Hasil ardl (max lag 3.
3)
Dependent Variable: D(Y)
Method: ARDL
Date: 01/06/24 Time: 06:52
Sample (adjusted): 2004 2021
Included observations: 18 after adjustments
Maximum dependent lags: 3 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (3 lags, automatic): D(X1) D(X2) D(X3)
Fixed regressors: C
Number of models evaluated: 192
Selected Model: ARDL(2, 0, 2, 3)
Variable Coefficient Std. Error t-Statistic Prob.*
D(Y(-1)) -0.540146 0.262523 -2.057520 0.0787
D(Y(-2)) -0.543391 0.265765 -2.044629 0.0802
D(X1) 0.087299 0.029569 2.952391 0.0213
D(X2) 1.251530 1.239490 1.009714 0.3463
D(X2(-1)) 1.564996 1.274385 1.228040 0.2591
D(X2(-2)) -1.793928 1.344254 -1.334515 0.2238
D(X3) 1.067287 0.588522 1.813506 0.1126
D(X3(-1)) 0.818816 0.599073 1.366803 0.2140
D(X3(-2)) 0.254721 0.763538 0.333607 0.7484
D(X3(-3)) 2.216059 0.741158 2.989994 0.0202
C -2120.151 1376.120 -1.540673 0.1673
R-squared 0.776966 Mean dependent var 1130.178
Adjusted R-squared 0.458346 S.D. dependent var 3187.497
S.E. of regression 2345.907 Akaike info criterion 18.63649
Sum squared resid 38522947 Schwarz criterion 19.18061
Log likelihood -156.7284 Hannan-Quinn criter. 18.71152
F-statistic 2.438535 Durbin-Watson stat 2.411300
Prob(F-statistic) 0.124675
*Note: p-values and any subsequent tests do not account for model
selection.
Bound test
ARDL Long Run Form and Bounds Test
Dependent Variable: D(Y,2)
Selected Model: ARDL(2, 0, 2, 3)
Case 2: Restricted Constant and No Trend
Date: 01/06/24 Time: 06:54
Sample: 2000 2021
Included observations: 18
Conditional Error Correction Regression
Variable Coefficient Std. Error t-Statistic Prob.
C -2120.151 1376.120 -1.540673 0.1673
D(Y(-1))* -2.083537 0.455866 -4.570505 0.0026
D(X1)** 0.087299 0.029569 2.952391 0.0213
D(X2(-1)) 1.022599 1.985904 0.514928 0.6225
D(X3(-1)) 4.356883 1.456271 2.991808 0.0202
D(Y(-1),2) 0.543391 0.265765 2.044629 0.0802
D(X2,2) 1.251530 1.239490 1.009714 0.3463
D(X2(-1),2) 1.793928 1.344254 1.334515 0.2238
D(X3,2) 1.067287 0.588522 1.813506 0.1126
D(X3(-1),2) -2.470780 1.014287 -2.435977 0.0450
D(X3(-2),2) -2.216059 0.741158 -2.989994 0.0202
* p-value incompatible with t-Bounds distribution.
** Variable interpreted as Z = Z(-1) + D(Z).
Levels Equation
Case 2: Restricted Constant and No Trend
Variable Coefficient Std. Error t-Statistic Prob.
D(X1) 0.041899 0.015821 2.648403 0.0330
D(X2) 0.490799 0.910744 0.538899 0.6067
D(X3) 2.091099 0.503416 4.153818 0.0043
C -1017.573 601.3585 -1.692124 0.1345
EC = D(Y) - (0.0419*D(X1) + 0.4908*D(X2) + 2.0911*D(X3) - 1017.5730)
F-Bounds Test Null Hypothesis: No levels relationship
Test Statistic Value Signif. I(0) I(1)
Asymptotic: n=1000
F-statistic 5.657757 10% 2.37 3.2
k 3 5% 2.79 3.67
2.5% 3.15 4.08
1% 3.65 4.66
Actual Sample Size 18 Finite Sample: n=35
10% 2.618 3.532
5% 3.164 4.194
1% 4.428 5.816
Finite Sample: n=30
10% 2.676 3.586
5% 3.272 4.306
1% 4.614 5.966
