Understanding the nexus between savings and economic growth: A South African context

Figures & data

Table 1. Unit root test results.

Variable	Augmented Dickey Fuller Test			Phillips Perron Test
	Constant	Constant and trend	None	Constant	Constant and trend	None
RGDP	−5.266***	−5.266***	−5.266***	−7.192***	−7.192***	−7.192***
GDS	−3.099***	−3.099***	−3.099***	−3.859***	−3.859***	−3.859***
EXCH	−3.746***	−3.746***	−3.746***	−3.550***	−3.550***	−3.550***
GFCF	−5.463***	−5.463***	−5.463***	−6.717***	−6.717***	−6.717***
LAB	−3.732***	−3.732***	−3.732***	−3.401***	−3.401***	−3.401***

***denotes significance at 1%; ** denotes significance at 5%; * denotes significance at 10%.

Table 2. Cointegration test using the Trace Test.

Unrestricted Cointegration Rank Test (Trace)
Hypothesized		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**
None *	0.963	108.662	69.819	0.000
At most 1	0.891	59.101	47.856	0.003
At most 2	0.866	25.912	29.797	0.131
At most 3	0.821	11.839	15.495	0.165
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized		Max-Eigen	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**
None *	0.963	45.498	40.078	0.030
At most 1	0.891	25.398	33.876	0.029
At most 2	0.866	14.949	27.584	0.752
At most 3	0.821	11.678	21.131	0.579

Max-eigenvalue test and Trace test indicates 2 cointegrating eqn(s) at the 0.05 level.

* Denotes rejection of the hypothesis at the 0.05 level; **MacKinnon-Haug-Michelis (1999) p-values.

Table 3. Vector error correction long-run results normalised on RGDP.

Dependent variable: GDP
Variable	Coefficient	Standard Error	t-statistic
GDS (−1)	−0.345	0.902	−0.382
EXCH(−1)	−2.624	0.873	−3.005
GFCF(−1)	11.849	1.487	7.968
LAB (−1)	16.612	2.464	6.740

***denotes significance at 1%; ** denotes significance at 5%; * denotes significance at 10%

Table 4. Vector Error Correction short-run results: dependent variable: GDP.

Variable(s)	Coefficient	Standard errors	t-statistics
CointEq1	−0.091	0.033	−2.753
Δ(RGDP(−1))	−0.762	0.333	−2.288
Δ (RGDP(−2))	−0.571	0.331	−1.724
Δ (GDS(−1))	1.631	0.678	2.408
Δ (GDS(−2))	0.797	0.623	1.281
Δ (EXCH(−1))	−1.028	0.526	−1.028
Δ (EXCH(−2))	−0.745	0.561	−1.327
Δ (GFCF (−1))	−0.467	0.410	−1.142
Δ (GFCF(−2))	−0.356	0.490	−0.726
Δ (LAB(−1))	1.067	0.778	1.371
Δ (LAB(−2))	1.265	0.602	2.103

***denotes significance at 1%; ** denotes significance at 5%; * denotes significance at 10%.

Table 5. Pairwise Granger Causality results.

VAR Granger causality/block exogeneity Wald tests
Dependent variable: RGDP
Excluded	Chi-sq	df	Prob.
GDS	1.883628	2	0.1528
GFCF	7.988604	2	0.0100
All	7.296160	4	0.0210
Dependent variable: GDS
Excluded	Chi-sq	df	Prob.
RGDP	8.367315	2	0.0048
GFCF	1.427904	2	0.4897
All	3.302706	4	0.5085
Dependent variable: GFCF
Excluded	Chi-sq	df	Prob.
RGDP	16.17322	2	0.0003
GDS	12.06270	2	0.0016
All	22.64122	4	0.0001