Trade openness and economic growth volatility: An empirical investigation

Figures & data

Figure 1. Historical trend of real GDP and GDP volatility in Ghana (1972–2013).

Table 1. Unit root and structural break test

	Phillip-Perron		Perron and Vogelsang (1992) Additive outlier
	Without trend	With linear trend	Break in mean	Break in trend	Break in both
YVOL	−3.892***	−3.855**	−4.951 (1979)**	−4.650 (2013)**	−5.120 (1986)*
DVOL	−4.509***	−4.468***	−5.425 (1982)***	−4.721 (1982)**	−5.760 (1983)***
OPN	−1.127	−2.260	−3.081 (1974)	−3.079 (1976)	−4.040 (1981)
INF	−2.681*	0.091	−2.370 (1977)	−2.764 (1988)	−3.008 (1981)
EXC	−0.760	−1.119	−3.012 (1980)	−3.211 (1999)	−3.185 (1998)
KAOPEN	−2.495	−2.507	−6.289 (1992)***	−2.914 (2013)	−6.256 (1992)***

Note: Structural break dates in parenthesis.

* p < 0.1 significance level.

** p < 0.05 significance level.

*** p < 0.01 significance level.

Table 2. Bounds test for cointegration relationship

Critical values bounds of F-statistics intercept and no trend
K	99%		95%		90%
	I(0)	I(1)	I(0)	I(1)	I(0)	I(1)
6	3.15	4.43	2.45	3.61	2.12	3.23
Model		Computed F-statistics			Decision
FYVOL (YVOL|, OPN, DVOL, KAOPEN, INF, EXC, DUM)		4.220482***			Cointegration

Note: K—number of regressors. Simulated critical based on Pesaran et al. (2001).

*** p < 0.01 level.

Table 3. Long-run estimates for the ARDL models

	Coefficient	Standard error	t-statistics
OPN	0.070584	0.038698	1.823956*
DVOL	0.000080	0.056503	0.001410
KAOPEN	−0.035029	0.017891	−1.957908*
INF	0.012892	0.022316	0.577680
EXC	−0.024691	0.028900	−0.854365
DUM	0.014984	0.036922	0.405824
Intercept	−0.427213	0.276093	−1.547351

* Significant at 10% level, Model selection is based on the Akaike Information criterion ARDL (1, 0, 2, 0, 0, 0, 1).

Table 4. Short-run error correction for the ARDL models

	Coefficient	Standard error	t-statistics
∆ OPN	0.052261	0.028705	1.82063*
∆ DVOL	−0.052437	0.024928	−2.103529**
∆ KAOPEN	−0.025936	0.013778	−1.882345*
∆ INF	0.009545	0.016411	0.581647
∆ EXC	−0.018282	0.021091	−0.866809
∆ DUM	−0.088395	0.033352	−2.650338**
Intercept	−0.316312	0.201050	−1.573295
ECTt-1	−0.740408	0.132947	−5.569189***
F-statistics	5.202356***
DW-statistics	1.979488
Normality	0.937486 [0.6258]
Serial Correlation	0.870961 [0.4292]
Heteroscedasticity	1.712218 [0.1223]
Misspecification	0.403077 [0.6898]
CUSUM	Stable
CUSUMQ	Stable

* Significant at 10% levels.

** Significant at 5% levels.

*** Significant at 1% levels.

Model selection is based on the Akaike Information Criterion ARDL (1, 0, 2, 0, 0, 0, 1).

Perron, P., & Vogelsang, T. J. (1992). Testing for a unit root in a time series with a changing mean: Corrections and extensions. Journal of Business & Economic Statistics, 10(4), 467–470.

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