Table 3 NARDL results for \({T}_{{mp}}\sim {T}_{{economy}}\).
Residuals | ||||
|---|---|---|---|---|
Min | 1Q | Median | 3Q | Max |
−0.194203 | −0.007364 | 0.004721 | 0.014349 | 0.079371 |
Coefficients | ||||
Estimate | Std. Error | t-value | p-value | |
Const. | 0.231614 | 0.061170 | 3.786 | 0.000224 |
\({T}_{m{p}_{1}}\) | −0.319050 | 0.082371 | −3.873 | 0.000162 |
\({T}_{m{p}_{2}}\) | 0.071487 | 0.083940 | 0.852 | 0.395826 |
\({T}_{{econom}{y}_{p}}\) | 0.043277 | 0.026990 | 1.603 | 0.111026 |
\({T}_{{econom}{y}_{p1}}\) | −0.055736 | 0.034981 | −1.593 | 0.113277 |
\({T}_{{econom}{y}_{p2}}\) | 0.019531 | 0.035259 | 0.554 | 0.580480 |
\({T}_{{econom}{y}_{p3}}\) | −0.001492 | 0.026479 | −0.056 | 0.955138 |
\({T}_{{econom}{y}_{n}}\) | −0.00926 | 0.10624 | −0.087 | 0.931 |
Residual Std. Err.: | 0.0345 | R-squared: | 0.1659 (Multiple) | 0.1254 (Adjusted) |
F-Statistic: | 4.092 | p-value: | 0.0003989 | |
Model Diagnostic Test | ||||
JB test | LM test | ARCH test | ||
Statistic | 0.855153 | 0.3343434 | 5.3470860 | |
p-value | \(6.23\times {10}^{-11}\) | 0.7741277 | 0.0690073 | |
Short Run Asymmetry Test | ||||
W-Statistic: | 1.762339 | p-value: | 0.4142981 | |
Cointegration Test | ||||
155 Observations | 2 Regressors | 3 Cases | ||
F-Statistic: | 4.09153 | |||
Long Run Coefficients | ||||
Estimate | Std. Error | t-value | p-value | |
\({T}_{m{p}_{2}}\) | 0.224062 | 0.225936 | 0.9917 | 0.3213 |
\({T}_{{econom}{y}_{p}}\) | 0.135644 | 0.092734 | 1.4627 | 0.1435 |
\({T}_{{econom}{y}_{p1}}\) | −0.174695 | 0.123331 | −1.4165 | 0.1566 |
\({T}_{{econom}{y}_{p2}}\) | 0.061216 | 0.113556 | 0.5391 | 0.5898 |
\({T}_{{econom}{y}_{p3}}\) | −0.004677 | 0.083091 | −0.0563 | 0.9551 |
\({T}_{{econom}{y}_{n}}\) | 0.015462 | 0.055050 | 0.2809 | 0.7788 |
Long Run Asymmetry Test | ||||
W-Statistic: | 17.31298 | p-value: | 0.000174 | |
