Table 5 Estimation results of error correction model
Variables | Brazil | China | Poland | Turkey | ||||
|---|---|---|---|---|---|---|---|---|
Model 1 (4,0,4,4,4) | Model 2 (3,2,0,0,4,2) | Model 1 (4,4,3,2,0) | Model 2 (2,4,3,4,4,4) | Model 1 (3,0,1,0,0) | Model 2 (3,3,4,2,4,3) | Model 1 (2,4,0,4,1) | Model 2 (2,4,3,4,4,4) | |
D (lnfdi(-1)) | 1.00*** (0.26) | 0.35** (0.14) | − 0.23** (0.10) | − 0.19 (0.11) | 0.14 (0.17) | 0.25 (0.18) | 0.43*** (0.12) | 0.44*** (0.11) |
D (lnfdi(-2)) | 0.81*** (0.19) | 0.18 (0.11) | − 0.26** (0.10) | 0.30** (0.11) | 0.39*** (0.12) | |||
D (lnfdi(-3)) | 0.45*** (0.13) | − 0.37*** (0.09) | ||||||
D (lnstockp) | 8.60*** (2.05) | − 4.02*** (1.15) | − 2.58** (1.04) | 5.47* (3.12) | 6.39*** (0.95) | 6.95*** (0.96) | ||
D (lnstockp(-1)) | − 6.87*** (2.04) | − 5.17*** (1.19) | − 7.72*** (1.40) | 14.02*** (3.28) | 1.74* (0.88) | 1.92** (0.86) | ||
D (lnstockp-2)) | − 5.82*** (1.13) | − 5.89*** (1.30) | 10.18*** (3.23) | 3.14*** (0.80) | 2.89*** (0.81) | |||
D (lnstockp-3)) | − 5.45*** (1.06) | − 4.27*** (1.07) | 2.30*** (0.71) | 2.97*** (0.73) | ||||
D (lni) | 0.38 (1.21) | − 2.26*** (0.48) | − 1.72*** (0.52) | 0.31 (1.14) | 2.50 (1.65) | |||
D (lni(-1)) | − 1.27 (1.23) | 1.76*** (0.57) | 1.27** (0.57) | 1.60 (1.85) | ||||
D (lni(-2)) | 1.47 (1.21) | 1.03* (0.53) | 1.60*** (0.56) | 0.90 (1.55) | ||||
D (lni(-3)) | 2.23** (1.03) | 3.76 (1.99) | ||||||
D (lngdp) | 7.54*** (1.23) | 3.36 (3.26) | 1.92*** (0.56) | |||||
D (lngdp(-1)) | 6.44*** (1.46) | 11.75*** (3.19) | ||||||
D (lngdp(-2)) | 4.53*** (1.23) | |||||||
D (lngdp(-3)) | 8.15*** (1.08) | |||||||
D (D1) | 5.69*** (1.14) | 4.45*** (0.95) | − 1.67*** (0.56) | − 2.00*** (0.50) | 6.17*** (1.59) | 1.72*** (0.42) | 1.91*** (0.40) | |
D (D1(-1)) | − 1.69*** (0.72) | − 3.29*** (0.87) | − 1.51*** (0.55) | − 1.11** (0.45) | 2.01 (1.28) | − 0.15 (0.32) | − 0.03 (0.31) | |
D (D1(-2)) | − 3.73*** (0.86) | − 4.04*** (0.84) | 0.30 (0.39) | − 0.40 (1.19) | − 1.33*** (0.36) | − 1.34*** (0.34) | ||
D (D1(-3)) | − 3.25*** (0.98) | − 2.12** (0.81) | 0.89** (0.38) | − 5.12*** (1.08) | − 1.23*** (0.36) | − 1.34*** (0.34) | ||
D (D2) | 4.42*** (1.27) | 0.93 (1.05) | − 0.00 (0.52) | − 0.02 (1.58) | 0.89** (0.39) | 1.24*** (0.38) | ||
D (D2(-1)) | − 2.45* (1.31) | − 6.17*** (1.12) | − 0.24 (0.66) | 7.37*** (2.23) | 1.00** (0.39) | |||
D (D2(-2)) | − 0.48 (1.35) | 0.39 (0.66) | 3.96* (2.03) | 0.94** (0.41) | ||||
D (D2(-3)) | 3.20** (1.40) | 2.11*** (0.60) | 1.00** (0.40) | |||||
ECT (-1) | − 1.83*** (0.27) | − 1.64*** (0.21) | − 0.57*** (0.09) | − 0.73*** (0.11) | − 1.33*** (0.20) | − 1.52*** (0.22) | − 0.68*** (0.12) | − 1.24*** (0.14) |