The effects of oil and non-oil exports on economic growth: a case study of the Iranian economy

Figures & data

Figure 1. Time series plots for all variables under review.

Source: Authors’ calculation.

Table 1. Summary of descriptive statistics for each series.

Statistics
Mean	14.081	12.183	9.640	3.344	12.874	12.471
Median	15.242	12.648	9.614	3.352	13.781	13.472
Maximum	15.870	14.928	11.904	3.947	15.227	14.659
Minimum	11.313	7.747	6.923	2.703	9.985	9.835
Standard deviation	1.756	1.873	1.252	0.391	1.779	1.814
Skewness	–0.486	–0.273	0.146	–0.045	–0.348	–0.317
Kurtosis	1.455	1.994	2.181	1.729	1.552	1.328
Jarque-Bera	5.413	2.131	1.229	2.638	4.194	5.198
(Probability)	(0.067)	(0.344)	(0.541)	(0.267)	(0.123)	(0.074)
Observations	39	39	39	39	39	39

Source: Authors’ calculation.

Table 2. The results of unit root tests.

Variables	ADF	DF-GLS	LM unit root tests with breaks
	Test statistics	Test statistics	m = 1		m = 2
			Break year [t-statistics]	Test statistics	Break years [t-statistics]	Test statistics
Levels
	–2.543 (0)	–2.197 (0)	1991 [–3.674***]	–3.268 (0)	1991; 1998 [–6.565***; 5.340***]	–5.991 (3)
	–3.397 (0)	–2.842 (0)	1980 [–1.217]	–4.149 (2)	1978; 2003 [–3.562***; 1.082]	–5.025 (2)
	–2.848 (1)	–3.028 (1)	1983 [2.210**]	–3.834 (1)	1980; 1988 [–1.111; 2.140**]	–4.619 (2)
	–2.499 (3)	–0.479 (2)	2000 [–11.063***]	–8.053 (1)***	1979; 2005 [12.568***; –19.785***]	–11.362 (1)***
	–2.855 (0)	–2.825 (1)	1996 [–3.795***]	–4.267 (3)	1987; 1994 [0.038; –2.213**]	–5.214 (2)
	–3.090 (1)	–2.399 (0)	1996 [–3.097***]	–3.773 (3)	1986; 1996 [0.527; –3.388***]	–5.205 (3)
First differences
	–6.322 (0)***	–6.496 (0)***
	–5.700 (0)***	–5.374 (0)***
	–3.614 (0)**	–3.624 (0)**
	–4.881 (1)***	–4.584 (1)***
	–5.411 (0)***	–5.554 (0)***
	–5.427 (0)***	–5.578 (0)***

Note:

*** and

** denote the significance level at 1% and 5%, respectively. Figures in parentheses () indicate the optimal lag order for ADF and LM multiple breaks unit root tests. The optimal lag order for ADF and DF-GLS are selected using Akaike’s Information Criterion (AIC), while the optimal lag order for the LM unit root test with breaks is determined by t-significance.

Source: Authors’ calculation.

Table 3. The cointegration results.

Hypothesis		Unadjusted LR statistics	Adjusted LR statistics	Critical values
				1%	5%
Panel A: Multivariate Johansen-Juselius cointegration test
		260.210***	140.113***	104.962	95.754
		166.440***	89.621***	77.819	69.819
		90.146***	48.540**	54.682	47.856
		43.864***	23.619	35.458	29.797
		18.112**	9.752	19.937	15.495
		0.168	0.090	6.635	3.841
		93.770***	50.491***	45.869	40.078
		76.293***	41.081***	39.370	33.877
		46.283***	24.921	32.715	27.584
		25.752**	13.866	25.861	21.132
		17.944**	9.662	18.520	14.265
		0.168	0.090	6.635	3.841
Panel B: Fully Modified Ordinary Least Squares (FM-OLS)
Dependent variable:
Constant
–4.416***	–0.435***	0.254***	2.535***	0.567***	–1.061***

Note:

*** and

** denote the significance level at 1% and 5%, respectively. The system-wide AIC is used to select the optimal lag order. The Reinsel and Ahn (1992) formula is used to calculate the adjusted LR statistic for the cointegration test. The adjusted LR statistic formula is , where T is the total observation, p is the number of endogenous variables and k is the lag order for the VECM. The critical values are obtained from MacKinnon, Haug, and Michelis (1999).

Source: Authors’ calculation.

Table 4. Granger causality results – VECM.

Variables	Likelihood ratio (LR) statistics [p-values]
	–	2.790	4.149	13.817***	48.530***	10.941***
		[0.2479]	[0.1256]	[0.0079]	[0.0000]	[0.0009]
	24.526***	–	16.197***	3.338*	31.461***	19.628***
	[0.0001]		[0.0028]	[0.0677]	[0.0000]	[0.0002]
	19.386***	12.621***	–	40.468***	25.036***	18.296***
	[0.0001]	[0.0004]		[0.0000]	[0.0000]	[0.0011]
	3.726	0.047	31.194***	–	13.798***	20.495***
	[0.1552]	[0.8267]	[0.0000]		[0.0080]	[0.0001]
	41.819***	10.257***	15.095***	28.679***	–	43.297
	[0.0000]	[0.0014]	[0.0017]	[0.0000]		[0.0000]
	42.355***	0.317	30.122***	36.365***	45.065***	–
	[0.0000]	[0.5735]	[0.0000]	[0.0000]	[0.0000]
[t-statistics]	–0.614***	–0.226	–0.753**	–0.002***	–0.529**	–0.963***
	[–4.8778]	[–0.7279]	[–2.2596]	[–3.2444]	[–2.8559]	[–4.3154]

Note:

***

** and

* denote the significance level at 1%, 5% and 10%, respectively. The optimal lag order is determined by Akaike’s information criterion (AIC).

Source: Authors’ calculation.

Table A.1. The results of cointegration test.

Panel A: Bounds testing approach to cointegration
Information Criterion	SBC	AIC
Lag Order	[3, 0, 0, 1, 0, 3]	[3, 3, 0, 1, 3, 3]
Calculated F-statistics	10.8863***	5.6201**
Significance levels	Small sample critical values (T = 35, k = 5)^#
	Lower bounds, I(0)	Upper bounds, I(1)
1 per cent	4.2570	6.0400
5 per cent	3.0370	4.4430
10 per cent	2.5080	3.7630
Panel B: Diagnostic tests	Statistics	Statistics
	0.9864	0.9921
	0.97112	0.9735
F-statistics	64.5113***	53.0889***
	0.5919	1.2559
	0.6289	2.7910
	1.5403	2.6219
	2.1686	3.2932

Note:

^*** and

^** denote the significance level at the 1 and 5 per cent, respectively.

#The small sample critical values are collected from Narayan (2005).

Source: Authors’ calculation.

Reinsel, G. C., & Ahn, S. K. (1992). Vector autoregressive models with unit roots and reduced rank structure: Estimation, likelihood ratio test and forecasting. Journal of Time Series Analysis, 13, 353–375.10.1111/jtsa.1992.13.issue-4

 Google Scholar

MacKinnon, J. G., Haug, A. A., & Michelis, L. (1999). Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, 14, 563–577.10.1002/(ISSN)1099-1255

 Web of Science ®Google Scholar

Narayan, P. K. (2005). The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37, 1979–1990.10.1080/00036840500278103

 Web of Science ®Google Scholar