Escolar Documentos
Profissional Documentos
Cultura Documentos
ADF Level
Philips-Person (Level)
RKse
-9.655912
-9.655912
RUS
-3.870720
-9.268799
-7.750283
RAus
-7.948884
Critcal VAlues
1%
-3.486551
-3.486551
-2.886074
5%
-2.886074
-2.579931
10%
-2.579931
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
6
509.7821
522.0118
536.9514
542.9101
547.8164
555.1360
562.0311
NA
23.59344
28.02831*
10.86282
8.683652
12.56651
11.47142
2.55e-08
2.41e-08
2.17e-08*
2.29e-08
2.47e-08
2.55e-08
2.66e-08
-8.969595
-9.026757
-9.131883*
-9.078055
-9.005600
-8.975859
-8.938604
-8.897187*
-8.737123
-8.625023
-8.353970
-8.064289
-7.817323
-7.562842
-8.940213*
-8.909226
-8.926205
-8.784229
-8.623625
-8.505737
-8.380334
MODEL SPICISFICATION
M2
Trace
Critical
Statistic
Value
0 107.4995 35.19275
1 48.18301 20.26184
2 19.05119 9.164546
M3
Trace
Critical
Statistic
Value
107.4513 29.79707
48.13826 15.49471
19.03726 3.841466
M4
Trace
Critical
Statistic
Value
110.386 42.91525
49.76324 25.87211
20.25298 12.51798
M5
Trace
Critical
Statistic
Value
110.2756 35.0109
49.71136 18.39771
20.20131 3.841466
In this case I suggest model 3 to use although the above result show that from model 2 to model 5 value
of t-statistic is greater then critical values because empirical study show most research paper use model
three.
Obs
F-Statistic
Prob.
117
7.22532
2.91746
0.0011
0.0582
117
8.27552
4.57851
0.0004
0.0123
117
2.31443
0.26728
0.1035
0.7659
table indicate that US and KSE has unisdirectional lead lag relationship.
AUSTIRIA and KSE have bidirectional lead lag relationship.
IMPLUS RESOPONSE
10
10
The above figures showas that there is more respond in kse when us market changes. But Austria
market less influence kse.
DE COMPOSIATION TEST
Period
S.E.
RKSE
RUS
RAUS
1
2
3
4
5
6
7
8
9
10
0.084008
0.085942
0.091011
0.091326
0.091831
0.091881
0.091980
0.091990
0.092001
0.092002
100.0000
95.82357
85.70561
85.25372
85.33863
85.28315
85.11466
85.09905
85.10017
85.09936
0.000000
4.171239
8.991940
8.938444
8.910138
8.969682
9.059049
9.058145
9.058137
9.059080
0.000000
0.005194
5.302445
5.807841
5.751234
5.747167
5.826295
5.842805
5.841697
5.841562
Choles
ky
Orderin
g:
RKSE
RUS
RAUS
the above table shows that more change in kse is due to internal factors of kse as shown by 2nd period to
10 period(95% to 85%) but us and aus does not more influence kse.
THE ABOVE table indicates that statistical value of x2(us market) is more than .05 so it has insignificant
relationship with kse(x1). And x3(AUSTRIA) has significant relationship with kse(x1).
THE ABOVE table indicates that statistical value of x2(us market) is more than .05 so it has long run
insignificant relationship with kse(x1). And x3(AUSTRIA) has long run significant relationship with
kse(x1).
THE CO OFFFICENT OF ECM TERM HAS CORRECT SIGHN ANC SIGNIFICANT IT CONFIRMS PRESENCES OF
RELATIONSHIP BETWEEN VARIABLES. THE COEFFENT ECM SUGGEST THATADJUSTEMENTS PROESS IS.1
OF THE PRIVIOUS YEAR DISEQULIBRIM KSE(X1) FROM ITS DIS EQULIBRIM IN THE CURRRENT YEAR
13
23
33
43
53
63
73
83
93
103
113
117
13
23
33
43
53
63
73
83
93
103
113
117
THE ABOVE GRAOPH SHOWS BOTH STATISTAIS CUSAUM AND CUSAUM SQURE ARE WITH IN THE
CRITICAL BOUNDS.05% INDICATE THE MODLE IS STRIUCLRLY STABLE