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Appendices
Appendix 1. Data Used in the Estimation
Stationary Series Graphs
Original Series Graphs
Summary Statistics
| DLOG(CPI) | DLOG(EXRATE) | GBAL | DLOG(MA_CLG) | DLOG(MBASE) | |||||
| Mean | 0.030208 | 0.025029 | -225.5905 | 0.041290 | 0.033637 | ||||
| Median | 0.015873 | 0.007649 | -202.5290 | 0.026195 | 0.026617 | ||||
| Maximum | 0.192272 | 0.289432 | 779.7972 | 0.210979 | 0.192222 | ||||
| Minimum | -0.010050 | -0.031324 | -1221.000 | -0.061903 | -0.077805 | ||||
| Std. Dev. | 0.038387 | 0.051489 | 331.5991 | 0.050048 | 0.054344 | ||||
| Skewness | 2.282945 | 2.879105 | -0.307773 | 1.080060 | 0.669356 | ||||
| Kurtosis | 8.818993 | 13.67761 | 5.741517 | 4.604015 | 3.688655 | ||||
| Jarque-Bera | 150.4471 | 404.7128 | 21.71073 | 19.90719 | 6.232586 | ||||
| Probability | 0.000000 | 0.000000 | 0.000019 | 0.000048 | 0.044321 | ||||
| Sum | 1.993737 | 1.651902 | -14888.98 | 2.725140 | 2.220017 | ||||
| Sum Sq. Dev. | 0.095780 | 0.172325 | 7147269. | 0.162810 | 0.191960 | ||||
| Observations | |||||||||
| CPI | EXRATE | MBASE | MA_CLG | ||||||
| Mean | 17.87530 | 2.632824 | 6722.512 | 9857.083 | |||||
| Median | 17.69375 | 1.882672 | 6668.000 | 7017.845 | |||||
| Maximum | 30.86976 | 5.543100 | 14025.00 | 21525.84 | |||||
| Minimum | 5.095265 | 1.172000 | 1409.196 | 1445.900 | |||||
| Std. Dev. | 6.136360 | 1.323945 | 3318.025 | 6106.564 | |||||
| Skewness | -0.063575 | 1.028380 | 0.462127 | 0.564182 | |||||
| Kurtosis | 2.639760 | 2.602049 | 2.266566 | 1.915644 | |||||
| Jarque-Bera | 0.401335 | 12.06871 | 3.828470 | 6.734838 | |||||
| Probability | 0.818184 | 0.002395 | 0.147455 | 0.034479 | |||||
| Sum | 1179.770 | 173.7664 | 443685.8 | 650567.5 | |||||
| Sum Sq. Dev. | 2447.569 | 113.9340 | 7.16E+08 | 2.42E+09 | |||||
Appendix 2. Augmented Dickey-Fuller Unit Root Tests Results
*,**,*** denotes rejection of Unit Root Hypothesis at 1%,5% 10% significance level respectively
Variable ADF Test Statistic
LOG(CPI) -2.419940 10% Critical Value -3.2712
GBAL -6.046655*** 1% Critical Value -3.2778
LOG(EXRATE) -2.159280 10% Critical Value -3.1689
LOG(MBASE) -1.181760 10% Critical Value -3.1902
LOG(MA_CLG) -2.784070 10% Critical Value -2.9804
============================================================
DLOG(CPI) -4.601403 *** 1% Critical Value -4.1162
D(LOG(EXRATE)) -4.278143*** 1% Critical Value -3.5417
D(LOG(MA_CLG)) -5.590083** 5% Critical Value -3.5417
D(LOG(MBASE)) -3.149715** 5% Critical Value -2.91
Date: 2015-02-28; view: 891
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| References | | | Appendix 3. Granger Causality Tests |