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Latin American Economic Review

Table 2 Capital accumulation equations (a) IIa and (b) IIb.

From: Asymmetric real-exchange-rate effects on capital accumulation: evidence from non-linear ARDL models for Mexico

 

(2a.1)

(2a.2)

(2a.3)

(2a.4)

Manufacturing

Tradables

Non-tradables

Whole economy (tradables + non-tradables)

(a) Capital accumulation equations, IIa

Estimated coefficients

Depreciation component, RERD

0.203 (0.02)

0.182 (0.02)

− 0.054 (0.05)

0.080 (0.01)

Appreciation component, RERA

0.247 (0.00)

0.244 (0.00)

− 0.055 (0.02)

0.096 (0.00)

Production growth rate

0.756 (0.06)

1.052 (0.00)

0.638 (0.00)

0.948 (0.00)

Error-correction coefficient, ρ

− 0.278 (0.00)

− 0.215 (0.00)

− 1.016 (0.00)

− 0.329 (0.00)

Diagnostics

Jarque–Bera

0.765

0.750

0.534

0.639

Breusch‒Godfrey, n = 2

0.552

0.316

0.489

0.763

ARCH

0.799

0.421

0.987

0.178

Ramsey’s RESET

0.910

0.999

0.729

0.795

Adjusted R-squared

0.938

0.947

0.866

0.954

Wald and bounds tests

Wald RERD = RERA

0.035

0.005

0.965

0.146

Bounds t statistic

− 3.87**

− 3.27#

− 4.70***

− 3.88**

Bounds F statistic

24.13***

33.42***

11.93***

36.06***

 

(2b.1)

(2b.2)

(2b.3)

(2b.4)

Manufacturing

Tradables

Non-tradables

Whole economy (tradables + non-tradables)

(b) Capital accumulation equations, IIb

Estimated coefficients

Depreciation component, RERD

0.175 (0.04)

0.230 (0.00)

− 0.034 (0.02)

0.084 (0.00)

Appreciation component, RERA

0.228 (0.00)

0.271 (0.00)

− 0.040 (0.00)

0.093 (0.00)

Production growth rate, high, QH

0.954 (0.01)

0.650 (0.00)

0.662 (0.00)

0.779 (0.00)

Production growth rate, low, QL

1.735 (0.00)

1.837 (0.00)

0.406 (0.00)

1.115 (0.00)

Error-correction coefficient, ρ

− 0.232 (0.00)

− 0.272 (0.00)

− 1.366 (0.00)

− 0.360 (0.00)

Diagnostics

Jarque–Bera

0.992

0.969

0.855

0.626

Breusch‒Godfrey, n = 2

0.878

0.719

0.299

0.593

ARCH

0.815

0.647

0.754

0.953

Ramsey’s RESET

0.750

0.599

0.912

0.484

Adjusted R-squared

0.933

0.969

0.940

0.966

Wald and bounds tests

Wald QH = QL

0.164

0.004

0.035

0.135

Wald RERD = RERA

0.045

0.019

0.192

0.310

Bounds t statistic

− 3.33#

− 4.19**

− 7.33***

− 4.82***

Bounds F statistic

23.37***

35.02***

13.96***

39.08***

  1. Dependent variable: capital accumulation rate
  2. Long-run coefficients from non-linear EC ARDL models, 1992–2015, 24 annual observations
  3. For illustrative purposes, the p values for the di coefficients from Eq. (2a) in the text are shown in parenthesis, next to the estimated coefficients
  4. For an explanation of the diagnostic and bounds tests, see Table 1
  5. All the equations include intercept and an outlier year dummy for 1995 (not shown), except column (2b.3). In addition, columns (2a.1) and (2a.2) include outlier dummies for 2009 and 2013, column (2a.3) includes an outlier dummy for 2009 and no intercept, and columns (2b.1) and (2b.2) include an outlier year dummy for 2013
  6. Due to increased number of lags in the final equation, the sample in columns (2b.2) and (2b.3) was reduced to 1993–2015
  7. All the variables are expressed in %, except RER, which is in natural logs times 100
  8. Wald tests: p values from tests applied to the di coefficients of Eq. (2a) in the main text. For the bounds F test, RERD and RERA were counted as a single regressor, corresponding to the stricter test (i.e., the test with higher critical values). For the same reason, for the t test they were counted as two separate regressors. See the discussion in Shin et al. (2014)
  9. Panel a—#Rejects the null at 10% under the condition that RERD and RERA are considered a single regressor
  10. Panel b—#Rejects the null at 10% under the condition that RERD and RERA are considered a single regressor, and the same for QH and QL
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