Table 5. Quantile cointegration model τ...

Table 5.

Quantile cointegration model

τ	gepu_t vs opri_t		gepu_t vs byie_t		opri_t vs byie_t
	β (τ)	γ (τ)	β (τ)	γ (τ)	β (τ)	γ (τ)
0.05	−5.460***	0.492***	−2.823**	0.298*	−2.406***	0.293***
0.10	−5.327***	0.413***	−2.101*	0.208	−2.716***	0.338***
0.15	−5.042***	0.408***	−1.805**	0.163	−2.598***	0.329***
0.20	−4.750**	0.376**	−1.488	0.121	−2.938***	0.351***
0.25	−4.424**	0.262**	−0.982	0.060	−2.453***	0.299***
0.30	−3.515*	0.136*	−0.715	0.032	−1.156	0.157*
0.35	−3.171*	0.114*	−0.906	0.055	−0.915	0.127
0.40	−3.065*	0.091*	−0.686	0.029	−0.809	0.118
0.45	–	–	–	–	−0.585	0.092
0.50	–	–	–	–	−0.245	0.050
0.55	–	–	–	–	−0.401	−0.029
0.60	–	–	–	–	−0.888	−0.084
0.65	–	–	–	–	−0.867	−0.083
0.70	–	–	–	–	−1.188	−0.125
0.75	–	–	–	–	−1.487	−0.160
0.80	–	–	–	–	−3.032**	0.327**
0.85	–	–	–	–	−3.109**	0.335**
0.90	–	–	–	–	−3.598	0.405**
0.95	–	–	–	–	−4.971***	0.601***

τ	gepu_t vs opri_t		gepu_t vs byie_t		opri_t vs byie_t
	β (τ)	γ (τ)	β (τ)	γ (τ)	β (τ)	γ (τ)
0.05	−5.460***	0.492***	−2.823**	0.298*	−2.406***	0.293***
0.10	−5.327***	0.413***	−2.101*	0.208	−2.716***	0.338***
0.15	−5.042***	0.408***	−1.805**	0.163	−2.598***	0.329***
0.20	−4.750**	0.376**	−1.488	0.121	−2.938***	0.351***
0.25	−4.424**	0.262**	−0.982	0.060	−2.453***	0.299***
0.30	−3.515*	0.136*	−0.715	0.032	−1.156	0.157*
0.35	−3.171*	0.114*	−0.906	0.055	−0.915	0.127
0.40	−3.065*	0.091*	−0.686	0.029	−0.809	0.118
0.45	–	–	–	–	−0.585	0.092
0.50	–	–	–	–	−0.245	0.050
0.55	–	–	–	–	−0.401	−0.029
0.60	–	–	–	–	−0.888	−0.084
0.65	–	–	–	–	−0.867	−0.083
0.70	–	–	–	–	−1.188	−0.125
0.75	–	–	–	–	−1.487	−0.160
0.80	–	–	–	–	−3.032**	0.327**
0.85	–	–	–	–	−3.109**	0.335**
0.90	–	–	–	–	−3.598	0.405**
0.95	–	–	–	–	−4.971***	0.601***

Note:

***;

** and

*refer to rejection of the null hypothesis at the 1, 5 and 10% significance level, respectively

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