Table 11 NARDL results for \({T}_{{mp}}\sim {T}_{{world}}\).
Residuals | ||||
|---|---|---|---|---|
Min | 1Q | Median | 3Q | Max |
−0.191857 | −0.008714 | 0.006017 | 0.017175 | 0.073062 |
Coefficients | ||||
Estimate | Std. Error | t-value | p-value | |
Const. | 0.28430 | 0.05408 | 5.257 | \(4.92\times {10}^{-7}\) |
\({T}_{m{p}_{1}}\) | −0.29518 | 0.05703 | −5.176 | \(7.12\times {10}^{-7}\) |
\({T}_{{worl}{d}_{p}}\) | 0.03044 | 0.01879 | 1.621 | 0.107 |
\({T}_{{worl}{d}_{n}}\) | 0.02980 | 0.01884 | 1.582 | 0.116 |
Residual Std. Err.: | 0.03454 | R-squared: | 0.1596 (Multiple) | 0.1429 (Adjusted) |
F-Statistic: | 9.559 | p-value: | \(8.1\times {10}^{-6}\) | |
Model Diagnostic Test | ||||
JB test | LM test | ARCH test | ||
Statistic | 0.869408 | 1.7404695 | 3.8543008 | |
p-value | \(2.14\times {10}^{-10}\) | 0.4129108 | 0.0496186 | |
Short Run Asymmetry Test | ||||
W-Statistic: | 0.2727664 | p-value: | 0.8725082 | |
Cointegration Test | ||||
155 Observations | 2 Regressors | 3 Cases | ||
F Statistic: | 9.55863 | |||
Long Run Coefficients | ||||
Estimate | Std. Error | t-value | p-value | |
\({T}_{{worl}{d}_{p}}\) | 0.103133 | 0.065725 | 1.5692 | 0.1166 |
\({T}_{{worl}{d}_{n}}\) | 0.100953 | 0.065961 | 1.5305 | 0.1259 |
Long Run Asymmetry Test | ||||
W-Statistic: | 3.130444 | p-value: | 0.2090416 | |
