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INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS
Annexure
Variables
Augmented Dickey
Fuller Test Statistic
(At Level)
Table 1: Unit Root Test
Augmented Dickey
Fuller Test Statistic
(At First Difference)
Phillips-Perron Test
Statistic (at level)
COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 246
JANUARY 2011
VOL 2, NO 9
Phillips-Perron Test
Statistic
(at first difference)
lnFDI -0.71 -5.00* -0.73 -5.00*
lnMS 1.84 -3.84* 1.94 -3.81*
lnER -1.49 -3.86* -1.43 -3.60**
CT -0.27 -4.27* -0.31 -4.28*
Note: *and ** show significance level at 1% and 5% respectively
Table 2: F-Statistic for Testing the Existence of Long-Run Relationship
Order of Lag F-Statistics
3 6.84
Note: The lower and upper bound values 4.29 and 5.61 at 99%) for F-Statistics are taken from Table CI(iii) case III:
Unrestricted intercept and no trend given in Pesaran et al. (2001)
Table 3: Long Run Results of ARDL (3,1,1,2) Model
Dependent Variable “ln(FDI)”
Regressor Coefficient Standard Error t-Ratio p-value
Constant -123.56 29.26 -4.22 0.001
ln(MS) 5.60 1.28 4.36 0.001
ln(ER) -3.42 1.03 -3.32 0.005
CT -0.02 0.04 -0.44 0.670
Table 4: Error Correction Representation of the Selected ARDL (3,1,1,2) Model
Dependent Variable “∆ln(FDI)”
Regressor Coefficient Standard Error t-Ratio p-value
∆ ln(MS) -0.56 0.84 -0.67 0.513
∆ ln(ER) -4.77 1.28 -3.73 0.002
∆ CT -0.02 0.01 -3.37 0.004
ECM(-1) -0.64 0.16 -3.93 0.001
R 2 = 0.82 , Adj. R 2 = 0.70, F(7,17)=9.42(0.000), D.W.Statistic=1.92