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ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS TABLE 7 : Wald Test JUNE 2011 VOL 3, NO 2 ____________________________________________________________________ Null Hypothesis: C(10)=0 C(11)=0 C(12)=0 C(13)=0 C(14)=0 F-statistic 4.46196822758 Probability 0.0035392893478 Chi-square 22.3098411379 Probability 0.00045713644003 ln INF t m n p q r = 0 + ∑α1 ln INFt −i + ∑α 2 lnGDPt −i + ∑α 3M 2t−i + ∑α 4 lnCMRt −i + ∑α 5 lnGBYt −i i= 1 i= 0 i= 0 i= 0 i= 0 α + ω t TABLE 8 Long-run Relationship _________________________________________________________________________ C GDP M2 CMR GBY 0.69 2.52 2.33 0.05 0.02 (-0.94) (-3.47) (-3.63) (-2.32) (-1.21) The presence of an established bond between inflation and the key variables is an essential condition for the establishment of monetary rule. The stability Pesaran et al. (2001) and for the model fit CUSUM and CUSUMSQ tests presented by Brown, Dublin and Evans (1975) are applied. It is evident from the test that model is best fit and shows stable behavior. It is plotted for the break points. COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 752
ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS Since the plots of CUSUM and CUSUMSQ statistic for inflation do not cross the critical value lines, it is concluded that inflation determination is stable. A graphical presentation of these two tests is in Figures below. Figure 1: Cumulative Sum of Recursive Residual for Inflation JUNE 2011 VOL 3, NO 2 20 10 0 -10 -20 80 85 90 95 00 05 CUSUM 5% Significance Figure 2: Cumulative Sum of Square Recursive Residual for Inflation 1.6 1.2 0.8 0.4 0.0 -0.4 80 85 90 95 00 05 CUSUM of Squares 5% Significance COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 753
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