Macroeconomic Factors and Equity Prices - Pakistan Institute of ...

Table 2(a)
Statistics for Selecting the Lag Order
AIC SBC LL
Lag 1 127.2179 114.6742 136.2179
Lag 2 125.6181 113.1121* 134.6181
Lag 3 128.7087 113.4699 139.7087
Table2 (b)
Diagnostic Tests
Item Test Applied CHSQ(χ 2 ) Prob
Serial Correlation Lagrange Multiplier Test 18.74 0.095
Normality Test of Skewness and Kurtosis 2.88 0.236
Functional Form Ramsey's RESET Test 0.59 0.443
Heteroscedisticity. White Test 4.68 0.03
Above results indicate that econometric problems like autocorrelation, conflict to normal
distribution has not been observed. Similarly, no model specification error exists with reference
to Functional form. Shrestha(2005) states that presence of hetero-scedisticity does not effect the
estimates and as time series in the equation are of mixed order of integration so it is natural to detect
heteroscedisticity.
Table 3 below exhibits results of ARDL Model based on Schwarz Bayesian Criterion.
Table 3(a)
ARDL(1,0,0,0,0,0,1,0) selected based on SBC
Regressor Coefficient S. Error T Ratio Prob.
Ln INDEX(-1) 0.6068 0.0742 8.1819 0.000
Ln IPI -0.0225 0.0388 0.5783 0.564
Ln OIL 0.0481 0.0360 1.3345 0.185
Ln XRATE 0.4675 0.2239 2.0879 0.039
Ln TBILL - 0.0797 0.0176 4.5251 0.000
Ln CPI 0.2757 0.3315 0.8316 0.407
Ln FPI 0.7712 0.3376 2.2841 0.024
Ln FPI(-1) -0.7401 0.3428 -2.1589 0.033
Ln M1 0.4790 0.1037 4.6178 0.000
Table 3(b)
R 2 0.9929 Adj R 2 0.9925
AIC 125.61 SBC 113.11
F Statistics 1949
F Significance 0.000
DW Statistics 2.1000