Table 7 Short-run asymmetric NARDL...

Table 7

Short-run asymmetric NARDL results with a structural break

Variable	Coefficient	Std. error	t-statistic	p-value
COINTEQ*	−0.111***	0.008	−14.222	0.000
ΔLGDPPC_POS	0.433***	0.094	4.612	0.000
ΔLGDPPC_NEG	0.008	0.050	0.161	0.872
ΔLCPI_POS	−0.141	0.106	−1.322	0.191
ΔLCPI_POS(−1)	−0.512***	0.110	−4.642	0.000
ΔINTER_POS	−0.032**	0.011	−2.881	0.005
ΔINTER_POS(−1)	−0.013	0.011	−1.163	0.249
ΔINTER_POS(−2)	−0.027**	0.011	−2.439	0.017
ΔINTER_POS(−3)	−0.024**	0.010	−2.287	0.025
ΔINTER_NEG	0.021**	0.010	2.192	0.032
ΔINTER_NEG(−1)	−0.021**	0.009	−2.187	0.032
ΔLRHPI	−0.006**	0.002	−2.619	0.011
Constant (c)	0.376***	0.027	14.074	0.000

Variable	Coefficient	Std. error	t-statistic	p-value
COINTEQ*	−0.111***	0.008	−14.222	0.000
ΔLGDPPC_POS	0.433***	0.094	4.612	0.000
ΔLGDPPC_NEG	0.008	0.050	0.161	0.872
ΔLCPI_POS	−0.141	0.106	−1.322	0.191
ΔLCPI_POS(−1)	−0.512***	0.110	−4.642	0.000
ΔINTER_POS	−0.032**	0.011	−2.881	0.005
ΔINTER_POS(−1)	−0.013	0.011	−1.163	0.249
ΔINTER_POS(−2)	−0.027**	0.011	−2.439	0.017
ΔINTER_POS(−3)	−0.024**	0.010	−2.287	0.025
ΔINTER_NEG	0.021**	0.010	2.192	0.032
ΔINTER_NEG(−1)	−0.021**	0.009	−2.187	0.032
ΔLRHPI	−0.006**	0.002	−2.619	0.011
Constant (c)	0.376***	0.027	14.074	0.000

Note(s): Model fit: R² = 0.826, Adj. R² = 0.793, S.E. = 0.00835, AIC = −6.581, DW = 2.225. COINTEQ* is the error correction term (speed of adjustment). “POS/NEG” = positive/negative partial sums (asymmetric decomposition). *, **, and *** denote rejection at the 10%, 5%, and 1% level, respectively

Source(s): Authors' calculations; created by authors

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