Null Hypothesis: D(DOLLAR) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=0)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.488588 0.0013

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DOLLAR,2)
Method: Least Squares
Date: 11/08/21 Time: 23:07
Sample (adjusted): 1992 2020
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(DOLLAR(-1)) -0.852301 0.189882 -4.488588 0.0001

C 82.48688 26.93224 3.062756 0.0049

R-squared 0.427328 Mean dependent var 4.310345

Adjusted R-squared 0.406118 S.D. dependent var 143.5512
S.E. of regression 110.6259 Akaike info criterion 12.31666
Sum squared resid 330428.3 Schwarz criterion 12.41095
Log likelihood -176.5915 Hannan-Quinn criter. 12.34619
F-statistic 20.14742 Durbin-Watson stat 2.019386
Prob(F-statistic) 0.000120
Null Hypothesis: D(GDP) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.650128 0.0949

Test critical values: 1% level -3.679322
5% level -2.967767
10% level -2.622989

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GDP,2)
Method: Least Squares
Date: 11/08/21 Time: 23:08
Sample (adjusted): 1992 2020
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(GDP(-1)) -0.420814 0.158790 -2.650128 0.0133

C 535246.9 325329.3 1.645247 0.1115

R-squared 0.206423 Mean dependent var -13646.44

Adjusted R-squared 0.177032 S.D. dependent var 1489268.
S.E. of regression 1351028. Akaike info criterion 31.13710
Sum squared resid 4.93E+13 Schwarz criterion 31.23140
Log likelihood -449.4880 Hannan-Quinn criter. 31.16663
F-statistic 7.023178 Durbin-Watson stat 1.677320
Prob(F-statistic) 0.013289
Vector Autoregression Estimates
Date: 11/08/21 Time: 23:10
Sample (adjusted): 1993 2020
Included observations: 28 after adjustments
Standard errors in ( ) & t-statistics in [ ]

DDOLLAR RGDP

DDOLLAR(-1) -0.275869 -0.103617

(0.24110) (0.10859)
[-1.14419] [-0.95422]

DDOLLAR(-2) 0.821930 0.349204

(0.12013) (0.05410)
[ 6.84214] [ 6.45450]

RGDP(-1) 1.498660 0.664876

(0.48977) (0.22058)
[ 3.05993] [ 3.01422]

RGDP(-2) -1.907763 -0.651252

(0.28061) (0.12638)
[-6.79862] [-5.15314]

C 0.154180 0.170205
(0.14837) (0.06682)
[ 1.03918] [ 2.54720]

R-squared 0.875259 0.877712

Adj. R-squared 0.853564 0.856445
Sum sq. resids 5.179842 1.050665
S.E. equation 0.474564 0.213731
F-statistic 40.34537 41.27021
Log likelihood -16.10626 6.228659
Akaike AIC 1.507590 -0.087761
Schwarz SC 1.745484 0.150132
Mean dependent 0.324830 0.320850
S.D. dependent 1.240141 0.564103

Determinant resid covariance (dof adj.) 0.004718

Determinant resid covariance 0.003183
Log likelihood 1.037983
Akaike information criterion 0.640144
Schwarz criterion 1.115931
Number of coefficients 10
VAR Lag Order Selection Criteria
Endogenous variables: DDOLLAR RGDP
Exogenous variables: C
Date: 11/08/21 Time: 23:22
Sample: 1990 2020
Included observations: 28

Lag LogL LR FPE AIC SC HQ

0 -36.60213 NA 0.054020 2.757295 2.852452 2.786385

1 -19.82026 29.96762 0.021714 1.844304 2.129777 1.931576
2 1.037983 34.26711* 0.006553* 0.640144* 1.115931* 0.785597*

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

VAR Granger Causality/Block Exogeneity Wald Tests

Date: 11/08/21 Time: 23:30
Sample: 1990 2020
Included observations: 28

Dependent variable: DDOLLAR

Excluded Chi-sq df Prob.

RGDP 78.58197 2 0.0000

All 78.58197 2 0.0000

Dependent variable: RGDP

Excluded Chi-sq df Prob.

DDOLLAR 114.0632 2 0.0000

All 114.0632 2 0.0000

 Response to Cholesky One S.D. (d.f. adjusted) Innovations ± 2 S.E.
Response of DDOLLAR to DDOLLAR Response of DDOLLAR to RGDP
.6 .6

.4 .4

.2 .2

.0 .0

-.2 -.2

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of RGDP to DDOLLAR Response of RGDP to RGDP

.2 .2

.1 .1

.0 .0

-.1 -.1
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
Variance Decomposition of DDOLLAR:
Period S.E. DDOLLAR RGDP

1 0.474564 100.0000 0.000000

2 0.532199 83.38953 16.61047
3 0.583757 75.40606 24.59394
4 0.589328 75.58379 24.41621
5 0.591593 75.01342 24.98658
6 0.594027 74.40079 25.59921
7 0.594423 74.42516 25.57484
8 0.594762 74.43357 25.56643
9 0.594861 74.44028 25.55972
10 0.594941 74.43579 25.56421

Variance Decomposition of RGDP:

Period S.E. DDOLLAR RGDP

1 0.213731 54.14494 45.85506

2 0.240851 47.92739 52.07261
3 0.262223 52.02275 47.97725
4 0.266054 53.38784 46.61216
5 0.268210 52.81924 47.18076
6 0.269432 52.40489 47.59511
7 0.269653 52.37585 47.62415
8 0.269862 52.36386 47.63614
9 0.269928 52.38668 47.61332
10 0.269971 52.39891 47.60109

Cholesky Ordering: DDOLLAR RGDP