APPENDICES

APPENDIX 1: STUDY DATA

RGDP EXTDEBT EXR INFL

2002 10.34381 3.876553 4.792298 1.889850

2003 10.41471 3.696400 4.861535 1.936335
2004 10.50319 3.744232 4.889507 2.937767
2005 10.56558 3.561540 4.877289 2.555410
2006 10.62441 2.883559 4.857108 2.641325
2007 10.68824 1.722770 4.834758 2.707919
2008 10.75370 1.770177 4.775475 2.882759
2009 10.83100 1.625477 5.003141 2.107205
2010 10.92359 1.928707 5.012617 1.684176
2011 10.97130 1.705234 5.036059 2.449372
2012 11.01321 1.703111 5.059425 2.530116
2013 11.06574 1.599552 5.058229 2.618869
2014 11.12693 1.622108 5.066087 2.383246
2015 11.15311 1.689665 5.259786 2.502892
2016 11.13681 1.922543 5.535332 2.137218
2017 11.14484 2.199528 5.722899 2.087222
2018 11.16388 2.531167 5.723859 2.198267
2019 11.18573 2.660714 5.726590 2.752089
2020 11.16762 2.628423 5.882795 2.804786
2021 11.17588 2.829190 5.994340 2.492770
2022 11.15646 2.889396 6.054390 2.433332

APPENDIX 2: DESCRIPTIVE STATISTICS

Date: 05/07/24
Time: 13:28
Sample: 2002 2022

RGDP EXTDEBT EXR INFL

Mean 10.90999 2.418574 5.239215 1.415854

Median 11.01321 2.199528 5.058229 2.492770
Maximum 11.18573 3.876553 6.054390 2.937767
Minimum 10.34381 1.599552 4.775475 1.684176
Std. Dev. 0.282957 0.789585 0.436297 0.342841
Skewness -0.694599 0.601371 0.680119 -0.449386
Kurtosis 2.041160 1.984531 1.897197 2.335588

Jarque-Bera 2.493091 2.168047 2.683118 1.093081

Probability 0.287496 0.338232 0.261438 0.578949

Sum 229.1098 50.79005 110.0235 50.73292

Sum Sq. Dev. 1.601299 12.46889 3.807106 2.350803

Observations 21 21 21 21

1
APPENDIX 3: UNIT ROOT TEST

Null Hypothesis: D(RGDP) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.574882 0.0118

Test critical values: 1% level -4.667883
5% level -3.733200
10% level -3.310349

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RGDP,2)
Method: Least Squares
Date: 05/07/24 Time: 13:24
Sample (adjusted): 2007 2022
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(RGDP(-1),2) -2.706378 0.591573 -4.574882 0.0008

D(RGDP(-1),3) 1.129081 0.411720 2.742349 0.0192
D(RGDP(-2),3) 0.604056 0.290497 2.079388 0.0618
C 0.002925 0.015387 0.190078 0.8527
@TREND("2002") -0.001209 0.001165 -1.038163 0.3215

R-squared 0.767172 Mean dependent var -0.001507

Adjusted R-squared 0.682508 S.D. dependent var 0.037771
S.E. of regression 0.021282 Akaike info criterion -4.611563
Sum squared resid 0.004982 Schwarz criterion -4.370129
Log likelihood 41.89251 Hannan-Quinn criter. -4.599200
F-statistic 9.061307 Durbin-Watson stat 1.936355
Prob(F-statistic) 0.001723

2
Null Hypothesis: EXTDEBT has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 4 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.103301 0.0047

Test critical values: 1% level -4.667883
5% level -3.733200
10% level -3.310349

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(EXTDEBT)
Method: Least Squares
Date: 05/07/24 Time: 13:25
Sample (adjusted): 2007 2022
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

EXTDEBT(-1) -0.520242 0.101942 -5.103301 0.0006

D(EXTDEBT(-1)) -0.373033 0.188999 -1.973726 0.0799
D(EXTDEBT(-2)) -0.060288 0.132670 -0.454423 0.6603
D(EXTDEBT(-3)) -0.364732 0.133707 -2.727836 0.0233
D(EXTDEBT(-4)) -0.258979 0.171644 -1.508812 0.1656
C -0.408586 0.323469 -1.263138 0.2383
@TREND("2002") 0.113280 0.021888 5.175476 0.0006

R-squared 0.887898 Mean dependent var 0.000365

Adjusted R-squared 0.813163 S.D. dependent var 0.349380
S.E. of regression 0.151018 Akaike info criterion -0.643194
Sum squared resid 0.205259 Schwarz criterion -0.305186
Log likelihood 12.14555 Hannan-Quinn criter. -0.625885
F-statistic 11.88065 Durbin-Watson stat 1.186885
Prob(F-statistic) 0.000780

Null Hypothesis: D(EXR) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.082699 0.0452

Test critical values: 1% level -3.831511
5% level -3.029970
10% level -2.655194

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 19

Augmented Dickey-Fuller Test Equation

3
Dependent Variable: D(EXR,2)
Method: Least Squares
Date: 05/07/24 Time: 13:26
Sample (adjusted): 2004 2022
Included observations: 19 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(EXR(-1)) -0.717042 0.232602 -3.082699 0.0068

C 0.044880 0.026612 1.686473 0.1100

R-squared 0.358564 Mean dependent var -0.000483

Adjusted R-squared 0.320833 S.D. dependent var 0.117278
S.E. of regression 0.096651 Akaike info criterion -1.736129
Sum squared resid 0.158803 Schwarz criterion -1.636715
Log likelihood 18.49323 Hannan-Quinn criter. -1.719304
F-statistic 9.503036 Durbin-Watson stat 1.860321
Prob(F-statistic) 0.006750

Null Hypothesis: INFL has a unit root

Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=4)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.888526 0.0106

Test critical values: 1% level -3.920350
5% level -3.065585
10% level -2.673459

*MacKinnon (1996) one-sided p-values.

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 16

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(INFL)
Method: Least Squares
Date: 05/07/24 Time: 13:26
Sample (adjusted): 2007 2022
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

INFL(-1) -2.021062 0.519750 -3.888526 0.0030

D(INFL(-1)) 1.343902 0.419270 3.205341 0.0094
D(INFL(-2)) 0.784434 0.365636 2.145396 0.0575
D(INFL(-3)) 0.531600 0.254196 2.091301 0.0630
D(INFL(-4)) 0.530075 0.200895 2.638570 0.0248
C 4.885302 1.259326 3.879298 0.0031

R-squared 0.710777 Mean dependent var -0.013000

Adjusted R-squared 0.566166 S.D. dependent var 0.368911
S.E. of regression 0.242987 Akaike info criterion 0.288377
Sum squared resid 0.590426 Schwarz criterion 0.578098
Log likelihood 3.692980 Hannan-Quinn criter. 0.303214
F-statistic 4.915091 Durbin-Watson stat 2.303643

4
APPENDIX 4: ARDL LONG RUN AND BOUND TEST RESULT

ARDL Long Run Form and Bounds Test

Dependent Variable: D(RGDP)
Selected Model: ARDL(3, 3, 3, 3)
Case 2: Restricted Constant and No Trend
Date: 05/07/24 Time: 13:33
Sample: 2002 2022
Included observations: 18

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C 5.273100 2.753513 1.915044 0.1956

RGDP(-1)* -0.476793 0.314232 -1.517331 0.2685
EXTDEBT(-1) -0.082453 0.082646 -0.997667 0.4235
EXR(-1) -0.080815 0.089998 -0.897957 0.4640
INFL(-1) 0.304307 0.254972 1.193490 0.3551
D(RGDP(-1)) -1.540607 0.638804 -2.411704 0.1374
D(RGDP(-2)) -0.451025 0.296688 -1.520199 0.2678
D(EXTDEBT) 0.066985 0.033710 1.987078 0.1853
D(EXTDEBT(-1)) 0.233510 0.114524 2.038955 0.1783
D(EXTDEBT(-2)) 0.063520 0.075192 0.844765 0.4872
D(EXR) -0.294191 0.110698 -2.657610 0.1172
D(EXR(-1)) 0.034293 0.144539 0.237261 0.8345
D(EXR(-2)) -0.364297 0.184335 -1.976273 0.1868
D(INFL) 0.157787 0.117659 1.341057 0.3119
D(INFL(-1)) -0.127183 0.076244 -1.668104 0.2372
D(INFL(-2)) -0.101586 0.050386 -2.016142 0.1813

* p-value incompatible with t-Bounds distribution.

Levels Equation
Case 2: Restricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

EXTDEBT -0.172932 0.066829 -2.587686 0.0025

EXR -0.169496 0.274451 -0.617583 0.0098
INFL 0.138236 0.195605 3.262882 0.0825
C 11.05950 1.688063 6.551594 0.0225

EC = RGDP - (-0.1729*EXTDEBT -0.1695*EXR + 0.6382*INFL + 11.0595 )

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

Asymptotic:
n=1000
F-statistic 5.108366 10% 2.37 3.2
k 3 5% 2.79 3.67
2.5% 3.15 4.08
1% 3.65 4.66

Finite Sample:
Actual Sample Size 18 n=35

5
 10% 2.618 3.532
5% 3.164 4.194
1% 4.428 5.816

Finite Sample:
n=30
10% 2.676 3.586
5% 3.272 4.306
1% 4.614 5.966

APPENDIX 5: ARDL ECM SHORT RUN RESULT

ARDL Error Correction Regression

Dependent Variable: D(RGDP)
Selected Model: ARDL(3, 3, 3, 3)
Case 2: Restricted Constant and No Trend
Date: 05/07/24 Time: 13:35
Sample: 2002 2022
Included observations: 18

ECM Regression
Case 2: Restricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

D(RGDP(-1)) -1.540607 0.237388 -6.489813 0.0229

D(RGDP(-2)) -0.451025 0.145343 -3.103174 0.0900
D(EXTDEBT) 0.066985 0.009166 7.307783 0.0182
D(EXTDEBT(-1)) 0.233510 0.029175 8.003783 0.0153
D(EXTDEBT(-2)) 0.063520 0.012682 5.008711 0.0376
D(EXR) -0.294191 0.027725 -10.61114 0.0088
D(EXR(-1)) 0.034293 0.043369 0.790736 0.0120
D(EXR(-2)) -0.364297 0.064630 -5.636655 0.0301
D(INFL) 0.157787 0.025256 6.247495 0.0247
D(INFL(-1)) -0.127183 0.014040 -9.058812 0.0120
D(INFL(-2)) -0.101586 0.013072 -7.771351 0.0162
CointEq(-1)* -0.476793 0.054468 -8.753599 0.0128

R-squared 0.987425 Mean dependent var 0.036293

Adjusted R-squared 0.964371 S.D. dependent var 0.034057
S.E. of regression 0.006428 Akaike info criterion -7.021454
Sum squared resid 0.000248 Schwarz criterion -6.427873
Log likelihood 75.19309 Hannan-Quinn criter. -6.939607
Durbin-Watson stat 1.561620

* p-value incompatible with t-Bounds distribution.

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

F-statistic 5.108366 10% 2.37 3.2

K 3 5% 2.79 3.67
2.5% 3.15 4.08
1% 3.65 4.66

6
APPENDIX 6: SERIAL AUTOCORRELATION TEST

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 13.78910 Prob. F(1,1) 0.3331

Obs*R-squared 16.78289 Prob. Chi-Square(1) 0.0918

Test Equation:
Dependent Variable: RESID
Method: ARDL
Date: 05/07/24 Time: 13:39
Sample: 2005 2022
Included observations: 18
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

RGDP(-1) 0.568622 0.311146 1.827509 0.3187

RGDP(-2) 0.287438 0.235970 1.218110 0.4376
RGDP(-3) -0.268811 0.130936 -2.052999 0.2886
EXTDEBT 0.007332 0.012553 0.584121 0.6634
EXTDEBT(-1) -0.021549 0.017081 -1.261536 0.4267
EXTDEBT(-2) 0.026225 0.026760 0.980021 0.5064
EXTDEBT(-3) 0.139651 0.046679 2.991726 0.2054
EXR -0.134440 0.054479 -2.467760 0.2451
EXR(-1) -0.147417 0.081413 -1.810733 0.3212
EXR(-2) 0.040501 0.085529 0.473538 0.7185
EXR(-3) 0.127112 0.075940 1.673836 0.3428
INFL -0.179306 0.064836 -2.765525 0.2209
INFL(-1) -0.116353 0.041920 -2.775600 0.2201
INFL(-2) -0.059638 0.020936 -2.848562 0.2149
INFL(-3) -0.046955 0.022433 -2.093143 0.2837
C -5.193033 1.726571 -3.007716 0.2043
RESID(-1) -1.848001 0.497662 -3.713368 0.1675

R-squared 0.932383 Mean dependent var -2.02E-15

Adjusted R-squared -0.149495 S.D. dependent var 0.003819
S.E. of regression 0.004095 Akaike info criterion -9.159789
Sum squared resid 1.68E-05 Schwarz criterion -8.318882
Log likelihood 99.43810 Hannan-Quinn criter. -9.043839
F-statistic 0.861819 Durbin-Watson stat 2.975810
Prob(F-statistic) 0.702630

APPENDIX 7: HETEROSCEASTICITY TEST

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 1.163678 Prob. F(15,2) 0.5567

Obs*R-squared 16.14959 Prob. Chi-Square(15) 0.4315
Scaled explained SS 0.212411 Prob. Chi-Square(15) 1.3377

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares

7
Date: 05/07/24 Time: 13:40
Sample: 2005 2022
Included observations: 18

Variable Coefficient Std. Error t-Statistic Prob.

C -0.009234 0.004783 -1.930570 0.1933

RGDP(-1) -0.000650 0.001279 -0.507802 0.6621
RGDP(-2) 0.001712 0.001053 1.625819 0.2455
RGDP(-3) 7.59E-05 0.000515 0.147194 0.8965
EXTDEBT 0.000120 5.86E-05 2.053467 0.1764
EXTDEBT(-1) 2.31E-05 7.59E-05 0.305048 0.7891
EXTDEBT(-2) -7.04E-05 0.000122 -0.577034 0.6222
EXTDEBT(-3) 0.000266 0.000131 2.038016 0.1784
EXR -0.000333 0.000192 -1.732933 0.2252
EXR(-1) -0.000362 0.000336 -1.076964 0.3941
EXR(-2) -0.000440 0.000401 -1.098524 0.3866
EXR(-3) 0.000689 0.000320 2.152509 0.1642
INFL -0.000204 0.000204 -0.996376 0.4240
INFL(-1) -0.000293 0.000132 -2.224149 0.1561
INFL(-2) -0.000126 6.34E-05 -1.982646 0.1859
INFL(-3) 7.75E-06 8.75E-05 0.088494 0.9375

R-squared 0.897200 Mean dependent var 1.38E-05

Adjusted R-squared 0.126197 S.D. dependent var 2.07E-05
S.E. of regression 1.93E-05 Akaike info criterion -19.28817
Sum squared resid 7.48E-10 Schwarz criterion -18.49673
Log likelihood 189.5936 Hannan-Quinn criter. -19.17904
F-statistic 1.163678 Durbin-Watson stat 2.951949
Prob(F-statistic) 0.556730

APPENDIX 8: GRANGER CAUSALITY TEST

Pairwise Granger Causality Tests

Date: 05/07/24 Time: 13:29
Sample: 2002 2022
Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

EXTDEBT does not Granger Cause RGDP 19 4.58813 0.0293

RGDP does not Granger Cause EXTDEBT 0.87894 0.4369

EXR does not Granger Cause RGDP 19 1.31333 0.3001

RGDP does not Granger Cause EXR 2.19105 0.1486

INFL does not Granger Cause RGDP 19 0.66958 0.5276

RGDP does not Granger Cause INFL 0.71919 0.5043

EXR does not Granger Cause EXTDEBT 19 3.39381 0.0628

EXTDEBT does not Granger Cause EXR 1.78871 0.2033

INFL does not Granger Cause EXTDEBT 19 0.15849 0.8549

EXTDEBT does not Granger Cause INFL 4.48380 0.0313

INFL does not Granger Cause EXR 19 0.46845 0.6354

EXR does not Granger Cause INFL 5.15683 0.0210