Table 5 NARDL bounds cointegration test...

Table 5

NARDL bounds cointegration test

Country	F-statistic	$t_{B D M}$ statistics	${E C M}_{t - 1}$	Conclusion
Indonesia	20.80***	−4.341***	−0.396 (0.00)***	Cointegration
Malaysia	15.58***	−5.868***	−0.565 (0.00)***	Cointegration
Philippines	7.170***	−3.407***	−0.520 (0.00)***	Cointegration
Singapore	17.96***	−3.330***	−0.151 (0.00)***	Cointegration
Thailand	6.314***	−4.930***	−0.775 (0.00)***	Cointegration
S. Korea	32.91***	−1.75*	−0.081 (0.00)***	Cointegration
Japan	4.758***	−2.73**	−0.188 (0.00)***	Cointegration

Country	F-statistic	$t_{B D M}$ statistics	${E C M}_{t - 1}$	Conclusion
Indonesia	20.80***	−4.341***	−0.396 (0.00)***	Cointegration
Malaysia	15.58***	−5.868***	−0.565 (0.00)***	Cointegration
Philippines	7.170***	−3.407***	−0.520 (0.00)***	Cointegration
Singapore	17.96***	−3.330***	−0.151 (0.00)***	Cointegration
Thailand	6.314***	−4.930***	−0.775 (0.00)***	Cointegration
S. Korea	32.91***	−1.75*	−0.081 (0.00)***	Cointegration
Japan	4.758***	−2.73**	−0.188 (0.00)***	Cointegration

	Pesaran et al. (2001) critical values (K = 8)
Significance	I(0) bound	I(1) bound
10%	1.85	2.85
5%	2.11	3.15
1%	2.62	3.77

	Pesaran et al. (2001) critical values (K = 8)
10%	1.85	2.85
5%	2.11	3.15
1%	2.62	3.77

Note(s): Null hypothesis: No cointegration. The selection of the model lags is based on AIC. The bounds test critical values are from Pesaran et al. (2001), Critical values: Case II-restricted intercept and no trend. K = 8. ***, ** and * denote significance at 1%, 5%, and 10% levels, respectively

Source(s): The authors

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