TB1

TB2

f

Constant

D1t

D2t

DT1t

DT2t

k

Australia

1974

2004

−0.835

[−4.56]

0.004**

[2.09]

0.001

[0.34]

−0.002

[−0.54]

−0.007***

[−2.98]

0.004**

[2.59]

7

Canada

1975

1988

−0.909**

[−6.30]

0.001

[1.21]

−0.017***

[−8.23]

−0.004*

[−1.98]

0.003**

[2.65]

−0.006***

[−5.24]

6

France

1979

1990

−1.060**

[−5.82]

0.024***

[3.47]

−0.051***

[−2.79]

0.030*

[1.70]

0.024***

[3.52]

−0.061***

[−5.31]

8

Germany

1979

1994

−1.025*

[−5.31]

0.004*

[1.90]

−0.005

[−0.96]

0.001

[−0.17]

0.006***

[3.16]

−0.008***

[−3.05]

7

Hong Kong

1975

1996

−0.719*

[−5.52]

0.037***

[3.22]

−0.059***

[−3.23]

0.018

[1.00]

−0.004

[−0.43]

−0.028***

[−2.97]

7

Italy

1979

1989

−1.151**

[−6.00]

0.506

[0.45]

−9.008**

[−2.03]

5.955

[1.31]

10.953***

[4.72]

−15.603***

[−5.23]

8

Japan

1977

1992

−1.206

[−5.15]

0.039

[0.23]

−1.945***

[−4.80]

−0.328

[−0.92]

0.823***

[5.22]

−0.658***

[−3.22]

7

Korea

1974

1997

−1.542**

[−6.07]

19.040***

[4.98]

14.108***

[3.72]

8.29***

[3.05]

−27.78***

[−5.71]

1.121

[1.23]

8

Malaysia

1989

1999

−0.491

[−3.92]

−0.001

[−0.51]

0.011*

[1.76]

−0.002

[−0.30]

−0.008**

[−2.66]

0.011***

[3.21]

1

New Zealand

1981

1990

−0.683**

[−5.98]

0.001

[0.82]

−0.005

[−1.43]

−0.006

[−1.60]

0.001

[0.83]

−0.002

[−1.41]

2

Pakistan

1989

1999

−1.044

[−4.95]

−0.005

[−0.21]

0.171

[1.37]

−0.109

[−0.89]

−0.147***

[−2.91]

0.188***

[3.20]

5

Philippines

1974

1999

−1.132

[−5.08]

0.411***

[4.39]

0.376**

[2.15]

−0.105

[−0.782]

−0.554***

[−4.95]

0.199***

[3.54]

8

Sri Lanka

1976

1990

−1.096***

[−6.59]

−0.134

[−1.51]

−0.794***

[−2.69]

−0.143

[−0.55]

1.185***

[5.51]

−1.21***

[−6.08]

5

Thailand

1991

1999

−0.793

[−5.11]

0.080***

[3.38]

0.077

[1.14]

−0.049

[−0.76]

−0.099***

[−2.70]

0.050*

[1.69]

3

United Kingdom

1976

1995

−1.621***

[−7.23]

0.003***

[3.90]

0.004**

[2.55]

−0.000

[−0.09]

−0.004***

[−5.39]

−0.001

[−1.533]

6

United States

1979

1995

−1.363

[−5.00]

0.003***

[2.86]

0.007***

[2.67]

−.001

[−0.25]

−0.006***

[−4.65]

0.001

[0.76]

5

Critical values for the LM test

λ2

0.4

0.6

0.8

λ1

1%

5%

10%

1%

5%

10%

1%

5%

10%

0.2

−6.16

−5.59

−5.27

−6.41

−5.74

−5.32

−6.33

−5.71

−5.33

0.4

−6.45

−5.67

−5.31

−6.42

−5.65

−5.32

0.6

−6.32

−5.73

−5.32