Economic Models - Convex Optimization

15. IM t =−24.04 − 0.025IM t−1
(−0.82)
+ 1.123T
(0.27)
16. CFB t = ∑ t
r=−20 FB r
(−0.86)
+ 0.104Y t
(1.59)
Time Varying Responses 65
− 0.089Y t−1 − 0.654IMC t
(9.21) (−1.26)
R 2 = 0.96, R2 = 0.92, DW = 2.52, ρ =−0.62
(−1.72)
λ 2 = 563.09
The estimated Chi-square satisfies the goodness of fit test for the FIML
estimation.
Notations
A = Domestic absorption
AF = Foreign receipts (grants etc.)
BD = Government budget deficits
CD = Credit to deposit ratio in the commercial banking sector
CFB = Cumulative foreign borrowing, i.e., foreign debt over a period of
20 years
CT = Discount rate of the RBI
FB = Foreign borrowing
G = Government expenditure
GBS = Government bond sales
IM = Value of imports
IMC = Import price index (1990 = 100)
IR = Interest rate in the money-market
K = Foreign capital inflows
LR = Lending (minus repayments to the states)
MD = Money demand
MS = Money supply
NDA = Net domestic asset creation by the RBI
P = Consumers’ price index (1990 = 100)
PFT = Private foreign transactions
PF = Foreign payments
R = Changes in foreign exchange reserve
RR = Reserve to deposit ratio in the commercial banking sector
TY = Government tax revenue
T = Time trend