Table 3. Nonlinear ARDL estimation...

Table 3.

Nonlinear ARDL estimation results for asymmetric effect of CEPU on imports from China

Variable name	Nigeria	S. Africa	Kenya	Ghana	Angola	Tanzania
Panel A – estimated long-run coefficients
$ρ$	−0.73***	−0.31***	−0.30***	−0.82***	−0.93***	−0.24***
$β^{+}$ (CEPU)	0.58	−0.97**	0.68	0.96***	−0.66***	0.11
$β^{-}$ (CEPU)	−0.50	0.47	−0.08	0.44*	−1.04***	2.02**
Exchange rate	2.92	4.91***	−2.30	−2.52***	−0.74***	−4.91
Gross capital formation	4.56***	−21.71***	−3.46	−0.12	1.66***	−5.60
Labour force participation	91.52***	111.12***	87.29***	−42.65***	15.35**	−24.05
Real GDP	−9.95*	7.52	−28.70**	−11.83***	−7.68***	33.08
Panel B – estimated short-run coefficients
$\sum_{j = 0}^{q} π_{j}^{+}$ (CEPU)	−1.12*	0.00	0.00	0.79***	−3.62***	−1.01***
$\sum_{j = 0}^{q} π_{j}^{-}$ (CEPU)	0.00	0.00	0.00	0.00	0.52***	0.00
$\sum_{j = 0}^{q} δ$ (exchange rate)	−5.96***	0.00	4.07**	−3.57*	−0.60***	0.00
$\sum_{j = 0}^{q} τ$ (gross capital formation)	2.47*	−20.18***	0.00	2.57*	−2.90	0.00
$\sum_{j = 0}^{q} ψ$ (labour force participation)	287.05***	80.20***	−11.81*	86.04**	−31.82**	2.95***
$\sum_{j = 0}^{q} ω$ (real GDP)	−11.68**	0.00	−1.02***	13.37***	−6.76***	0.00
Panel C – symmetry tests
$H_{0} : β^{+} = β^{-}$	4.03**	7.94***	2.17	4.74**	41.92***	5.79**
$H_{0} : \sum_{j = 0}^{q} π_{j}^{+} = \sum_{j = 0}^{q} π_{j}^{-}$	3.43*	0.00	0.00	7.29***	32.79***	14.54***
Panel D – diagnostic tests
F_PSS	6.96***	7.26***	3.01***	11.25***	13.88***	2.47**
t_BDM	−6.49***	−4.73***	−4.10***	−8.28***	−9.21***	−3.45**
BG test (NR²) (serial correlation)	0.59	9.61***	7.88**	1.79	0.72	4.38*
BGP test (heteroscedasticity)	18.46	28.40***	39.43***	24.18**	45.91***	12.05
${\bar{R}}^{2}$	0.49	0.48	0.44	0.58	0.71	0.50

Variable name	Nigeria	S. Africa	Kenya	Ghana	Angola	Tanzania
Panel A – estimated long-run coefficients
$ρ$	−0.73***	−0.31***	−0.30***	−0.82***	−0.93***	−0.24***
$β^{+}$ (CEPU)	0.58	−0.97**	0.68	0.96***	−0.66***	0.11
$β^{-}$ (CEPU)	−0.50	0.47	−0.08	0.44*	−1.04***	2.02**
Exchange rate	2.92	4.91***	−2.30	−2.52***	−0.74***	−4.91
Gross capital formation	4.56***	−21.71***	−3.46	−0.12	1.66***	−5.60
Labour force participation	91.52***	111.12***	87.29***	−42.65***	15.35**	−24.05
Real GDP	−9.95*	7.52	−28.70**	−11.83***	−7.68***	33.08
Panel B – estimated short-run coefficients
$\sum_{j = 0}^{q} π_{j}^{+}$ (CEPU)	−1.12*	0.00	0.00	0.79***	−3.62***	−1.01***
$\sum_{j = 0}^{q} π_{j}^{-}$ (CEPU)	0.00	0.00	0.00	0.00	0.52***	0.00
$\sum_{j = 0}^{q} δ$ (exchange rate)	−5.96***	0.00	4.07**	−3.57*	−0.60***	0.00
$\sum_{j = 0}^{q} τ$ (gross capital formation)	2.47*	−20.18***	0.00	2.57*	−2.90	0.00
$\sum_{j = 0}^{q} ψ$ (labour force participation)	287.05***	80.20***	−11.81*	86.04**	−31.82**	2.95***
$\sum_{j = 0}^{q} ω$ (real GDP)	−11.68**	0.00	−1.02***	13.37***	−6.76***	0.00
Panel C – symmetry tests
$H_{0} : β^{+} = β^{-}$	4.03**	7.94***	2.17	4.74**	41.92***	5.79**
$H_{0} : \sum_{j = 0}^{q} π_{j}^{+} = \sum_{j = 0}^{q} π_{j}^{-}$	3.43*	0.00	0.00	7.29***	32.79***	14.54***
Panel D – diagnostic tests
F_PSS	6.96***	7.26***	3.01***	11.25***	13.88***	2.47**
t_BDM	−6.49***	−4.73***	−4.10***	−8.28***	−9.21***	−3.45**
BG test (NR²) (serial correlation)	0.59	9.61***	7.88**	1.79	0.72	4.38*
BGP test (heteroscedasticity)	18.46	28.40***	39.43***	24.18**	45.91***	12.05
${\bar{R}}^{2}$	0.49	0.48	0.44	0.58	0.71	0.50

Note(s):

*, **and *** signify significance at the 10, 5 and 1% level, respectively. The symmetry tests results are derived from standard Wald tests. The BGP test stands for the Breusch–Pagan–Godfrey heteroscedasticity test, whereas the BG test stands for Breusch–Godfrey serial correlation test. F_PSS stands for the test statistic derived from the bounds testing approach established by Pesaran et al. (2001), while t_BDM denotes the test statistic that follows the cointegration test developed by Banerjee et al. (1998). The critical values associated with the t_BDM statistic are as follows: −2.91 at the 10% level, −3.22 at the 5% level and −3.82 at the 1% level

Source(s): Authors’ own work

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