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2012 PROCEEDINGS - Public Relations Society of America

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Table 2<br />

Augmented Dickey-Fuller unit root test<br />

Augmented Dickey-Fuller 1 st order differenced ADF value<br />

Country<br />

lnPR lnIMP ∇lnPR ∇lnIMP<br />

Japan -2.23 -2.09 -3.77 -3.32<br />

Liberia -3.20 -3.39 N/A N/A<br />

Belgium -3.16 -3.15 N/A -5.35<br />

Philippines -3.78 -2.75 N/A -2.65<br />

Note. Augmented Dickey-Fuller values are displayed. The imports series for Belgium and<br />

Philippines are not necessary but differenced for model specification.<br />

Critical values(1% level: -3.54; 5% level: -2.91; 10% level: -2.59)<br />

Table 3<br />

Akaike Information Criterion (AIC) to determine optimal lag length<br />

Country<br />

Lags<br />

1 2 3 4<br />

Japan -8.08753 -8.4299 -8.09239 -7.96679<br />

Liberia -0.49208 -2.00227 -1.80358 -1.84228<br />

Belgium -6.63317 -6.38537 -6.33404 -6.33767<br />

Philippines -4.71935 -4.67716 -5.1164 -5.02873<br />

Note. The minimum AIC indicates the optimal lag length.<br />

Table 4<br />

Johansen co-integration test<br />

Country Null hypothesis Trace statistics 5% critical value d max<br />

Japan<br />

Liberia<br />

Belgium<br />

Philippines<br />

None 22.8532 12.21<br />

At most one 6.2099 4.14<br />

None 18.6838 12.21<br />

At most one 1.6224 4.14<br />

None 25.6756 12.21<br />

At most one 0.0363 4.14<br />

None 12.6562 12.21<br />

At most one 0.1172 4.14<br />

1<br />

1<br />

1<br />

1<br />

115

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