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
More intriguing information
1. Thresholds for Employment and Unemployment - a Spatial Analysis of German Regional Labour Markets 1992-20002. AN EXPLORATION OF THE NEED FOR AND COST OF SELECTED TRADE FACILITATION MEASURES IN ASIA AND THE PACIFIC IN THE CONTEXT OF THE WTO NEGOTIATIONS
3. The name is absent
4. Qualifying Recital: Lisa Carol Hardaway, flute
5. Can we design a market for competitive health insurance? CHERE Discussion Paper No 53
6. The name is absent
7. TECHNOLOGY AND REGIONAL DEVELOPMENT: THE CASE OF PATENTS AND FIRM LOCATION IN THE SPANISH MEDICAL INSTRUMENTS INDUSTRY.
8. Investment and Interest Rate Policy in the Open Economy
9. The name is absent
10. Non-farm businesses local economic integration level: the case of six Portuguese small and medium-sized Markettowns• - a sector approach