Table 3

Main multivariate NARDL estimates

Panel/VariableCoefficient/TestValuep-value
Model fitObservations/R2/Adj. R2118/0.579/0.440 
ECTError-correction coefficient−0.3425<0.001
Level relationshipJoint lagged-level Wald testF = 3.550.0006
Long-run INF+LR coefficient2.2290.113
Long-run INF−LR coefficient2.6120.073
Long-run INT+LR coefficient−0.6260.154
Long-run INT−LR coefficient−0.2930.687
Long-run EXR+LR coefficient−2.4130.015
Long-run EXR−LR coefficient−3.1550.033
Long-run GDP+LR coefficient−0.0080.339
Long-run GDP−LR coefficient−0.0160.013
Long-run WGPLR coefficient0.3290.023
Short-run lnWGPΔlnWGP0.342<0.001
Short-run EXR+Lagged ΔEXR+1.7740.018
Short-run INF+Lagged ΔINF+−1.6720.027
Asymmetry testsLR INF/INT/EXR/GDP0.834/0.458/0.651/0.254Wald p-values
Asymmetry testsSR INF/INT/EXR/GDP0.071/0.336/0.106/0.890Wald p-values
DiagnosticsBG lags 1/2/30.822/0.935/0.899No serial corr
DiagnosticsBP/RESET/Normality0.840/0.170/0.016Normality weak
StabilityCUSUM-type test0.660 < 10% critical valueStable

Note(s): INF, INT, EXR and GDP are decomposed into positive and negative partial sums. WGP is kept symmetric in the baseline model

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