Cointegration Tests

Fertility Rate and GDP Growth Rate

Engle-Granger

Cointegration Test - Engle-Granger

Date: 04/11/19 Time: 13:34
Equation: UNTITLED
Specification: GDP_GRATE TFR C
Cointegrating equation deterministics: C
Null hypothesis: Series are not cointegrated
Automatic lag specification (lag=0 based on Schwarz Info Criterion,
maxlag=10)

Value Prob.*
Engle-Granger tau-statistic -4.212050 0.0074
Engle-Granger z-statistic -27.59412 0.0042

*MacKinnon (1996) p-values.

Intermediate Results:
Rho - 1 -0.492752
Rho S.E. 0.116986
Residual variance 6.684468
Long-run residual variance 6.684468
Number of lags 0
Number of observations 56
Number of stochastic trends** 2

**Number of stochastic trends in asymptotic distribution.

Engle-Granger Test Equation:

Dependent Variable: D(RESID)
Method: Least Squares
Date: 04/11/19 Time: 13:34
Sample (adjusted): 1962 2017
Included observations: 56 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID(-1) -0.492752 0.116986 -4.212050 0.0001

R-squared 0.243846 Mean dependent var 0.024199

Adjusted R-squared 0.243846 S.D. dependent var 2.973228
S.E. of regression 2.585434 Akaike info criterion 4.755359
Sum squared resid 367.6457 Schwarz criterion 4.791526
Log likelihood -132.1501 Hannan-Quinn criter. 4.769381
Durbin-Watson stat 1.878174

Conclusion: Cointegration exists

ARDL Bounds Test

ARDL Long Run Form and Bounds Test

Dependent Variable: D(GDP_GRATE)
Selected Model: ARDL(1, 0)
Case 2: Restricted Constant and No Trend
Date: 04/11/19 Time: 13:37
Sample: 1961 2017
Included observations: 56

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C 2.238996 1.423007 1.573425 0.1216

GDP_GRATE(-1)* -0.492242 0.119168 -4.130668 0.0001
TFR** -0.024332 0.282465 -0.086141 0.9317

* p-value incompatible with t-Bounds distribution.

** Variable interpreted as Z = Z(-1) + D(Z).

Levels Equation
Case 2: Restricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

TFR -0.049430 0.574563 -0.086031 0.9318

C 4.548565 2.753742 1.651776 0.1045

EC = GDP_GRATE - (-0.0494*TFR + 4.5486 )

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

Asymptotic:
n=1000
F-statistic 5.717571 10% 3.02 3.51
k 1 5% 3.62 4.16
2.5% 4.18 4.79
1% 4.94 5.58

Finite Sample:
Actual Sample Size 56 n=60
10% 3.127 3.65
5% 3.803 4.363
1% 5.383 6.033

Finite Sample:
n=55
10% 3.143 3.67
5% 3.79 4.393
1% 5.377 6.047

Conclusion: Cointegration exists

Fertility Rate and Unemployment Rate

Cointegration Test - Engle-Granger

Date: 04/11/19 Time: 13:39
Equation: UNTITLED
Specification: UNEMP_RATE UNEMP_RATE(-1) UNEMP_RATE(-2) TFR
TFR(-1) C
Cointegrating equation deterministics: C
Null hypothesis: Series are not cointegrated
Automatic lag specification (lag=0 based on Schwarz Info Criterion,
maxlag=10)

Value Prob.*
Engle-Granger tau-statistic -7.368113 0.0000
Engle-Granger z-statistic -53.00123 0.0001

*MacKinnon (1996) p-values.

Intermediate Results:
Rho - 1 -0.981504
Rho S.E. 0.133210
Residual variance 0.942550
Long-run residual variance 0.942550
Number of lags 0
Number of observations 54
Number of stochastic trends** 5

**Number of stochastic trends in asymptotic distribution.

Engle-Granger Test Equation:

Dependent Variable: D(RESID)
Method: Least Squares
Date: 04/11/19 Time: 13:39
Sample (adjusted): 1964 2017
Included observations: 54 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID(-1) -0.981504 0.133210 -7.368113 0.0000

R-squared 0.505838 Mean dependent var 0.025320

Adjusted R-squared 0.505838 S.D. dependent var 1.381076
S.E. of regression 0.970850 Akaike info criterion 2.797055
Sum squared resid 49.95513 Schwarz criterion 2.833888
Log likelihood -74.52049 Hannan-Quinn criter. 2.811260
Durbin-Watson stat 2.024500

Conclusion: Cointegration exists

ARDL Bounds Testing

ARDL Long Run Form and Bounds Test

Dependent Variable: D(UNEMP_RATE)
Selected Model: ARDL(2, 1)
Case 2: Restricted Constant and No Trend
Date: 04/11/19 Time: 13:41
Sample: 1961 2017
Included observations: 55

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C 1.428022 1.041604 1.370983 0.1765

UNEMP_RATE(-1)* -0.145981 0.083300 -1.752472 0.0858
TFR(-1) 0.090685 0.185389 0.489158 0.6269
D(UNEMP_RATE(-1)) -0.182320 0.139465 -1.307278 0.1971
D(TFR) 10.58113 9.360633 1.130386 0.2637

* p-value incompatible with t-Bounds distribution.

Levels Equation
Case 2: Restricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

TFR 0.621207 1.327866 0.467823 0.6419

C 9.782228 3.760183 2.601530 0.0122

EC = UNEMP_RATE - (0.6212*TFR + 9.7822 )

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

Asymptotic:
n=1000
F-statistic 1.125162 10% 3.02 3.51
k 1 5% 3.62 4.16
2.5% 4.18 4.79
1% 4.94 5.58

Finite Sample:
Actual Sample Size 55 n=55
10% 3.143 3.67
5% 3.79 4.393
1% 5.377 6.047

Conclusion: No cointegration