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Tax revenue and economic growth in developing country: an autoregressive distribution lags approach

Mnaku Honest Maganya
Mnaku Honest Maganya
   | Nov 20, 2020
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Published Online: Nov 20, 2020
Page range: 205 - 217
DOI: https://doi.org/10.2478/ceej-2020-0018
Keywords
© 2020 Mnaku Honest Maganya, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

ARDL short-run estimation results

Equation modelGDPtYTAXtTGStFDItINFt
GDPt-−0.00011*0.00009*−0.3355−8.64e-10
GDPt−1−1.1181*----
YTAXt−309.34*-0.9021*−2122.153.24e-06
YTAXt−1-0.9178*---
TGSt-1.1427*-2800.895.91e-06
TGSt−1--−0.2333--
FDIt-0.00015**−0.00021-3.44e-09
FDIt−1−0.5379*--0.5181-
INFt−9381.8827918.4***-3.53e+07-
INFt−1−--0.4865
ECMt−1−0.5782*−0.8717*−0.5131**−0.5228**
Diagnostic testsTProbTProbTProbTProbT Prob
Dwatsond=2.4080d=2.4080d=2.4080d=2.4080d=2.4080
BGodfrey1.9290.16490.8320.36185.1970.22600.4550.500223.67 0.5530
White test210.3971210.3971210.3971210.397121 0.3971

Cointegration test results

Equation modelF stat.AIC lag length criteriaBound critical valuesDecisions
I(0)I(1)
FGDP (YTAX,TGS, FDI, DI, INF)43.944*(2, 2, 0, 2,2,2)2.263.35Cointegrated
FYTAX (GDP,TGS, FDI, DI, INF)11.949*(2, 2, 0, 2,2,2)2.263.35Cointegrated
FTGS (GDP,YTAX, FDI, DI, INF)13.629*(2, 2, 2, 2,2,2)2.263.35Cointegrated
FFDI (GDP,YTAX, TGS, DI, INF)4.496*(1, 2, 2, 2,2,2)2.263.35Cointegrated
FDI (GDP,YTAX, TGS, FDI, INF)2.016(2, 2, 0, 2,2,0)2.263.35No cointegration
FINF (GDP,YTAX, TGS, FDI, DI)3.554*(2, 0, 0, 1,2,0)2.263.35Cointegrated

Granger causality test results

Dependent variablec2-statisticsDirection of causality
ΔGDPΔYTAXΔTGSΔFDIΔDIΔINF
ΔGDP-3.152914.097*0.241734.03**12.7*ΔTGS → ΔGDP
ΔDI → ΔGDP
ΔINF → ΔGDP
ΔYTAX2.6375-0.42840.30653.21380.534
ΔTGS6.515**18.271*-11.23*23.589*1.119ΔGDP → ΔTGS
ΔYTAX → ΔTGS
ΔFDI → ΔTGS
ΔDI → ΔTGS
ΔFDI2.13066.650**2.9373-16.706*8.4**ΔYTAX → ΔFDI
ΔDI → ΔFDI
ΔINF → ΔFDI
Δ DI16.263*1.25182.96577.85**-1.365ΔGDP → ΔDI
ΔFDI → ΔDI
ΔINF4.54160.010020.83303.65301.8359-

Unit root test results (variables at first difference)

SeriesADF-Fisher chi-squarePP-Fisher chi-squareEquation specification
t statisticProbabilityt statisticProbability
GDP1.6440.00002.2270.0000Intercept
YTAX−1.7820.0004−3.5720.0003Intercept
TGS−0.7500.0002−1.6670.0002Intercept
FDI−4.2840.0000−8.0300.0000Intercept
DI−4.7450.0107−4.5290.0074Intercept
INF−5.7760.0000−6.3280.0000Intercept

Unit root test results (variables at level)

SeriesADF-Fisher chi-squarePP-Fisher chi-squareEquation specification
t statisticProbabilityt statisticProbability
DP3.3890.015510.5550.0062Intercept
YTAX2.0120.67302.4070.5377Intercept
TGS1.6170.75875.2560.6943Intercept
FDI−1.2670.0765−1.4730.1025Intercept
DI−0.4640.6195−0.1960.4117Intercept
INF−2.9630.0906−3.5030.1208Intercept

Long-run estimated coefficients

Equation ModelGDPtYTAXtTGStFDItDItINFtR2
GDPt-−5875.75**12019.7*0.33441.087*−9.3e+070.97
YTAXt-0.00036**-1.0799*0.00010.0004−320.940.97
TGSt0.00509*0.7383*-−0.084−0.00483704.500.93
FDIt0.01440718.455−828.099-0.1592−5909.040.75
INFt−7.38e-09−5.38e-070.000125−1.9e-091.2e-09-0.51
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