Table 4 Investment equations, II.
(4.1) | (4.2) | (4.3) | (4.4) | |
|---|---|---|---|---|
Estimated coefficients | ||||
Depreciation component, RERD | 0.304 (0.00) | 0.308 (0.00) | 0.287 (0.06) | 0.336 (0.05) |
Appreciation component, RERA | 0.311 (0.00) | 0.506 (0.00) | 0.666 (0.00) | 0.564 (0.02) |
Industrial production index | 2.904 (0.00) | 1.773 (0.00) | ||
Government investment | − 0.417 (0.00) | − 0.357 (0.00) | − 0.329 (0.00) | − 0.317 (0.00) |
Nominal interest rate, NIR | − 0.464 (0.00) | − 0.566 (0.00) | − 0.593 (0.02) | − 0.596 (0.02) |
Annual inflation rate, INF | 0.298 (0.00) | 0.370 (0.00) | 0.332 (0.02) | 0.343 (0.01) |
Monetary aggregate M3 | − 0.469 (0.37) | |||
Manufacturing exports | 0.629 (0.00) | 1.062 (0.00) | 1.041 (0.00) | |
Gross domestic product | 0.752 (0.00) | 0.744 (0.00) | ||
Error-correction coefficient, ρ | − 0.801 (0.00) | − 0.675 (0.00) | − 0.421 (0.00) | − 0.439 (0.00) |
Intercept shifts | ||||
1995–2016, post-tequila crisis | − 4.04 (0.00) | − 6.85 (0.00) | − 6.90 (0.00) | − 7.79 (0.00) |
2013–2016, global slowdown | − 1.83 (0.00) | − 1.99 (0.00) | − 2.48 (0.00) | − 1.70 (0.02) |
Diagnostics | ||||
Jarque–Bera | 0.413 | 0.502 | 0.788 | 0.989 |
Breusch‒Godfrey, n = 4 | 0.364 | 0.620 | 0.187 | 0.168 |
ARCH | 0.523 | 0.448 | 0.854 | 0.752 |
Ramsey’s RESET | 0.859 | 0.928 | 0.256 | 0.195 |
Adjusted R-squared | 0.850 | 0.871 | 0.903 | 0.906 |
Wald and bounds tests | ||||
Wald RERD = RERA | 0.933 | 0.071 | 0.011 | 0.298 |
Wald NIR = − INF | 0.070 | 0.053 | 0.071 | 0.072 |
Bounds t statistic | − 8.40*** | − 7.30*** | − 5.53*** | − 5.16** |
Bounds F statistic | 16.44*** | 13.65*** | 10.69*** | 9.40*** |