Assessment of Formal Credit and Climate Change Impact on Agricultural Production in Pakistan: A Time Series ARDL Modeling Approach
Abstract
:1. Introduction
2. Review of Literature
3. Data and Methods
3.1. Model Specification
3.2. Estimation Techniques
3.2.1. Autoregressive Distributed Lag (ARDL)
3.2.2. Vector Error Correction Model (VECM) Grounded Ganger Causality Test
4. Results and Discussion
4.1. Descriptive Statistics and Correlation Analysis
4.2. Unit Root Tests Results
4.3. Cointegration Testing Results
4.4. Long-Run and Short-Run Estimates
4.5. Diagnostic Tests
4.6. VECM Results
4.7. Impulse Response Function Results
5. Conclusions and Policy Implications
Author Contributions
Funding
Conflicts of Interest
References
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LNAP | LNCR | LNTR | LNTW | LNEC | LNLF | LNCO2 | |
---|---|---|---|---|---|---|---|
Mean | 7.7036 | 10.8255 | 10.3344 | 7.9921 | 8.6757 | 18.3058 | −0.3025 |
Median | 7.7071 | 10.6271 | 10.2033 | 6.9155 | 8.7213 | 18.3344 | −0.2780 |
Maximum | 8.0275 | 13.3018 | 12.7815 | 12.6921 | 9.1787 | 18.5812 | −0.0090 |
Minimum | 7.3427 | 8.7119 | 8.2180 | 5.8284 | 7.8473 | 17.9328 | −0.7613 |
Std. Dev. | 0.2125 | 1.3734 | 0.8781 | 2.5593 | 0.3717 | 0.1926 | 0.2220 |
Skewness | −0.0289 | 0.3375 | 0.4105 | 1.1730 | −0.8448 | −0.3486 | −0.5315 |
Kurtosis | 1.7081 | 1.7121 | 3.7912 | 2.5004 | 2.8205 | 1.9556 | 2.1487 |
Jarque-Bera | 2.3688 | 2.9953 | 1.8419 | 8.1509 | 4.0906 | 2.2338 | 2.6275 |
Probability | 0.3059 | 0.2236 | 0.3981 | 0.0169 | 0.1293 | 0.3272 | 0.2688 |
Sum | 261.9258 | 368.0692 | 351.3712 | 271.7331 | 294.9768 | 622.3973 | −10.2867 |
Sum Sq. Dev. | 1.4912 | 62.2494 | 25.4462 | 216.1661 | 4.5604 | 1.2247 | 1.6270 |
Observations | 34 | 34 | 34 | 34 | 34 | 34 | 34 |
Correlation | LNAP | LNCR | LNTR | LNTW | LNEC | LNLF | LNCO2 |
---|---|---|---|---|---|---|---|
LNAP | 1.0000 | ||||||
----- | |||||||
----- | |||||||
LNCR | 0.9644 | 1.0000 | |||||
(20.3330) | ----- | ||||||
[0.0000] | ----- | ||||||
LNTR | 0.6963 | 0.6925 | 1.0000 | ||||
(5.4015) | (5.3457) | ----- | |||||
[0.0000] | [0.0000] | ----- | |||||
LNTW | −0.5866 | −0.4338 | −0.1773 | 1.0000 | |||
(−4.0335) | (−2.6811) | (−1.0031) | ----- | ||||
[0.0003] | [0.0117] | [0.3236] | ----- | ||||
LNEC | 0.8418 | 0.7969 | 0.5374 | −0.7181 | 1.0000 | ||
(8.6834) | (7.3448) | (3.5480) | (−5.7451) | ----- | |||
[0.0000] | [0.0000] | [0.0013] | [0.0000] | ----- | |||
LNLF | 0.9793 | 0.9457 | 0.6358 | −0.6648 | 0.8909 | 1.0000 | |
(26.9476) | (16.2104) | (4.5874) | (−4.9555) | (10.9251) | ----- | ||
[0.0000] | [0.0000] | [0.0001] | [0.0000] | [0.0000] | ----- | ||
LNCO2 | 0.9385 | 0.8862 | 0.6444 | −0.6879 | 0.9197 | 0.9657 | 1.0000 |
(15.1406) | (10.6520) | (4.6923) | (−5.2778) | (13.0497) | (20.7362) | ----- | |
[0.0000] | [0.0000] | [0.0000] | [0.0001] | [0.0000] | [0.0000] | ----- |
Variables | MZa | MZt | MSB | MPT |
---|---|---|---|---|
Ng-Perron Test at Levels | ||||
LNAP | −15.6800 *** | −2.7968 | 0.1783 | 5.8299 |
LNCR | 2.0549 | 2.5628 | 1.2471 | 126.444 |
LNTR | −5.2084 | −1.6105 | 0.3092 | 4.7121 |
LNTW | −2.3893 | −1.0224 | 0.4279 | 9.8214 |
LNEC | −1.3914 | −0.6331 | 0.4550 | 13.0253 |
LNLF | −19.2617 *** | −2.9937 | 0.1554 | 5.3794 |
LNCO2 | 0.5295 | 0.5586 | 1.0549 | 69.3321 |
Ng-Perron Test at 1st Difference | ||||
LNAP | - | - | - | - |
LNCR | −14.2491 *** | −2.6646 | 0.1870 | 1.7368 |
LNTR | −13.7443 *** | −2.4964 | 0.1816 | 2.2488 |
LNTW | −15.9774 *** | −2.8258 | 0.1768 | 1.5356 |
LNEC | −13.8933 *** | −2.6337 | 0.1895 | 1.7707 |
LNLF | - | - | - | - |
LNCO2 | −15.8300 *** | −2.7595 | 0.1743 | 1.7460 |
Variables | Level | 1st Difference | ||
---|---|---|---|---|
T-Statistic | Break | T-Statistic | Break | |
LNAP | −7.87 | 1998 | - | - |
LNCR | −3.71 | 1989 | −5.36 | 1998 |
LNTR | −5.61 | 2004 | - | - |
LNTW | −6.65 | 1991 | - | - |
LNEC | −3.34 | 1990 | −5.42 | 1999 |
LNLF | −1.81 | 1999 | −6.31 | 2001 |
LNCO2 | −2.90 | 2011 | −9.08 | 2007 |
Model for Estimation | F-Statistics | |
---|---|---|
FLNAP (LNAP/LNCR, LNTR, LNTW, LNEC, LNLF, LNCO2) | ARDL(1, 0, 0, 0, 1, 0, 0) | 6.2039 *** |
FLNCR (LNCR/LNAP, LNTR, LNTW, LNEC, LNLF, LNCO2) | ARDL(1, 1, 0, 0, 0, 0, 0) | 1.1285 |
FLNTR (LNTR/LNCR, LNAP, LNTW, LNEC, LNLF, LNCO2) | ARDL(1, 0, 0, 1, 0, 1, 0) | 3.9080 ** |
FLNTW (LNTW/LNTR, LNCR, LNAP, LNEC, LNLF, LNCO2) | ARDL(1, 0, 0, 0, 0, 1, 1) | 4.4103 ** |
FLNEC (LNEC/LNTW, LNTR, LNCR, LNAP, LNLF, LNCO2) | ARDL(1, 1, 1, 0, 0, 0, 0) | 2.5071 |
FLNLF (LNLF/LNEC, LNTW, LNTR, LNCR, LNAP, LNCO2) | ARDL(1, 1, 0, 0, 0, 0, 0) | 5.6844 *** |
FLNCO2 (LNCO2/LNLF, LNEC, LNTW, LNTR, LNCR, LNAP) | ARDL(1, 1, 0, 0, 0, 0, 0) | 1.8823 |
Critical Value Bounds | I(0) Bound | I(1) Bound |
1% | 3.15 | 4.43 |
5% | 2.45 | 3.61 |
10% | 2.12 | 3.23 |
Hypothesized No. of CE(s) | λtrace Test Statistic | Critical Value | Prob. |
---|---|---|---|
None | 181.3517 *** | 125.6154 | 0.0000 |
At most 1 | 122.7452 *** | 95.7536 | 0.0002 |
At most 2 | 71.3572 ** | 69.8188 | 0.0375 |
At most 3 | 41.6250 | 47.8561 | 0.1695 |
At most 4 | 20.8441 | 29.7970 | 0.3674 |
At most 5 | 7.40815 | 15.4947 | 0.5307 |
At most 6 | 0.03405 | 3.8414 | 0.8535 |
Hypothesized No. of CE(s) | λmax test statistic | Critical value | Prob. |
None | 58.6065 *** | 46.2314 | 0.0016 |
At most 1 | 51.3878 *** | 40.0775 | 0.0018 |
At most 2 | 29.7322 | 33.8768 | 0.1444 |
At most 3 | 20.7809 | 27.5843 | 0.2897 |
At most 4 | 13.4360 | 21.1316 | 0.4129 |
At most 5 | 7.3740 | 14.2646 | 0.4459 |
At most 6 | 0.0340 | 3.8414 | 0.8535 |
Variables | Coefficient | Std. Error | T-Statistic | Prob. |
---|---|---|---|---|
Long term estimation | ||||
LNCR | 0.0753 *** | 0.0198 | 3.8053 | 0.0008 |
LNTR | 0.0177 ** | 0.0086 | 2.0526 | 0.0507 |
LNTW | −0.0065 | 0.0049 | −1.3327 | 0.1946 |
LNEC | −0.0654 | 0.0401 | −1.6302 | 0.1156 |
LNLF | 0.4538 ** | 0.2227 | 2.0370 | 0.0524 |
LNCO2 | 0.0885 | 0.1162 | 0.7616 | 0.4534 |
C | −0.9556 | 3.9680 | −0.2408 | 0.8116 |
Statistical tests | ||||
R2 | 0.9809 | |||
Adj-2 | 0.9748 | |||
Durbin–Watson stat | 2.2565 | |||
F-statistic | 160.86 | |||
Prob(F-statistic) | 0.0000 | |||
Short term dynamics | ||||
LNAP(-1) | −0.1965 | 0.1523 | −1.2900 | 0.2088 |
LNCR | 0.0901 *** | 0.0265 | 3.3995 | 0.0023 |
LNTR | 0.0212 ** | 0.0102 | 2.0803 | 0.0479 |
LNTW | −0.0078 | 0.0059 | −1.3186 | 0.1992 |
LNEC | −0.2162 ** | 0.0778 | −2.7784 | 0.0102 |
LNEC(-1) | 0.1379 * | 0.0760 | 1.8136 | 0.0817 |
LNLF | 0.5430 * | 0.2790 | 1.9459 | 0.0630 |
LNCO2 | 0.1059 | 0.1396 | 0.7581 | 0.4554 |
ECT (−1) | −1.1965 *** | 0.1523 | −7.8550 | 0.0000 |
Test | F-Statistic | Prob. |
---|---|---|
Serial correlation | 2.3505 | 0.1178 |
Heteroskedasticity | 0.4290 | 0.5173 |
Dependent | Independent Variables | ||||||
---|---|---|---|---|---|---|---|
Variable | ΔLNAP | ΔLNCR | ΔLNTR | ΔLNTW | ΔLNLF | ΔLNEC | ΔLNCO2 |
ΔLNAP | ----- | 6.9964 ** | 2.8847 | 4.4475 | 10.2873 *** | 1.0093 | 1.7282 |
ΔLNCR | 0.5306 | ----- | 0.8025 | 1.6761 | 1.2048 | 0.1290 | 11.8917 *** |
ΔLNTR | 0.4467 | 2.0992 | ----- | 0.2637 | 43.2285 *** | 5.3851 * | 6.0821 ** |
ΔLNTW | 9.9108 *** | 0.9168 | 1.2251 | ----- | 5.6029 * | 52.0655 *** | 1.7066 |
ΔLNLF | 0.2209 | 53.3740 *** | 6.0783 ** | 4.8609 * | ----- | 1.6841 | 0.3188 |
ΔLNEC | 0.6569 | 8.2059 ** | 2.9274 | 1.0222 | 2.1504 | ----- | 0.5213 |
ΔLNCO2 | 2.5161 | 3.4813 | 5.2998 * | 7.6488 ** | 2.8207 | 7.3640 ** | ----- |
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Chandio, A.A.; Jiang, Y.; Rauf, A.; Ahmad, F.; Amin, W.; Shehzad, K. Assessment of Formal Credit and Climate Change Impact on Agricultural Production in Pakistan: A Time Series ARDL Modeling Approach. Sustainability 2020, 12, 5241. https://doi.org/10.3390/su12135241
Chandio AA, Jiang Y, Rauf A, Ahmad F, Amin W, Shehzad K. Assessment of Formal Credit and Climate Change Impact on Agricultural Production in Pakistan: A Time Series ARDL Modeling Approach. Sustainability. 2020; 12(13):5241. https://doi.org/10.3390/su12135241
Chicago/Turabian StyleChandio, Abbas Ali, Yuansheng Jiang, Abdul Rauf, Fayyaz Ahmad, Waqas Amin, and Khurram Shehzad. 2020. "Assessment of Formal Credit and Climate Change Impact on Agricultural Production in Pakistan: A Time Series ARDL Modeling Approach" Sustainability 12, no. 13: 5241. https://doi.org/10.3390/su12135241