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3 . varsoc save_con gdp_con Selection of lag length for the model: save_con=f(gdp_con)
Selection-order criteria
Sample: 5 - 57 Number of obs = 53
5 . test L1.gdp_con
( 1) L.gdp_con = 0
8 . test L1.save_con
( 1) L.save_con = 0
save_con 3 14240.7 0.9944 9979.816 0.0000 Both the estimated models are
gdp_con 3 22820.9 0.9989 50390.01 0.0000 statistically significant
save_con
save_con Both lagged save_con
L1. .9481241 .0758535 12.50 0.000 .7994539 1.096794 and lagged gdp_con have
significant influence on
gdp_con save_con.
L1. .040363 .0208183 1.94 0.053 -.0004402 .0811662 The coefficient of lagged
gdp_con is significant at
_cons -12909.27 6617.054 -1.95 0.051 -25878.46 59.91758
10 percent.
gdp_con
save_con Both lagged save_con and
L1. .3144877 .1215568 2.59 0.010 .0762407 .5527347 lagged gdp_con have
significant influence on
gdp_con gdp_con.
L1. .9955684 .0333618 29.84 0.000 .9301804 1.060956 The coefficient of lagged
12 . vargranger
Vector autoregression
save_con 3 14240.7 0.9944 4722.591 0.0000 Both the estimated models are
gdp_con 3 22820.9 0.9989 23845.27 0.0000 statistically significant
save_con
save_con Both lagged save_con
L1. .9481241 .0779708 12.16 0.000 .7917345 1.104514 and lagged gdp_con have
significant influence on
gdp_con save_con.
L1. .040363 .0213994 1.89 0.065 -.0025588 .0832848 The coefficient of lagged
gdp_con is significant at
_cons -12909.27 6801.752 -1.90 0.063 -26551.86 733.3158 10 percent.
gdp_con
save_con Both lagged save_con and
L1. .3144877 .1249498 2.52 0.015 .0638703 .5651052 lagged gdp_con have
significant influence on
gdp_con gdp_con.
L1. .9955684 .034293 29.03 0.000 .9267853 1.064352
The coefficient of lagged
_cons 3565.758 10899.95 0.33 0.745 -18296.77 25428.28 save_con is significant at
5 percent.
14 . vargranger
Selection-order criteria
Sample: 5 - 57 Number of obs = 53
Endogenous: lnsave_con
Exogenous: _cons
Econometric Analysis II Friday October 9 14:24:10 2020 Page 5
Endogenous: lngdp_con
Exogenous: _cons
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
MacKinnon approximate p-value for Z(t) = 1.0000 Presence of unit root => non-stationary series
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
MacKinnon approximate p-value for Z(t) = 0.5143 Presence of unit root => non-stationary series
21 . reg lnsave_con lngdp_con Test for cointegration between lnsave_con and lngdp_con
Selection-order criteria
Sample: 5 - 57 Number of obs = 53
Endogenous: u
Exogenous: _cons
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
25 . dfuller u, nodrift lags(1) Unit root test for residual of the regression
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
MacKinnon approximate p-value for Z(t) = 0.0037 Presence of no unit root => variables are cointegrated
26 . varsoc lnsave_con lngdp_con Selection of lag length for the model: lnsave_con=f(lngdp_con)
Selection-order criteria
Sample: 5 - 57 Number of obs = 53
lnsave_con
L1. .5757739 .1096849 5.25 0.000 .3557738 .7957741 Both lagged lnsave_con
and lagged lngdp_con
lngdp_con have significant influence
L1. .7109736 .1808605 3.93 0.000 .3482134 1.073734 on lnsave_con.
28 . test L1.lngdp_con
( 1) L.lngdp_con = 0
29 . test L1.lnsave_con
( 1) L.lnsave_con = 0
31 . test L1.lngdp_con
( 1) L.lngdp_con = 0
32 . test L1.lnsave_con
( 1) L.lnsave_con = 0
34 . var lnsave_con lngdp_con, lag(1/1) VAR approach to Granger causality test: lnsave_con=f(lngdp_con)
Vector autoregression
lnsave_con
lnsave_con
L1. .5757739 .1067065 5.40 0.000 .366633 .7849148 Both lagged lnsave_con
and lagged lngdp_con
lngdp_con have significant influence
L1. .7109736 .1759493 4.04 0.000 .3661192 1.055828 on lnsave_con.
35 . vargranger
36 . var lngdp_con lnsave_con, lag(1/1) VAR approach to Granger causality test: lngdp_con=f(lnsave_con)
Vector autoregression
lngdp_con
lngdp_con Lagged lngdp_con has
L1. 1.036476 .0479756 21.60 0.000 .9424452 1.130506 significant influence on
lngdp_con.
lnsave_con
L1. -.0123747 .0290953 -0.43 0.671 -.0694005 .0446512 Lagged lnsave_con does
not have significant
_cons -.3031321 .3178466 -0.95 0.340 -.9260999 .3198357 influence on lngdp_con.
lnsave_con
lngdp_con
L1. .7109736 .1759493 4.04 0.000 .3661192 1.055828 Both lagged lnsave_con
and lagged lngdp_con
lnsave_con have significant influence
L1. .5757739 .1067065 5.40 0.000 .366633 .7849148 on lnsave_con.
37 . vargranger
Selection-order criteria
Sample: 6 - 57 Number of obs = 52
Endogenous: lngdp_cond1
Exogenous: _cons
Selection-order criteria
Sample: 6 - 57 Number of obs = 52
Endogenous: lnsave_cond1
Exogenous: _cons
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
MacKinnon approximate p-value for Z(t) = 0.0000 Presence of no unit root => stationarity
Interpolated Dickey-Fuller
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
MacKinnon approximate p-value for Z(t) = 0.0000 Presence of no unit root => stationarity
44 .