The bounds test for cointegration: an alternative measure
| Calculated | Critical bound values | ||||||
|---|---|---|---|---|---|---|---|
| Model | F-statistic | 1% | 5% | 10% | |||
| 3 | LGDPPC = f(LCBS, LSMC, LNE) | 10.9938*** | k = 3 | I(0) | 4.0480 | 2.9460 | 2.4820 |
| 4 | LGDPPC = f(LCBS, LSMTURN, LNE) | 14.1328*** | I(1) | 5.0920 | 3.8620 | 3.3340 | |
| Calculated | Critical bound values | ||||||
|---|---|---|---|---|---|---|---|
| Model | 1% | 5% | 10% | ||||
| 3 | LGDPPC = f(LCBS, LSMC, LNE) | 10.9938*** | 4.0480 | 2.9460 | 2.4820 | ||
| 4 | LGDPPC = f(LCBS, LSMTURN, LNE) | 14.1328*** | 5.0920 | 3.8620 | 3.3340 | ||
Notes:
*** is 1% significance level. k is the number of regressors. Equation (3) is estimated by imposing a maximum of four lags on each first differenced variable and followed by Akaike Information Criterion (AIC) to select the optimum lags
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