Professional Documents
Culture Documents
reg dfdi fdi_lag1 predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals, no lags are used in the A ugmented Dickey-Fuller test dfuller fdi, trend lags(0) ** Since p-value is 0.9962 > 10%, we fail to reject the possibility of nonstatio narity of this series scatter dfdi time gen ddfdi = dfdi - dfdi[_n-1] gen dfdi_lag1 = dfdi[_n-1] reg ddfdi dfdi_lag1 time predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals, no lags are used in the A ugmented Dickey-Fuller test dfuller dfdi, trend lags(0) ** Since p-value is 0.3030 > 10%, we fail to reject the possibility of nonstatio narity of this series scatter ddfdi time gen dddfdi = ddfdi - ddfdi[_n-1] gen ddfdi_lag1 = ddfdi[_n-1] reg dddfdi ddfdi_lag1, noconstant predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals, no lags are used in the A ugmented Dickey-Fuller test dfuller ddfdi, noconstant lags(0) ** Since test stat is -3.276 < -1.600, we reject the possibility of nonstationar ity of this series ** Stationarity of exchange rate volitility scatter ervol time gen dervol = ervol - ervol[_n-1] gen ervol_lag1 = ervol[_n-1] reg dervol ervol_lag1 predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals, no lags are used in the A ugmented Dickey-Fuller test dfuller ervol, drift lags(0) ** Since p-value is 0.0011 < 10%, we reject the possibility of nonstationarity o f this series
** Stationarity of inflation scatter inflation time gen dinflation = inflation - inflation[_n-1] gen inflation_lag1 = inflation[_n-1] reg dinflation inflation_lag1 predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals, no lags are used in the A ugmented Dickey-Fuller test dfuller inflation, drift lags(0) ** Since p-value is 0.1478 > 10%, we fail to reject the possibility of nonstatio narity of this series scatter dinflation time gen ddinflation = dinflation - dinflation[_n-1] gen dinflation_lag1 = dinflation[_n-1] reg ddinflation dinflation_lag1, noconstant predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals, no lags are used in the A ugmented Dickey-Fuller test dfuller dinflation, noconstant lags(0) ** Since test stat is -3.020 < -1.600, we reject the possibility of nonstationar ity of this series ** Stationarity of exchange rate scatter exchangerate time gen dex = exchangerate - exchangerate[_n-1] gen ex_lag1 = exchangerate[_n-1] reg dex ex_lag1 time predict e, residuals ac e drop e ** There is autocorrelation, so we increase lags of dependent variable on right hand side gen dex_lag1 = dex[_n-1] reg dex ex_lag1 dex_lag* time predict e, residuals ac e drop e ** There is autocorrelation, so we increase lags of dependent variable on right hand side gen dex_lag2 = dex[_n-2] reg dex ex_lag1 dex_lag* time predict e, residuals ac e drop e ** There is autocorrelation, so we increase lags of dependent variable on right hand side gen dex_lag3 = dex[_n-3] reg dex ex_lag1 dex_lag* time predict e, residuals ac e drop e
** There is autocorrelation, so we increase lags of dependent variable on right hand side gen dex_lag4 = dex[_n-4] reg dex ex_lag1 dex_lag* time predict e, residuals ac e drop e ** There is autocorrelation, so we increase lags of dependent variable on right hand side gen dex_lag5 = dex[_n-5] reg dex ex_lag1 dex_lag* time predict e, residuals ac e drop e ** There is autocorrelation, so we increase lags of dependent variable on right hand side gen dex_lag6 = dex[_n-6] reg dex ex_lag1 dex_lag* time predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals now, 6 lags are used in th e Augmented Dickey-Fuller test dfuller exchangerate, lags(6) trend ** Since p-value is 0.7027 > 10%, we fail to reject the possibility of nonstatio narity of this series scatter dex time gen ddex = dex - dex_lag1 reg ddex dex_lag1 predict e, residuals ac e drop e ** There is autocorrelation, hand side gen ddex_lag1 = ddex[_n-1] reg ddex dex_lag1 ddex_lag* predict e, residuals ac e drop e ** There is autocorrelation, hand side gen ddex_lag2 = ddex[_n-2] reg ddex dex_lag1 ddex_lag* predict e, residuals ac e drop e ** There is autocorrelation, hand side gen ddex_lag3 = ddex[_n-3] reg ddex dex_lag1 ddex_lag* predict e, residuals ac e drop e ** There is autocorrelation, hand side gen ddex_lag4 = ddex[_n-4] reg ddex dex_lag1 ddex_lag* predict e, residuals ac e
drop e ** There is autocorrelation, so we increase lags of dependent variable on right hand side gen ddex_lag5 = ddex[_n-5] reg ddex dex_lag1 ddex_lag* predict e, residuals ac e drop e ** Since there is no autocorrelation now in the residuals, 5 lags are used in th e Augmented Dickey-Fuller test dfuller dex, drift lags(5) ** Since p-value is 0.0010 < 10%, we reject the possibility of nonstationarity o f this series ** Stationarity of GDP Growth scatter gdpgrowth time gen dgdp = gdpgrowth - gdpgrowth[_n-1] gen gdp_lag1 = gdpgrowth[_n-1] reg dgdp gdp_lag1 predict e, residuals ac e drop e ** Since there is no autocorrelation in the residuals, 0 lags are used in the Au gmented Dickey-Fuller test dfuller gdpgrowth, drift lags(0) ** Since p-value is 0.0032 < 10%, we reject the possibility of nonstationarity o f this series ** THE MODEL reg ddfdi ervol dex dex_lag1 dex_lag2 dex_lag3 dex_lag4 dex_lag5 dex_lag6 dex_la g7 estat hettest ** Hence, there is no heteroskedasticity estat ovtest ** Hence, there is no functional form misspecification estat durbinalt, robust ** Hence, there is no autocorrelation estat archlm ** Hence, there are no arch effects test dex + dex_lag1 + dex_lag2 + dex_lag3 + dex_lag4 + dex_lag5 + dex_lag6 + dex _lag7 == 0 ** This suggests that the long run multiplier is not statistically different fro m 0 test dex_lag2 + dex_lag3 + dex_lag5 + dex_lag7 == 0 ** Only using the significant coefficients shows the robustness of the above res ult ** Hence, while there are short term fluctuations in the flow of fdi due to chan ges in exchange rate, there is no long term effect.