Table 7 ARDL bounds test for... | Emerald Publishing

Table 7

ARDL bounds test for cointegration

	Value		I(0) bound	I(1) bound	Decision
F-statistic	5.874	10%	2.26	3.35	Reject H₀
k = 4		5%	2.62	3.79	Reject H₀
		1%	3.41	4.68	Reject H₀

Note(s): Table CI (iii), unrestricted intercept, no trend

As a small-sample robustness check, the Narayan (2005) critical values for T = 80 and k = 4 are also consulted: the 1% upper bound is 5.06. The computed F-statistic of 5.874 exceeds the 1% upper bound under both the Pesaran et al. asymptotic tabulation (4.68) and the Narayan small-sample tabulation (5.06), providing unambiguous evidence for cointegration

Source(s): Asymptotic critical values from Pesaran et al. (2001)

[ViewLarge]

Sharing Unavailable