Panel A: Long-run coefficient estimates

Yt

LPOSt

MEDt

LNEGt

D94t

ARDL

−0.379*

(−2.222)

−1.480*

(−3.642)

0.637

(0.515)

−1.840*

(−5.179)

−0.438*

(−3.467)

FMOLS

−0.452*

(−5.555)

−0.865*

(−5.205)

0.444

(0.658)

−1.368*

(−8.846)

−0.350*

(−5.342)

DOLS

−0.522*

(−4.061)

−1.322*

(−5.357)

0.7450

(0.850)

−1.846*

(−8.258)

−0.460*

(−5.468)

Panel B: Short-run coefficient estimates

∆Yt

∆LPOSt

∆MEDt

∆LNEGt

ECMt−1

Coefficient

−0.624*

−0.571*

5.121*

−1.203*

−0.721*

t-statistic

−2.870

−2.263

3.100

−6.905

−6.663

Panel C: Threshold values

s1 = −0.802%

s2 = 2.029%

Panel D: Diagnostics

F

R2

LM

LR

WSR

WLR

7.338*

0.695

2.609 [0.271]

8.051 [0.623]

6.900* [0.031]

7.242* [0.026]