Bounds Test Interpretation

[Rose Banda]

Hello Everyone,

I am performing the Pesaran, Shin, and Smith (2001) bounds test using

estat ectest

I am a bit confused and I need help interpreting the result of whether to accept the null or reject the null of no level relationship. Copy paste picture wasn't working so I have rewritten everything


My unit root results show the following

Variable	at level	at first difference
Y	unit root	stationary
X1	unit root	Stationary
X2 and X3	stationary	stationary

My bound test result
Pesaran, Shin, and Smith (2001) bounds test

H0: no level relationship

F = 3.402
t = -3.430

	10%	5%	1%
	I(0) I(1)	I(0) I(1)	I(0) I(1)
F	2.835. 4.057	3.455. 4.838	4.917. 6.662
t	-2.521 -3.413	-2.870 -3.807	-3.575. -4.595

p value for f stat. 0.053 0.176
p value for t stata 0.014 0.097

[Sebastian Kripfganz]

The F-test is inconclusive at the 10% significance level without prior information on the order of integration of the long-run forcing variables because the value of the F-statistic falls in between the upper and lower bound. At the 5% significance level, the F-test does not reject the null hypothesis of no long-run relationship. At this significance level, you would thus conclude that there does not exist a long-run level relationship.

[Rose Banda]

Thanks Sebastian