coefficients of the fundamentals in levels are reported. The t-statistics are adjusted, as
recommended by Hamilton (1994, pp. 610) and Hayashi (2000, pp. 656 - 658).
2 The residuals are calculated as the differences between the observed values and the
corresponding fitted values (given by the fundamentals in levels). The critical values are from
Philips and Ouliaris (1990, Table IIc).
Table 6
Russia: long run equilibrium relation (equation (3)) for real exchange rate
(1995:01 2001:12)
Coefficients estimates
(t-statistic)1
Variable
Specification 1
Static OLS
(1995:01- 2001:12)
Specification 21
Dynamic OLS
(1995:06 - 2001:08)
|
Constant |
3.750018 (8.21) |
4.795579 (5.27) |
|
TREND |
0.003611 |
0.004066 |
|
(8.29) |
(7.90) | |
|
log(TOT) |
-0.040222 |
-0.437624 |
|
(0.70) |
(4.04) | |
|
FLOW |
0.504464 |
1.952449 |
|
(1.46) |
(3.30) | |
|
log(OPEN) |
-0.901751 |
-0.436329 |
|
(-8.86) |
(-1.73) | |
|
log(GOV) |
0.068315 |
0.440516 |
|
(2.26) |
(2.39) | |
|
R2 |
0.88 |
0.99 |
|
Adjusted R2 |
0.87 |
0.97 |
Unit Root Tests for residual2
|
ADF Statistic |
-6.73(0) |
-8.26(0) |
|
Phillips-Perron Statistic |
-6.81(4) |
-8.26(1) |
|
1% Critical Value |
-5.04 |
-5.04 |
|
5% Critical Value |
-4.20 |
-4.20 |
1 Dynamic OLS corrects for serial correlation and endogeneity of the regressors, as
recommended by Hamilton (1994, pp. 608 - 612) and Hayashi (2000, pp. 650 - 665). Along
25
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