10

Series: Residuals
Sample 1994 2016
8 Observations 23

Mean 1.24e-15
6 Median 0.017901
Maximum 0.113376
Minimum -0.124985
4
Std. Dev. 0.062824
Skewness -0.645346
2 Kurtosis 2.711240

Jarque-Bera 1.676383
0 Probability 0.432492
-0.10 -0.05 0.00 0.05 0.10
Breusch-Godfrey Serial Correlation LM Test:
Null hypothesis: No serial correlation at up to 2 lags

F-statistic 6.283597 Prob. F(2,9) 0.0196

Obs*R-squared 13.40209 Prob. Chi-Square(2) 0.0012

Test Equation:
Dependent Variable: RESID
Method: ARDL
Date: 04/10/19 Time: 21:00
Sample: 1994 2016
Included observations: 23
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

LNUSD(-1) 0.254473 0.174680 1.456793 0.1792

LNUSD(-2) 0.021119 0.138325 0.152676 0.8820
LNUSD(-3) -0.068668 0.124557 -0.551301 0.5948
LNUSD(-4) -0.077000 0.110581 -0.696319 0.5038
LNGDP 0.074171 0.170671 0.434583 0.6741
LNGDP(-1) -0.327599 0.204134 -1.604817 0.1430
LNDEBT 0.050747 0.203479 0.249398 0.8087
LNDEBT(-1) 0.083419 0.357925 0.233062 0.8209
LNDEBT(-2) -0.220009 0.393953 -0.558465 0.5901
LNDEBT(-3) -0.043761 0.361937 -0.120909 0.9064
LNDEBT(-4) 0.261631 0.233329 1.121295 0.2912
C -4.141664 3.142785 -1.317832 0.2201
RESID(-1) -0.767353 0.289985 -2.646182 0.0266
RESID(-2) -0.916224 0.297278 -3.082043 0.0131

R-squared 0.582700 Mean dependent var 1.24E-15

Adjusted R-squared -0.020068 S.D. dependent var 0.062824
S.E. of regression 0.063452 Akaike info criterion -2.397953
Sum squared resid 0.036235 Schwarz criterion -1.706783
Log likelihood 41.57646 Hannan-Quinn criter. -2.224126
F-statistic 0.966707 Durbin-Watson stat 1.693481
Prob(F-statistic) 0.536505
Heteroskedasticity Test: Breusch-Pagan-Godfrey
Null hypothesis: Homoskedasticity

F-statistic 0.703293 Prob. F(11,11) 0.7154

Obs*R-squared 9.496747 Prob. Chi-Square(11) 0.5761
Scaled explained SS 1.858599 Prob. Chi-Square(11) 0.9989

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/10/19 Time: 21:00
Sample: 1994 2016
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

C -0.122398 0.249015 -0.491528 0.6327

LNUSD(-1) 0.009186 0.012088 0.759942 0.4633
LNUSD(-2) 0.008761 0.011060 0.792143 0.4450
LNUSD(-3) -0.013446 0.010588 -1.269976 0.2303
LNUSD(-4) -0.001081 0.009338 -0.115719 0.9100
LNGDP -0.013664 0.014548 -0.939226 0.3678
LNGDP(-1) -0.011415 0.015420 -0.740263 0.4746
LNDEBT -0.008222 0.017481 -0.470342 0.6473
LNDEBT(-1) 0.000840 0.030493 0.027548 0.9785
LNDEBT(-2) 0.020988 0.033128 0.633530 0.5393
LNDEBT(-3) -0.017341 0.031194 -0.555906 0.5894
LNDEBT(-4) 0.009735 0.018763 0.518821 0.6142

R-squared 0.412902 Mean dependent var 0.003775

Adjusted R-squared -0.174196 S.D. dependent var 0.005050
S.E. of regression 0.005472 Akaike info criterion -7.272535
Sum squared resid 0.000329 Schwarz criterion -6.680103
Log likelihood 95.63415 Hannan-Quinn criter. -7.123540
F-statistic 0.703293 Durbin-Watson stat 2.434766
Prob(F-statistic) 0.715379
Ramsey RESET Test
Equation: UNTITLED
Specification: LNUSD LNUSD(-1) LNUSD(-2) LNUSD(-3) LNUSD(-4)
LNGDP LNGDP(-1) LNDEBT LNDEBT(-1) LNDEBT(-2) LNDEBT(-3)
LNDEBT(-4) C
Omitted Variables: Squares of fitted values

Value df Probability
t-statistic 3.120934 10 0.0109
F-statistic 9.740230 (1, 10) 0.0109
Likelihood ratio 15.64169 1 0.0001

F-test summary:
Sum of Sq. df Mean Squares
Test SSR 0.042845 1 0.042845
Restricted SSR 0.086832 11 0.007894
Unrestricted SSR 0.043987 10 0.004399

LR test summary:
Value
Restricted LogL 31.52605
Unrestricted LogL 39.34689

Unrestricted Test Equation:

Dependent Variable: LNUSD
Method: Least Squares
Date: 04/10/19 Time: 21:02
Sample: 1994 2016
Included observations: 23

Variable Coefficient Std. Error t-Statistic Prob.

LNUSD(-1) 21.36688 6.595647 3.239543 0.0089

LNUSD(-2) -8.211936 2.538643 -3.234774 0.0089
LNUSD(-3) 5.870251 1.816459 3.231700 0.0090
LNUSD(-4) 5.337006 1.651302 3.231999 0.0090
LNGDP 37.60952 11.60346 3.241234 0.0089
LNGDP(-1) -15.47608 4.780719 -3.237187 0.0089
LNDEBT -14.17054 4.376156 -3.238126 0.0089
LNDEBT(-1) 35.90986 11.08334 3.239984 0.0089
LNDEBT(-2) -30.75984 9.496904 -3.238934 0.0089
LNDEBT(-3) 15.44536 4.779551 3.231551 0.0090
LNDEBT(-4) -13.03146 4.026306 -3.236579 0.0089
C -162.2024 53.51093 -3.031201 0.0127
FITTED^2 -0.599776 0.192178 -3.120934 0.0109

R-squared 0.988524 Mean dependent var 21.81017

Adjusted R-squared 0.974752 S.D. dependent var 0.417399
S.E. of regression 0.066323 Akaike info criterion -2.291034
Sum squared resid 0.043987 Schwarz criterion -1.649233
Log likelihood 39.34689 Hannan-Quinn criter. -2.129623
F-statistic 71.78004 Durbin-Watson stat 2.004853
Prob(F-statistic) 0.000000