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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: 826

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