"Life Cycle" Hypothesis of Saving: Aggregate ... - Arabictrader.com

Table 6.3 (continued)
Equation II. 1953–1985 Critical
Number Original # Method a 0 a 1 a 2 a 3 a 4 a 5 ADF t-stat value
II.1 10a -0.01 3.18 -2.87 1.00
R 2 = 0.85 t-value — -2.1 12.8
II.2 20 OLS -0.26 0.30 -2.38 1.00
R 2 = 0.845 t-value -10.3 13.1
II.3 40 OLS -0.13 1.52 0.14 0.14 0.74 -2.18 2.00
R 2 = 0.92 t-value -3.23 3.50 3.04 1.95 1.79
Equation III. 1978–2000 Critical
Number Original # Method a 0 a 1 a 2 a 3 a 4 a 5 ADF t-stat value
III.1 10a -0.03 4.00 -2.91 1.00
R 2 = 0.88 t-value — -4.00 25.00
III.2 20 OLS -0.06 0.16 -0.68 1.00
R 2 = 0.71 t-value -1.43 7.26
III.3 40 OLS -0.10 2.52 0.09 0.13 0.18 -3.97 2.00
R 2 = 0.97 t-value -6.22 8.80 7.90 2.23 2.81
Critical values
N: number of I(1) series for which the null of non-cointegration is being tested.
N = 1 1% -3.577736295 N = 2 1% -4.247013043 N = 3 1% -4.619791871
5% -2.925594329 5% -3.463602079 5% -3.930802647
10% -2.600478072 10% -3.134931947 10% -3.586992439
190 The Life-Cycle Hypothesis