Table 6 Gregory–Hansen cointegration...

Table 6

Gregory–Hansen cointegration tests result

Model	ADF^*	T_b	t-Critical	Decision
GH-1 (Level shift)	−6.675^***	2002	−4.61	Reject Null Hypothesis
GH-2 (Level shift with trend)	−7.131^***	2002	−4.99	Reject Null Hypothesis
GH-3 (Region shift of full break)	−7.131^***	2002	−4.95	Reject Null Hypothesis

Model	ADF^*	T_b	t-Critical	Decision
GH-1 (Level shift)	−6.675^***	2002	−4.61	Reject Null Hypothesis
GH-2 (Level shift with trend)	−7.131^***	2002	−4.99	Reject Null Hypothesis
GH-3 (Region shift of full break)	−7.131^***	2002	−4.95	Reject Null Hypothesis

Note(s): T_b is time break. Asterisk (^***, ^** and ^*) denote statistically significance at 1%, 5% and 10% levels, respectively. Critical values are obtained from Gregory et al. (1996, Table 1, p. 109) for m = 1

Source(s): Author’s estimation from data

[ViewLarge]

Sharing Unavailable