Table 5 Autoregressive distributed lag and error correction models results using PCA-based IQI dependent variable: D (Primary balance-to-GDP ratio).
From: Do institutions matter in the fiscal reaction function? The case of Egypt
Model (1) | Model (2) | Model (3) | Model (4) | |
|---|---|---|---|---|
Selected Model | ARDL (2, 2, 1, 1, 2, 1, 0, 2) | ARDL (2, 1, 2, 0, 2, 0, 0) | ARDL (2, 1, 0, 0, 2, 1, 1, 1) | ARDL (2, 0, 2, 1, 2, 2, 1, 1) |
ECTt-1 | −0.294**(−3.56) | −0.244*(−2.62) | −0.221**(−3.45) | -0.218*(−2.58) |
Long Run Coef. | ||||
Debt | 0.00438(1.84) | 0.0103(1.94) | 0.00283(0.98) | 0.00306(0.88) |
RIR | 0.0160*(2.65) | −0.00512(−0.86) | −0.00211(−0.73) | −0.00543(−0.84) |
EX | −0.00556(-0.95) | −0.00927(−0.94) | 0.00352(0.53) | 0.00470(0.69) |
CA | −0.00664(−1.46) | −0.0150(−1.57) | −0.00657(−0.92) | −0.00543(−0.82) |
OG | 1.640*(2.33) | 2.484(1.93) | 0.0228(0.02) | −0.554(-0.65) |
IQI | −0.0117(−0.62) | −0.0213(-0.77) | −0.184(-2.00) | −0.163(-1.85) |
Debt_IQI | 0.00224(2.09) | 0.00210*(2.24) | ||
Short Run Coef. | ||||
D(P(-1) | −0.480**(−3.53) | −0.222(−1.50) | −0.230(−1.93) | −0.317*(−2.24) |
D(DebT) | −0.00165***(−4.58) | −0.00205***(−4.94) | −0.000379(−0.64) | |
D(Debt(-1)) | 0.00101**(3.48) | |||
D(EX) | 0.00965*(2.72) | −0.00221(−1.41) | ||
D(EX(−1)) | −0.00496*(−2.44) | |||
D(OG) | 0.685***(4.49) | 0.552*(2.26) | ||
D(OG(−1)) | 0.318(1.60) | |||
D(RIR) | −0.0107**(−3.45) | 0.000978(1.26) | 0.000134(0.15) | |
D(RIR(−1) | 0.00105(1.99) | 0.000512(1.00) | ||
D(CA) | −0.00400*(−2.31) | −0.000408(-0.20) | −0.00104(−0.60) | −0.00107(−0.57) |
D(CA(−1)) | 0.00291(1.85) | 0.00354*(2.65) | 0.00385*(2.83) | |
D(IQI) | 0.00610(1.13) | 0.0492***(4.30) | 0.0611***(6.32) | |
D(Debt_IQI) | −0.000652***(−4.61) | −0.000814***(−6.87) | ||
Constant | −0.179**(−4.03) | −0.198***(−4.75) | −0.0642(−1.36) | −0.0643(−1.80) |
N | 33 | 33 | 33 | 33 |
R-sq | 0.9445 | 0.8746 | 0.9371 | 0.9566 |
adj. R-sq | 0.8730 | 0.7888 | 0.8816 | 0.9007 |
