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Appendix I Data for Estimation of Model
YEAR RGDP Mcap Vts Nd INF
1981 251052281126.14 5000000000.00 304800000.00 10199.00 17.40 1982 246726570981.95 5000000000.00 215000000.00 10014.00 6.94 1983 230380796965.74 5700000000.00 397900000.00 11925.00 38.77 1984 227254734615.40 5500000000.00 256500000.00 17444.00 22.63 1985 253013272082.00 6600000000.00 316600000.00 23571.00 1.03 1986 257784446218.43 6800000000.00 497900000.00 27718.00 13.67 1987 255996961702.35 8200000000.00 382400000.00 20525.00 9.69 1988 275409553272.45 10000000000.00 850300000.00 21560.00 61.21 1989 295090803624.19 12800000000.00 610300000.00 33444.00 44.67 1990 328606060000.00 16300000000.00 225400000.00 39270.00 3.61 1991 328644539219.23 23100000000.00 242100000.00 41770.00 22.96 1992 337288639325.25 31200000000.00 491700000.00 49029.00 48.80 1993 342540470038.62 47500000000.00 804400000.00 40398.00 61.26 1994 345228463190.36 66300000000.00 985900000.00 42074.00 76.76 1995 352646224297.32 180400000000.00 1838800000.00 49564.00 51.59 1996 367218093625.92 285800000000.00 6979600000.00 49515.00 14.31 1997 377830797971.08 281900000000.00 10330500000.00 78089.00 10.21 1998 388468115070.99 262600000000.00 13571100000.00 84935.00 11.91 1999 393107167443.22 300000000000.00 14072000000.00 123509.00 0.22 2000 412332008509.05 472300000000.00 28153100000.00 256523.00 14.53 2001 431783183930.08 662500000000.00 57683800000.00 426163.00 16.49 2002 451785665521.67 764900000000.00 59406700000.00 451850.00 12.17 2003 495007165294.67 1359300000000.00 120402600000.00 621717.00 23.81 2004 527576028299.16 2112500000000.00 225820000000.00 973526.00 10.01 2005 561931390000.00 2900060000000.00 262935800000.00 1021966.60 11.57 2006 595821610000.00 5120900000000.00 470253400000.00 1367954.00 8.55 2007 634251141997.20 13181690000000.00 1076020400000.00 2615020.00 6.56 2008 672202554124.37 9562970000000.00 1679143700000.00 3535631.00 15.06 2009 718977334998.52 7030840000000.00 685717288230.92 1739365.00 13.93 2010 776332214057.54 9918210000000.00 799910950000.00 1925314.00 11.82 2011 834000832150.25 10275344760000.00 638925700000.00 1235467.00 10.28 2012 888892998801.08 14800944397021.40 808991419931.50 1147174.00 11.98 2013 950114031780.19 19077418186462.90 2350875700000.00 3224639.00 7.96 2014 1009211124556.92 16875102701009.10 1334783130000.00 1211269.00 7.98
Source: CBN Statistical bulletin 2014 (soft copy)
APPENDIX TWO Regression results
Unit Root test
Null Hypothesis: RGDP has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 2.563420 1.0000 Test critical
values: 1% level -4.262735
5% level -3.552973
10% level -3.209642
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(RGDP) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.555607 0.0518 Test critical
values: 1% level -4.273277
5% level -3.557759
10% level -3.212361
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: MCAP has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.335766 0.8609 Test critical
values: 1% level -4.262735
5% level -3.552973
10% level -3.209642
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(MCAP) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.443503 0.0007 Test critical
values: 1% level -4.309824
5% level -3.574244
10% level -3.221728
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: VTS has a unit root Exogenous: Constant, Linear Trend
Lag Length: 8 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 0.903500 0.9996 Test critical
values: 1% level -4.374307
5% level -3.603202
10% level -3.238054
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(VTS) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 7 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.388876 0.0000 Test critical
values: 1% level -4.374307
5% level -3.603202
10% level -3.238054
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: ND has a unit root Exogenous: Constant, Linear Trend
Lag Length: 7 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.553837 0.0000 Test critical
values: 1% level -4.356068
5% level -3.595026
10% level -3.233456
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(ND) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 7 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.510383 0.0074 Test critical
values: 1% level -4.374307
5% level -3.603202
10% level -3.238054
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: INF has a unit root Exogenous: Constant, Linear Trend
Lag Length: 6 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.010816 0.1477
Test critical
values: 1% level -4.339330
5% level -3.587527
10% level -3.229230
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(INF) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic - based on SIC, maxlag=8)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.345808 0.0008 Test critical
values: 1% level -4.309824
5% level -3.574244
10% level -3.221728
*MacKinnon (1996) one-sided p-values.
ECM
Dependent Variable: D(RGDP) Method: Least Squares Date: 10/23/15 Time: 14:24 Sample (adjusted): 1983 2014
Included observations: 32 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(MCAP) 0.002196 0.001392 1.577214 0.1268 D(VTS) 0.066464 0.033536 1.981877 0.0582 D(ND) -43399.17 20933.02 -2.073239 0.0482 D(RGDP(-1)) 0.690288 0.134907 5.116785 0.0000 RES1(-1) -5.88E+10 2.92E+10 -2.013862 0.0545
C 5.78E+09 3.25E+09 1.781437 0.0865
R-squared 0.742263 Mean dependent var 2.38E+10 Adjusted R-squared 0.692699 S.D. dependent var 2.10E+10 S.E. of regression 1.16E+10 Akaike info criterion 49.36224 Sum squared resid 3.53E+21 Schwarz criterion 49.63706 Log likelihood -783.7958 Hannan-Quinn criter. 49.45334 F-statistic 14.97564 Durbin-Watson stat 2.263235 Prob(F-statistic) 0.000001