Dependent Variable: LNGDRP

Method: ARDL
Date: 12/12/19 Time: 21:40
Sample (adjusted): 2005 2017
Included observations: 13 after adjustments
Maximum dependent lags: 2 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (2 lags, automatic): LNMN LNEM LNINV
Fixed regressors: C
Number of models evalulated: 54
Selected Model: ARDL(1, 1, 1, 1)

Variable Coefficient Std. Error t-Statistic Prob.*

LNGDRP(-1) 0.953169 0.061103 15.59939 0.0408

LNGDRP(-2) 48.47714 2.275323 21.30560 0.0299
LNMN -8.825600 0.409391 -21.55790 0.0295
LNMN(-1) 2.198355 0.171671 12.80561 0.0496
LNMN(-2) 0.367738 0.112756 3.261369 0.1894
LNEM -15.92718 1.290370 -12.34311 0.0515
LNEM(-1) -26.46687 1.372705 -19.28082 0.0330
LNEM(-2) 31.59987 1.539765 20.52252 0.0310
LNINV 0.047387 0.037183 1.274424 0.4236
LNINV(-1) 0.988556 0.044627 22.15147 0.0287
LNINV(-2) -1.888640 0.089998 -20.98540 0.0303
C -659.2466 28.21505 -23.36507 0.0272

R-squared 0.999705 Mean dependent var 19.09289

Adjusted R-squared 0.996455 S.D. dependent var 1.884671
S.E. of regression 0.112213 Akaike info criterion -2.255636
Sum squared resid 0.012592 Schwarz criterion -1.734144
Log likelihood 26.66164 Hannan-Quinn criter. -2.362826
F-statistic 307.6429 Durbin-Watson stat 3.063290
Prob(F-statistic) 0.044443

*Note: p-values and any subsequent tests do not account for model
selection.
Efek Jangka Panjang
Dependent Variable: D(LNGDRP)
Selected Model: ARDL(1, 1, 1, 1)
Case 2: Restricted Constant and No Trend
Date: 12/12/19 Time: 21:42
Sample: 2001 2017
Included observations: 13

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C -659.2466 28.21505 -23.36507 0.0272

LNGDRP(-1)* 48.43031 2.313299 20.93560 0.0304
LNMN(-1) -6.259508 0.296617 -21.10301 0.0301
LNEM(-1) -10.79418 1.026929 -10.51113 0.0604
LNINV(-1) -0.852697 0.088025 -9.686955 0.0655
D(LNGDRP(-1)) -48.47714 2.275324 -21.30560 0.0299
D(LNMN) -8.825600 0.409391 -21.55790 0.0295
D(LNMN(-1)) -0.367738 0.112756 -3.261369 0.1894
D(LNEM) -15.92718 1.290370 -12.34310 0.0515
D(LNEM(-1)) -31.59987 1.539765 -20.52252 0.0310
D(LNINV) 0.047387 0.037183 1.274424 0.4236
D(LNINV(-1)) 1.888640 0.089998 20.98540 0.0303

* p-value incompatible with t-Bounds distribution.

Levels Equation
Case 2: Restricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

LNMN 0.129248 0.002201 58.71202 0.0108

LNEM 0.222881 0.013180 16.91112 0.0376
LNINV 0.017607 0.001601 11.00024 0.0577
C 13.61227 0.123125 110.5565 0.0058

EC = LNGDRP - (0.1292*LNMN + 0.2229*LNEM + 0.0176*LNINV + 13.6123 )

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

Asymptotic:
n=1000
F-statistic 204.0460 10% 2.37 3.2
k 3 5% 2.79 3.67
2.5% 3.15 4.08
1% 3.65 4.66

Finite Sample:
Actual Sample Size 13 n=35
10% 2.618 3.532
5% 3.164 4.194
1% 4.428 5.816
 Finite Sample:
n=30
10% 2.676 3.586
5% 3.272 4.306
1% 4.614 5.966

Unit Root Test

Null Hypothesis: Unit root (individual unit root process)

Series: LNGDRP, LNMN, LNEM, LNINV
Date: 12/12/19 Time: 21:47
Sample: 2001 2017
Exogenous variables: Individual effects
User-specified maximum lags
Automatic lag length selection based on SIC: 0 to 2
Total number of observations: 56
Cross-sections included: 4

Method Statistic Prob.**

-
Im, Pesaran and Shin W-stat 4.98654 0.0000

** Probabilities are computed assuming asympotic normality

Intermediate ADF test results

Max
Series t-Stat Prob. E(t) E(Var) Lag Lag Obs
D(LNGDRP) -3.9045 0.0111 -1.514 0.923 0 3 15
D(LNMN) -3.7911 0.0137 -1.514 0.923 0 3 15
D(LNEM) -2.6723 0.1015 -1.514 0.923 0 3 15
D(LNINV) -5.6300 0.0012 -1.333 1.352 2 3 11

Average -3.9995 -1.469 1.030

Null Hypothesis: Unit root (individual unit root process)

Series: LNGDRP, LNMN, LNEM, LNINV
Date: 12/12/19 Time: 21:46
Sample: 2001 2017
Exogenous variables: Individual effects
User-specified maximum lags
Automatic lag length selection based on SIC: 0 to 3
Total number of observations: 50
Cross-sections included: 4

Method Statistic Prob.**

-
Im, Pesaran and Shin W-stat 7.05822 0.0000

** Probabilities are computed assuming asympotic normality

Intermediate ADF test results

Max
Series t-Stat Prob. E(t) E(Var) Lag Lag Obs
D(LNGDRP,2) -7.2880 0.0000 -1.512 0.952 0 3 14
D(LNMN,2) -6.0062 0.0003 -1.512 0.952 0 3 14
D(LNEM,2) -5.1383 0.0017 -1.497 1.109 1 3 13
D(LNINV,2) -3.1480 0.0586 -1.356 1.937 3 3 9

Average -5.3952 -1.469 1.237

Warning: for some series the expected mean and variance for the given lag
and observation are not covered in IPS paper