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Table 3 Investment equations, I.

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

  (3.1) (3.2) (3.3) (3.4)
Estimated coefficients
Depreciation component, RERD 0.490 (0.07) 0.402 (0.09) 0.435 (0.06) 0.451 (0.08)
Appreciation component, RERA 1.052 (0.02) 0.968 (0.00) 0.825 (0.01) 1.151 (0.01)
Industrial production index 4.183 (0.00) 3.859 (0.00) 3.501 (0.00) 3.797 (0.00)
Government investment − 0.463 (0.00) − 0.449 (0.00) − 0.450 (0.00) − 0.452 (0.00)
Nominal interest rate, NIR   − 1.460 (0.00) − 1.701 (0.00) − 1.623 (0.00)
Annual inflation rate, INF   0.807 (0.00) 1.007 (0.00) 0.929 (0.00)
Monetary aggregate M3    − 0.443 (0.09)  
Manufacturing exports     0.126 (0.74)
Error-correction coefficient, ρ − 0.272 (0.00) − 0.346 (0.00) − 0.368 (0.00) − 0.321 (0.00)
Diagnostics
Jarque–Bera 0.537 0.354 0.413 0.465
Breusch‒Godfrey, n = 4 0.012** 0.159 0.582 0.258
ARCH 0.212 0.317 0.956 0.555
Ramsey’s RESET 0.274 0.507 0.214 0.319
Adjusted R-squared 0.746 0.796 0.838 0.814
Wald and bounds tests
Wald RERD = RERA 0.016 0.002 0.030 0.009
Wald NIR = − INF   0.005 0.001 0.007
Bounds t statistic − 3.33 − 3.99 − 4.38* − 2.97
Bounds F statistic 6.95*** 5.41*** 6.69*** 5.59***
  1. Dependent variable: private fixed investment
  2. Long-run coefficients from non-linear EC ARDL models, 1988Q1‒2016Q3, 115 quarterly observations
  3. For illustrative purposes, the p values for the di coefficients from Eq. (3a) in the text are shown in parenthesis, next to the estimated coefficients
  4. For an explanation of the diagnostic, Wald, and bounds tests, see Tables 1 and 2
  5. All the equations include an intercept. Columns (3.2) and (3.3) include a quarterly outlier dummy for
  6. 2009Q3 and 2008Q3, respectively (not shown)
  7. All the variables are measured in natural logs times 100, except NIR and INF (in %) and M3 (% of GDP)