic based on SIC, MAXLAG=9) t-Statistic Prob.

6 * Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP) Method: Least Squares Date: 04/28/09 Time: 18:04 Sample (adjusted): 1965 1995 Included observations: 31 after adjustments Coefficient Std. Errort-StatisticProb. GDP(-1) (GDP(-1)) (GDP(-2)) (GDP(-3)) (GDP(-4)) Mean dependent var R-squared dependent var of regression Akaike info criterion squared resid Schwarz criterion likelihood Hannan-Quinn criter.

7 Stat 5 FIRST DIFFERENCED GDP DATA CONSTANT Null Hypothesis: D(GDP) has a unit root Exogenous: Constant Lag Length: 3 (Automatic based on SIC, MAXLAG=9) t-Statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP,2) Method: Least Squares Date: 04/28/09 Time: 18:11 Sample (adjusted): 1965 1995 Included observations: 31 after adjustments Coefficient Std.

8 Errort-StatisticProb. D(GDP(-1)) (GDP(-1),2) (GDP(-2),2) (GDP(-3),2) Mean dependent var R-squared dependent var of regression Akaike info criterion squared resid Schwarz criterion likelihood Hannan-Quinn criter. Durbin-Watson stat (F-statistic) 6 CONSTANT LINEAR TREND Null Hypothesis: D(GDP) has a unit root Exogenous: Constant, Linear Trend Lag Length: 3 (Automatic based on SIC, MAXLAG=9) t-Statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

9 Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP,2) Method: Least Squares Date: 04/28/09 Time: 18:24 Sample (adjusted): 1965 1995 Included observations: 31 after adjustments Coefficient Std. Errort-StatisticProb. D(GDP(-1)) (GDP(-1),2) (GDP(-2),2) (GDP(-3),2) @TREND(1960) Mean dependent var R-squared dependent var of regression Akaike info criterion squared resid Schwarz criterion likelihood Hannan-Quinn criter. Durbin-Watson stat (F-statistic) 7 NONE Null Hypothesis: D(GDP) has a unit root Exogenous: None Lag Length: 4 (Automatic based on SIC, MAXLAG=9) t-Statistic Prob.

10 * Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP,2) Method: Least Squares Date: 04/28/09 Time: 18:25 Sample (adjusted): 1966 1995 Included observations: 30 after adjustments CoefficientStd. Errort-StatisticProb. D(GDP(-1)) (GDP(-1),2) (GDP(-2),2) (GDP(-3),2) (GDP(-4),2) Mean dependent var R-squared dependent var of regression Akaike info criterion squared resid Schwarz criterion likelihood Hannan-Quinn criter.