Table 9 Threshold VECM with threshold... | Emerald Publishing

Table 9

Threshold VECM with threshold effect in all

	Dependent variable: $Δ L U I_{t}$	Dependent variable: $Δ L F P_{t}$
	$EC T_{t - 1} = (Δ LF P_{t - 1} - 22.41 Δ LU I_{t - 1}) \geq - 0.5440$
Constant	0.005 (0.004)	−0.0008 (0.013)
$EC T_{t - 1}^{H}$	0.001** (0.0002)	0.0002* (0.0008)*
$Δ L F P_{t - 1}^{H}$	−0.023 (0.025)	−0.11* (0.07)
$Δ L F P_{t - 2}^{H}$	−0.021 (0.020)	−0.03 (0.06)
$Δ L F P_{t - 3}^{H}$	−0.008 (0.021)	0.004 (0.059)
$Δ L U I_{t - 1}^{H}$	0.14** (0.07)	−0.18 (0.19)
$Δ L U I_{t - 2}^{H}$	−0.003 (0.069)	−0.02 (0.16)
$Δ L U I_{t - 3}^{H}$	0.14** (0.05)	0.21 (0.16)
	$EC T_{t - 1} = (Δ LF P_{t - 1} - 22.41 Δ LU I_{t - 1}) < - 0.5440$
Constant	−0.010** (0.004)	0.003 (0.013)
$EC T_{t - 1}^{L}$	0.0001 (0.0003)	0.0001 (0.0009)
$Δ L F P_{t - 1}^{L}$	0.310** (0.082)	−0.27** (0.08)
$Δ L F P_{t - 2}^{L}$	0.04 (0.05)	−0.10** (0.07)
$Δ L F P_{t - 3}^{L}$	0.213** (0.056)	−0.05 (0.06)
$Δ L U I_{t - 1}^{L}$	−0.0004 (0.0221)	0.17 (0.22)
$Δ L U I_{t - 2}^{L}$	−0.002 (0.021)	−0.03 (0.14)
$Δ L U I_{t - 3}^{L}$	−0.008 (0.022)	−0.19 (0.17)

	Dependent variable: $Δ L U I_{t}$	Dependent variable: $Δ L F P_{t}$
	$EC T_{t - 1} = (Δ LF P_{t - 1} - 22.41 Δ LU I_{t - 1}) \geq - 0.5440$
Constant	0.005 (0.004)	−0.0008 (0.013)
$EC T_{t - 1}^{H}$	0.001** (0.0002)	0.0002** (0.0008)
$Δ L F P_{t - 1}^{H}$	−0.023 (0.025)	−0.11* (0.07)
$Δ L F P_{t - 2}^{H}$	−0.021 (0.020)	−0.03 (0.06)
$Δ L F P_{t - 3}^{H}$	−0.008 (0.021)	0.004 (0.059)
$Δ L U I_{t - 1}^{H}$	0.14** (0.07)	−0.18 (0.19)
$Δ L U I_{t - 2}^{H}$	−0.003 (0.069)	−0.02 (0.16)
$Δ L U I_{t - 3}^{H}$	0.14** (0.05)	0.21 (0.16)
	$EC T_{t - 1} = (Δ LF P_{t - 1} - 22.41 Δ LU I_{t - 1}) < - 0.5440$
Constant	−0.010** (0.004)	0.003 (0.013)
$EC T_{t - 1}^{L}$	0.0001 (0.0003)	0.0001 (0.0009)
$Δ L F P_{t - 1}^{L}$	0.310** (0.082)	−0.27** (0.08)
$Δ L F P_{t - 2}^{L}$	0.04 (0.05)	−0.10** (0.07)
$Δ L F P_{t - 3}^{L}$	0.213** (0.056)	−0.05 (0.06)
$Δ L U I_{t - 1}^{L}$	−0.0004 (0.0221)	0.17 (0.22)
$Δ L U I_{t - 2}^{L}$	−0.002 (0.021)	−0.03 (0.14)
$Δ L U I_{t - 3}^{L}$	−0.008 (0.022)	−0.19 (0.17)

Note(s): (1) Eicker-White heteroskedasticity consistent standard error, (2) Approximately, 75% of the observations are in Regime 1 and 25% are in Regime 2 and (3) * for 1% and ** for 5%