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The Impact Of Interest Rate On Domestic Investment
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Appendix II
Unit Root Tests
Null Hypothesis: INVESTMENT has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-3.179487
0.0298
Test critical values:
1% level
-3.632900
5% level
-2.948404
10% level
-2.612874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INVESTMENT)
Method: Least Squares
Date: 06/03/18 Time: 13:39
Sample (adjusted): 1982 2016
Included observations: 35 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
INVESTMENT(-1)
-0.290064
0.091230
-3.179487
0.0033
D(INVESTMENT(-1))
0.370872
0.152747
2.428014
0.0210
C
12763.75
5860.242
2.178024
0.0369
R-squared
0.287876
Mean dependent var
-3371.266
Adjusted R-squared
0.243369
S.D. dependent var
22250.68
S.E. of regression
19354.66
Akaike info criterion
22.66107
Sum squared resid
1.20E+10
Schwarz criterion
22.79439
Log likelihood
-393.5687
Hannan-Quinn criter.
22.70709
F-statistic
6.468011
Durbin-Watson stat
2.135616
Prob(F-statistic)
0.004374
Null Hypothesis: D(INTR) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-5.860018
0.0000
Test critical values:
1% level
-3.639407
5% level
-2.951125
10% level
-2.614300
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INTR,2)
Method: Least Squares
Date: 06/03/18 Time: 13:50
Sample (adjusted): 1983 2016
Included observations: 34 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(INTR(-1))
-1.637822
0.279491
-5.860018
0.0000
D(INTR(-1),2)
0.259086
0.173311
1.494920
0.1450
C
0.751681
0.824014
0.912219
0.3687
R-squared
0.674320
Mean dependent var
-0.108824
Adjusted R-squared
0.653308
S.D. dependent var
8.033578
S.E. of regression
4.730214
Akaike info criterion
6.029915
Sum squared resid
693.6225
Schwarz criterion
6.164594
Log likelihood
-99.50856
Hannan-Quinn criter.
6.075844
F-statistic
32.09272
Durbin-Watson stat
2.023285
Prob(F-statistic)
0.000000
Null Hypothesis: INF has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-2.987689
0.0456
Test critical values:
1% level
-3.626784
5% level
-2.945842
10% level
-2.611531
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INF)
Method: Least Squares
Date: 06/03/18 Time: 13:52
Sample (adjusted): 1981 2016
Included observations: 36 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
INF(-1)
-0.412947
0.138216
-2.987689
0.0052
C
8.311642
3.566430
2.330522
0.0258
R-squared
0.207944
Mean dependent var
0.094444
Adjusted R-squared
0.184649
S.D. dependent var
15.08663
S.E. of regression
13.62275
Akaike info criterion
8.115312
Sum squared resid
6309.696
Schwarz criterion
8.203285
Log likelihood
-144.0756
Hannan-Quinn criter.
8.146017
F-statistic
8.926284
Durbin-Watson stat
1.689343
Prob(F-statistic)
0.005188
Null Hypothesis: MS has a unit root
Exogenous: Constant
Lag Length: 6 (Automatic - based on SIC, maxlag=9)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-3.407776
0.0186
Test critical values:
1% level
-3.670170
5% level
-2.963972
10% level
-2.621007
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(MS)
Method: Least Squares
Date: 06/03/18 Time: 14:04
Sample (adjusted): 1987 2016
Included observations: 30 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
MS(-1)
-0.246906
0.072454
-3.407776
0.0025
D(MS(-1))
0.796150
0.210101
3.789358
0.0010
D(MS(-2))
0.892064
0.263600
3.384159
0.0027
D(MS(-3))
-0.055200
0.283654
-0.194602
0.8475
D(MS(-4))
0.125201
0.276936
0.452091
0.6556
D(MS(-5))
0.442842
0.286075
1.547994
0.1359
D(MS(-6))
0.983466
0.317669
3.095884
0.0053
C
114.7424
103.0094
1.113902
0.2773
R-squared
0.775430
Mean dependent var
654.1103
Adjusted R-squared
0.703975
S.D. dependent var
793.1470
S.E. of regression
431.5365
Akaike info criterion
15.19576
Sum squared resid
4096922.
Schwarz criterion
15.56941
Log likelihood
-219.9364
Hannan-Quinn criter.
15.31529
F-statistic
10.85212
Durbin-Watson stat
2.166595
Prob(F-statistic)
0.000007
Co-integration Test Result
Null Hypothesis: RESID01 has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-2.242545
0.1956
Test critical values:
1% level
-3.626784
5% level
-2.945842
10% level
-2.611531
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID01)
Method: Least Squares
Date: 06/03/18 Time: 14:40
Sample (adjusted): 1981 2016
Included observations: 36 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RESID01(-1)
-0.266558
0.118864
-2.242545
0.0316
C
-1915.838
4023.906
-0.476114
0.6370
R-squared
0.128853
Mean dependent var
-2249.172
Adjusted R-squared
0.103231
S.D. dependent var
25477.83
S.E. of regression
24126.96
Akaike info criterion
23.07400
Sum squared resid
1.98E+10
Schwarz criterion
23.16197
Log likelihood
-413.3320
Hannan-Quinn criter.
23.10471
F-statistic
5.029007
Durbin-Watson stat
1.568730
Prob(F-statistic)
0.031556
Regression Analysis
Dependent Variable: LOG(INVESTMENT)
Method: Least Squares
Date: 06/03/18 Time: 14:58
Sample: 1980 2016
Included observations: 37
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
11.49135
s0.457003
25.14505
0.0000
INTR
-0.051053
0.024670
-2.069417
0.0464
INF
0.002142
0.008949
0.239358
0.8123
LOG(MS)
0.017821
0.064429
0.276603
0.7838
R-squared
0.551292
Mean dependent var
10.59268
Adjusted R-squared
0.524137
S.D. dependent var
0.797728
S.E. of regression
0.767588
Akaike info criterion
2.410680
Sum squared resid
19.44333
Schwarz criterion
2.584833
Log likelihood
-40.59757
Hannan-Quinn criter.
2.472077
F-statistic
1.960880
Durbin-Watson stat
0.751843
Prob(F-statistic)
0.139045
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ABSRACT - [ Total Page(s): 1 ]The relationship between interest rate and domestic investment has attracted the attention of economists and other economic experts. This study carried out an empirical analysis of the impact of interest rate on domestic investment in Nigeria covering the period 1980-2016. Data for the research was extracted from the central bank of Nigeria statistical bulletin. The methodology adopted in the research is the multiple linear regression with the application of Ordinary least Squares (OLS) techniqu ... Continue reading---
TABLE OF CONTENTS - [ Total Page(s): 1 ]Title page Certification page Approval page Dedication Acknowledgement Abstract Table of content CHAPTER ONE: INTRODUCTION 1.1 Background of the Study 1.2 Statement of the Prob ... Continue reading---
CHAPTER ONE - [ Total Page(s): 1 ]INTRODUCTION 1.1 Background of the Study The behaviour of interest rates, to a large extent, determines the investment activities and hence economic growth of a country. Investment depends upon the rate of interest involved in getting funds from the market, while economic growth to a large extent depends on the level investment. According to Jhingan (2003), if the rate is high investment is at low level. A low rate of interest leads to an increase in investment. There is therefore a ... Continue reading---
CHAPTER TWO - [ Total Page(s): 4 ]Obamuyi (2009) investigated the relationship between interest rates and economic growth in Nigeria, using time series analysis and annual data from 1970 - 2006. The co-integration and error correction model were used to capture both the long-run and short-run dynamics of the variables in the model. The empirical results indicate that real lending rates have significant effect on economic growth. There also exists a unique long-run relationship between economic growth and its determinants, includ ... Continue reading---
CHAPTER THREE - [ Total Page(s): 1 ]METHODOLOGY This study makes use of econometric procedure in estimating the impact of interest rate on economic growth in Nigeria. The Ordinary Least Square (OLS) technique is employed in obtaining the numerical estimates of the coefficients in different equations. The OLS method is chosen because it possesses some optimal properties: its computational procedure is fairly simple and it is also an essential component of most other estimation techniques. Secondly, this technique has been adopte ... Continue reading---
CHAPTER FOUR - [ Total Page(s): 1 ]PRESENTATION AND ANALYSIS OF RESULTS 4.1 Unit Root Test In a research involving the use of time series data, it is ideal to carry out stationarity tests on the series to be used. This is justified on the grounds that data not found stationary have the tendency of yielding spurious regression results and thus misleading policy projections. Below is the variables made stationary with their corresponding order of integration. Table 4.1: Unit Root Test VARIABLE ... Continue reading---
CHAPTER FIVE - [ Total Page(s): 1 ]SUMMARY, CONCLUSION AND RECOMMENDATION 5.0 Summary of Findings The main focus of this research has been to carry out empirically the impact of rate on domestic investment in Nigeria covering the period 1980-2016. In the course of the study, the historical background of interest rate and investment were reviewed. Furthermore, the problems of interest rate fluctuations and its possible effect on investment was evaluated. The chapter two was a compendium of literature was the views and resear ... Continue reading---
REFRENCES - [ Total Page(s): 1 ]Adeyeye, U. (2006) Interest Rate Regulation, Deregulation and Saving Mobilization in Nigeria, 1970-1994. An unpublished M. Sc thesis, Dept of Economics, A. B. U. Zaria. Abdul, A. and Marwan, S. (2013) “Finance and Growth: Some Theoretical Considerations and A Review of the Empirical Literature” Economic Department Working Paper 228, Organization for Economic Co – operation and Development (OECD), Paris. Akomolate, A.S and Ajiboye, G.U (2015) “An Econometric Study of the Market fo ... Continue reading---
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ABSRACT - [ Total Page(s): 1 ]The relationship between interest rate and domestic investment has attracted the attention of economists and other economic experts. This study carried out an empirical analysis of the impact of interest rate on domestic investment in Nigeria covering the period 1980-2016. Data for the research was extracted from the central bank of Nigeria statistical bulletin. The methodology adopted in the research is the multiple linear regression with the application of Ordinary least Squares (OLS) techniqu ... Continue reading---