APPENDIX
APPENDIX 1: STUDY DATA
POV COR URT RGDPCPI
1991 -0.653926 1.098612 1.380779 12.31374
1992 0.346423 1.568616 1.368894 12.33377
1993 0.340749 1.098612 1.381784 12.28765
1994 0.356275 1.098612 1.378766 12.24359
1995 0.355574 1.098612 1.372449 12.21729
1996 0.359770 1.740466 1.360464 12.23312
1997 0.379805 1.098612 1.360977 12.23684
1998 0.380489 1.098612 1.359180 12.23717
1999 0.345715 0.641854 1.361233 12.21756
2000 0.406132 1.098612 1.348592 12.24048
2001 0.419368 1.098612 1.344951 12.27146
2002 0.385262 1.098612 1.322022 12.38725
2003 0.641854 1.029619 1.338154 12.43122
2004 0.852712 1.098612 1.332102 12.49274
2005 1.026042 1.098612 1.336841 12.52820
2006 1.131402 1.098612 1.335790 12.56007
2007 0.975691 1.308333 1.332630 12.59680
2008 0.795704 1.098612 1.330253 12.63506
2009 0.531804 1.098612 1.325217 12.68509
2010 0.242162 1.098612 1.323088 12.73466
2011 -0.260067 1.098612 1.327075 12.75874
2012 -1.139434 1.098612 1.321756 12.77267
2013 0.779325 1.280934 1.308333 12.81028
2014 0.322808 1.098612 1.372195 12.84519
2015 -0.653926 1.131402 1.440072 12.84596
2016 -0.631112 1.163151 1.506075 12.80458
2017 -0.627359 0.916291 1.553714 12.78734
2018 -0.612489 1.916923 1.602010 12.78142
2019 -0.612489 1.774952 1.649812 12.77878
2020 -0.594207 1.824549 1.791593 12.73627
2021 -0.385662 1.458615 1.781036 12.74803
APPENDIX 2: DESCRIPTIVE STATISTICS
Date: 07/17/23
Time: 16:27
Sample: 1991 2021
POV COR URT RGDPCPI
Mean 0.167884 1.210669 1.407995 12.53397
Median 0.355574 1.098612 1.360464 12.56007
Maximum 1.131402 1.916923 1.791593 12.84596
Minimum -1.139434 0.641854 1.308333 12.21729
Std. Dev. 0.606031 0.280260 0.131049 0.237421
Skewness -0.440433 1.128234 1.902733 -0.115106
Kurtosis 2.114619 3.949736 5.486971 1.351450
Jarque-Bera 2.014770 7.741795 26.69435 3.578838
Probability 0.365173 0.020840 0.000002 0.167057
1
Sum 5.204391 37.53073 43.64784 388.5530
Sum Sq. Dev. 11.01819 2.356373 0.515213 1.691066
Observations 31 31 31 31
APPENDIX 3: UNIT ROOT TEST
Null Hypothesis: D(POV) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=7)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.724889 0.0001
Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(POV)
Method: Least Squares
Date: 07/17/23 Time: 17:48
Sample (adjusted): 1994 2021
Included observations: 28 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(POV(-1)) -1.603508 0.280094 -5.724889 0.0000
D(POV(-1),2) 0.319681 0.173962 1.837654 0.0780
C -0.035005 0.086943 -0.402619 0.6907
R-squared 0.652534 Mean dependent var 0.007651
Adjusted R-squared 0.624737 S.D. dependent var 0.749059
S.E. of regression 0.458864 Akaike info criterion 1.380832
Sum squared resid 5.263908 Schwarz criterion 1.523568
Log likelihood -16.33165 Hannan-Quinn criter. 1.424468
F-statistic 23.47477 Durbin-Watson stat 2.017519
Prob(F-statistic) 0.000002
Null Hypothesis: COR has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.655761 0.0104
Test critical values: 1% level -3.670170
5% level -2.963972
10% level -2.621007
2
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(COR)
Method: Least Squares
Date: 07/17/23 Time: 17:49
Sample (adjusted): 1992 2021
Included observations: 30 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
COR(-1) -0.657027 0.179724 -3.655761 0.0010
C 0.802012 0.221739 3.616921 0.0012
R-squared 0.323093 Mean dependent var 0.012000
Adjusted R-squared 0.298917 S.D. dependent var 0.325019
S.E. of regression 0.272140 Akaike info criterion 0.299342
Sum squared resid 2.073689 Schwarz criterion 0.392755
Log likelihood -2.490130 Hannan-Quinn criter. 0.329226
F-statistic 13.36459 Durbin-Watson stat 1.986026
Prob(F-statistic) 0.001049
Null Hypothesis: D(URT) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.333723 0.0000
Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(URT)
Method: Least Squares
Date: 07/17/23 Time: 17:50
Sample (adjusted): 1994 2021
Included observations: 28 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(URT(-1),2) -1.932915 0.231939 -8.333723 0.0000
C 0.004282 0.006089 0.703345 0.4881
R-squared 0.727609 Mean dependent var -0.006325
Adjusted R-squared 0.717132 S.D. dependent var 0.059240
S.E. of regression 0.031507 Akaike info criterion -4.008480
Sum squared resid 0.025810 Schwarz criterion -3.913322
Log likelihood 58.11872 Hannan-Quinn criter. -3.979389
3
F-statistic 69.45093 Durbin-Watson stat 1.986910
Prob(F-statistic) 0.000000
Null Hypothesis: D(RGDPCPI,2) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.145099 0.0000
Test critical values: 1% level -3.689194
5% level -2.971853
10% level -2.625121
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RGDPCPI,3)
Method: Least Squares
Date: 07/17/23 Time: 17:51
Sample (adjusted): 1994 2021
Included observations: 28 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(RGDPCPI(-1),2) -1.300212 0.181973 -7.145099 0.0000
C 0.001396 0.005855 0.238504 0.8134
R-squared 0.662567 Mean dependent var 0.004301
Adjusted R-squared 0.649589 S.D. dependent var 0.052212
S.E. of regression 0.030907 Akaike info criterion -4.046899
Sum squared resid 0.024837 Schwarz criterion -3.951742
Log likelihood 58.65659 Hannan-Quinn criter. -4.017809
F-statistic 51.05245 Durbin-Watson stat 2.029027
Prob(F-statistic) 0.000000
APPENDIX 4: ARDL LONG RUN AND BOUND TEST RESULT
ARDL Long Run Form and Bounds Test
Dependent Variable: D(POV)
Selected Model: ARDL(1, 1, 0, 4)
Case 2: Restricted Constant and No Trend
Date: 07/17/23 Time: 16:30
Sample: 1991 2021
Included observations: 27
Conditional Error Correction Regression
Variable Coefficient Std. Error t-Statistic Prob.
4
C 19.84248 6.492610 3.056164 0.0071
POV(-1)* -0.768761 0.194226 -3.958073 0.0010
COR(-1) 1.083841 0.618398 1.752657 0.0977
URT** -0.952261 1.213932 -0.784444 0.4436
RGDPCPI(-1) -1.585440 0.556804 -2.847390 0.0111
D(COR) 0.525666 0.405038 1.297821 0.2117
D(RGDPCPI) 4.293111 3.342813 1.284281 0.2163
D(RGDPCPI(-1)) -0.896928 3.505135 -0.255890 0.8011
D(RGDPCPI(-2)) 0.767786 3.596841 0.213461 0.8335
D(RGDPCPI(-3)) 8.656566 3.473802 2.491957 0.0233
* p-value incompatible with t-Bounds distribution.
** Variable interpreted as Z = Z(-1) + D(Z).
Levels Equation
Case 2: Restricted Constant and No Trend
Variable Coefficient Std. Error t-Statistic Prob.
COR 1.409854 0.041496 1.675414 0.0121
URT 1.238696 1.550163 -0.799075 0.4353
RGDPCPI -2.062331 0.693950 -2.971875 0.0086
C 25.81099 7.762009 3.325298 0.0040
EC = POV - (1.4099*COR -1.2387*URT -2.0623*RGDPCPI + 25.8110 )
F-Bounds Test Null Hypothesis: No levels relationship
Test Statistic Value Signif. I(0) I(1)
Asymptotic:
n=1000
F-statistic 5.774024 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 27 n=35
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(POV)
Selected Model: ARDL(1, 1, 0, 4)
Case 2: Restricted Constant and No Trend
Date: 07/17/23 Time: 16:31
5
Sample: 1991 2021
Included observations: 27
ECM Regression
Case 2: Restricted Constant and No Trend
Variable Coefficient Std. Error t-Statistic Prob.
D(COR) 0.525666 0.254681 2.064017 0.0546
D(RGDPCPI) 4.293111 2.558619 1.677902 0.1117
D(RGDPCPI(-1)) -0.896928 2.901351 -0.309141 0.7610
D(RGDPCPI(-2)) 0.767786 3.068960 0.250178 0.8054
D(RGDPCPI(-3)) 8.656566 2.776503 3.117794 0.0063
CointEq(-1)* -0.768761 0.159228 -4.828059 0.0002
R-squared 0.558596 Mean dependent var -0.027479
Adjusted R-squared 0.453499 S.D. dependent var 0.490761
S.E. of regression 0.362798 Akaike info criterion 1.003192
Sum squared resid 2.764078 Schwarz criterion 1.291155
Log likelihood -7.543087 Hannan-Quinn criter. 1.088818
Durbin-Watson stat 2.300319
* 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 3.774024 10% 2.37 3.2
k 3 5% 2.79 3.67
2.5% 3.15 4.08
1% 3.65 4.66
APPENDIX 6: SERIAL AUTOCORELATION TEST
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 3.058832 Prob. F(2,15) 0.0769
Obs*R-squared 7.821743 Prob. Chi-Square(2) 0.0200
Test Equation:
Dependent Variable: RESID
Method: ARDL
Date: 07/17/23 Time: 16:33
Sample: 1995 2021
Included observations: 27
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
POV(-1) 0.704004 0.366024 1.923379 0.0736
COR -0.373649 0.405051 -0.922475 0.3709
COR(-1) -0.527709 0.424373 -1.243502 0.2328
URT 2.013316 1.398248 1.439885 0.1704
6
RGDPCPI -1.196019 3.067471 -0.389904 0.7021
RGDPCPI(-1) 1.301423 4.825529 0.269695 0.7911
RGDPCPI(-2) -1.050647 5.229487 -0.200908 0.8435
RGDPCPI(-3) -1.561845 4.960955 -0.314827 0.7572
RGDPCPI(-4) 3.299102 3.422621 0.963911 0.3504
C -11.72583 8.025878 -1.461002 0.1646
RESID(-1) -1.019243 0.475979 -2.141361 0.0491
RESID(-2) -0.522960 0.254185 -2.057396 0.0575
R-squared 0.289694 Mean dependent var -5.66E-15
Adjusted R-squared -0.231197 S.D. dependent var 0.326053
S.E. of regression 0.361786 Akaike info criterion 1.105576
Sum squared resid 1.963340 Schwarz criterion 1.681504
Log likelihood -2.925281 Hannan-Quinn criter. 1.276830
F-statistic 0.556151 Durbin-Watson stat 2.212251
Prob(F-statistic) 0.835063
APPENDIX 7: HETEROSCEASTICITY TEST
Heteroskedasticity Test: Breusch-Pagan-Godfrey
F-statistic 1.969525 Prob. F(9,17) 0.1094
Obs*R-squared 13.78213 Prob. Chi-Square(9) 0.1303
Scaled explained SS 18.36326 Prob. Chi-Square(9) 0.0312
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 07/17/23 Time: 16:34
Sample: 1995 2021
Included observations: 27
Variable Coefficient Std. Error t-Statistic Prob.
C 0.792103 3.768408 0.210196 0.8360
POV(-1) -0.312583 0.112732 -2.772805 0.0130
COR 0.195409 0.235090 0.831208 0.4174
COR(-1) 0.306812 0.236322 1.298280 0.2115
URT -1.982507 0.704584 -2.813726 0.0120
RGDPCPI 0.022962 1.940219 0.011835 0.9907
RGDPCPI(-1) -1.473066 3.058438 -0.481640 0.6362
RGDPCPI(-2) 3.414755 3.371590 1.012803 0.3254
RGDPCPI(-3) -0.163967 3.181211 -0.051542 0.9595
RGDPCPI(-4) -1.678169 2.016247 -0.832323 0.4168
R-squared 0.510449 Mean dependent var 0.102373
Adjusted R-squared 0.251275 S.D. dependent var 0.270476
S.E. of regression 0.234040 Akaike info criterion 0.211464
Sum squared resid 0.931167 Schwarz criterion 0.691404
Log likelihood 7.145236 Hannan-Quinn criter. 0.354175
F-statistic 1.969525 Durbin-Watson stat 2.413332
Prob(F-statistic) 0.109372
7
APPENDIX 8: RESET LINEARITY TEST
Ramsey RESET Test
Equation: UNTITLED
Specification: POV POV(-1) COR COR(-1) URT RGDPCPI RGDPCPI(-1)
RGDPCPI(-2) RGDPCPI(-3) RGDPCPI(-4) C
Omitted Variables: Squares of fitted values
Value df Probability
t-statistic 0.495988 16 0.6266
F-statistic 0.246004 (1, 16) 0.6266
F-test summary:
Mean
Sum of Sq. df Squares
Test SSR 0.041855 1 0.041855
Restricted SSR 2.764078 17 0.162593
Unrestricted SSR 2.722223 16 0.170139
Unrestricted Test Equation:
Dependent Variable: POV
Method: ARDL
Date: 07/17/23 Time: 16:35
Sample: 1995 2021
Included observations: 27
Maximum dependent lags: 4 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (4 lags, automatic):
Fixed regressors: C
Variable Coefficient Std. Error t-Statistic Prob.*
POV(-1) 0.252061 0.203069 1.241259 0.2324
COR 0.620033 0.455926 1.359943 0.1927
COR(-1) 0.581000 0.419036 1.386516 0.1846
URT -0.652928 1.380669 -0.472907 0.6427
RGDPCPI 4.538858 3.455215 1.313625 0.2075
RGDPCPI(-1) -7.101801 5.430296 -1.307811 0.2094
RGDPCPI(-2) 1.660197 5.942207 0.279391 0.7835
RGDPCPI(-3) 9.682246 6.671567 1.451270 0.1660
RGDPCPI(-4) -10.55489 5.222649 -2.020985 0.0603
C 21.67796 7.602972 2.851248 0.0116
FITTED^2 -0.197590 0.398376 -0.495988 0.6266
R-squared 0.734226 Mean dependent var 0.178329
Adjusted R-squared 0.568117 S.D. dependent var 0.627652
S.E. of regression 0.412479 Akaike info criterion 1.358304
Sum squared resid 2.722223 Schwarz criterion 1.886237
Log likelihood -7.337100 Hannan-Quinn criter. 1.515286
F-statistic 4.420154 Durbin-Watson stat 2.203468
Prob(F-statistic) 0.004224
*Note: p-values and any subsequent tests do not account for model
selection.
8
APPENDIX 9: GRANGER CAUSALITY TEST
Pairwise Granger Causality Tests
Date: 07/17/23 Time: 16:26
Sample: 1991 2021
Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
COR does not Granger Cause POV 29 0.17811 0.8379
POV does not Granger Cause COR 1.90634 0.1705
URT does not Granger Cause POV 29 2.13208 0.1405
POV does not Granger Cause URT 1.38903 0.2686
RGDPCPI does not Granger Cause POV 29 2.68052 0.0890
POV does not Granger Cause RGDPCPI 0.39445 0.6783
URT does not Granger Cause COR 29 7.41742 0.0031
COR does not Granger Cause URT 0.34610 0.7109
RGDPCPI does not Granger Cause COR 29 1.90043 0.1713
COR does not Granger Cause RGDPCPI 0.91380 0.4145
RGDPCPI does not Granger Cause URT 29 4.68282 0.0192
URT does not Granger Cause RGDPCPI 0.17541 0.8402
