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] |