Table II. ARDL Cointegration analysis...

Table II.

ARDL Cointegration analysis

	Bounds testing to cointegration		Diagnostic tests
Estimated models	Lag length	F-statistics	$χ_{S E R I A L}^{2}$	$χ_{A R C H}^{2}$	$χ_{N O R M A L}^{2}$
$F_{R E V_{t}} (R E V_{t} / R A T E_{t}, R A T E_{t}^{2}, C R I S I S)$	1,2,0	4.054**	0.144 [1]	0.345 [1]	0.958 [1]
Significance level	Critical values (T= 19)^#
Significance level	Lower bounds I(0)	Upper bounds I(1)
1 per cent level	4.13	5.00
5 per cent level	3.10	3.87
10 per cent level	2.63	3.35

	Bounds testing to cointegration		Diagnostic tests
Estimated models	Lag length	F-statistics	$χ_{S E R I A L}^{2}$	$χ_{A R C H}^{2}$	$χ_{N O R M A L}^{2}$
$F_{R E V_{t}} (R E V_{t} / R A T E_{t}, R A T E_{t}^{2}, C R I S I S)$	1,2,0	4.054**	0.144 [1]	0.345 [1]	0.958 [1]
Significance level	Critical values (T= 19)^#
Significance level	Lower bounds I(0)	Upper bounds I(1)
1 per cent level	4.13	5.00
5 per cent level	3.10	3.87
10 per cent level	2.63	3.35

Notes: ** denote significance at 5%. The optimal lag length is determined by on Schwarz Information Criterion. [ ] is the order of diagnostic tests. Critical values for the bounds test: case II: restricted intercept and no trend

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