Variable | Real oil price (Brent) | Real oil price (WTI) | ||
---|---|---|---|---|
ARDL | NARDL | ARDL | NARDL | |
d(lunempl_1) | 0.452*** | 0.429*** | 0.415*** | 0.378*** |
d(lropbtr) | 0.100** | Â | Â | Â |
d(lropbtr_pos) | Â | 0.069* | Â | Â |
d(lropbtr_neg) | Â | 0.108* | Â | Â |
d(lrwti) | Â | Â | 0.048 | Â |
d(lrwti_pos) | Â | Â | Â | 0.026 |
d(lrwti_neg) | Â | Â | Â | 0.083* |
d(lrgdp) | − 1.267*** | − 1.091** | − 0.148 | − 0.221** |
d(lcpi) | 0.065 | − 0.114 | − 0.825*** | − 0.908*** |
d(lrate) | 0.007 | 0.009 | 0.010** | 0.009** |
d(fdi) | − 0.017 | − 0.013 | 0.024** | 0.020* |
d(z) | − 1.425*** | − 1.375*** | − 0.397* | 0.200*** |
d(z(-1)) | 0.198 | Â | Â | Â |
d(zlcpi) | Â | Â | 0.132** | Â |
d(zlrate) | 0.024*** | 0.024*** | 0.009* | Â |
d(zfdi) | 0.133*** | 0.123*** | 0.029** | 0.035*** |
d(zfdi(-1)) | − 0.065*** | − 0.040*** |  |  |
ect(-1) | − 0.100*** | − 0.118*** | − 0.082*** | − 0.138*** |
c | 23.454 | 52.532** | 57.642 | 136.880* |
lropbtr | 0.093 | Â | Â | Â |
lropbtr_pos | Â | 0.584* | Â | Â |
lropbtr_neg |  | − 0.011 |  |  |
lrwti |  |  | − 0.197 |  |
lrwti_pos | Â | Â | Â | 0.514 |
lrwti_neg |  |  |  | − 0.988* |
lrgdp | − 0.647 | − 1.636** | − 1.803 | − 4.398* |
lcpi | 1.333*** | 0.567 | 0.525 | 0.235 |
lrate | − 0.147*** | − 0.112*** | − 0.047 | − 0.089* |
fdi | − 0.173 | − 0.112 | − 0.125 | − 0.240 |
z | − 7.916*** | − 5.735*** | − 8.681*** | − 2.745 |
zlcpi | Â | Â | 1.602** | Â |
zlrate | 0.250*** | 0.206*** | 0.114* | Â |
zfdi | 0.297 | 0.158 | 0.355* | 0.698** |
R-squared | 0.9950 | 0.9950 | 0.9961 | 0.9961 |
Adjusted R-squared | 0.9944 | 0.9944 | 0.9956 | 0.9957 |
F-statistic | 1543.155 (0.0000) | 1547.594 (0.0000) | 2069.358 (0.0000) | 2227.723 (0.0000) |
Durbin–Watson stat | 2.110 | 2.028 | 1.895 | 1.820 |
ARDL bounds test | 3.064* | 3.630** | 3.489** | 3.804** |
Diagnostic tests | ||||
Jarque–Bera | 114.176 (0.0000) | 133.367 (0.000) | 162.823 (0.0000) | 216.905 (0.0000) |
B–G serial corr. LM test | 0.670 (0.5136) | 0.849 (0.4299) | 0.776 (0.3802) | 2.463 (0.1190) |
ARCH LM test | 1.1092 (0.2939) | 0.623 (0.4311) | 1.488 (0.2294) | 1.532 (0.2198) |
Ramsey RESET test | 0.1402 (0.8887) | 0.790 (0.3758) | 0.059 (0.9531) | 0.004 (0.9970) |
CUSUM test | Stable | Stable | Unstable | Unstable |
CUSUM square test | Unstable | Unstable | Unstable | Unstable |