Table 6 Nonlinear ARDL estimation...

Table 6

Nonlinear ARDL estimation results

Dependent variable $Δ {CCI}_{t + 1}$
Short run estimation
Variables	Coefficient	t-statistic	Prob
Constant	−0.93	−12.0	0.00
${CCI}_{t + 1}$	−0.007	−3.85	0.00
${GU}_{t - 1}^{+}$	−1.23	−4.82	0.041
${GU}_{t - 1}^{-}$	−0.80	−2.98	0.009
${FS}_{t - 1}^{+}$	−1.33	−3.10	0.0092
${FSI}_{t - 1}^{-}$	−5.98	−5.49	0.0013
$S_{t - 1}^{+}$	−0.076	−3.52	0.003
$S_{t - 1}^{-}$	0.22	2.14	0.04
$Δ {GU}_{t}^{+}$	−0.55	−6.42	0.00
$Δ {GU}_{t - 1}^{+}$	−0.32	−2.40	0.02
$Δ {GU}_{t}^{-}$	−0.31	−5.36	0.007
$Δ {GU}_{t - 1}^{-}$	−3.95	−3.21	0.005
$Δ {FS}_{t}^{+}$	−0.76	−3.52	0.003
$Δ F_{t}^{-}$	−0.32	−2.40	0.02
$Δ S_{t}^{+}$	0.01	4.38	0.0012
$Δ S_{t - 1}^{-}$	0.06	3.71	0.0045
${DUMMY}^{1999}$	0.21	6.21	0.002
${DUMMY}^{2007}$	0.003	3.21	0.02

Dependent variable $Δ {CCI}_{t + 1}$
Short run estimation
Variables	Coefficient	t-statistic	Prob
Constant	−0.93	−12.0	0.00
${CCI}_{t + 1}$	−0.007	−3.85	0.00
${GU}_{t - 1}^{+}$	−1.23	−4.82	0.041
${GU}_{t - 1}^{-}$	−0.80	−2.98	0.009
${FS}_{t - 1}^{+}$	−1.33	−3.10	0.0092
${FSI}_{t - 1}^{-}$	−5.98	−5.49	0.0013
$S_{t - 1}^{+}$	−0.076	−3.52	0.003
$S_{t - 1}^{-}$	0.22	2.14	0.04
$Δ {GU}_{t}^{+}$	−0.55	−6.42	0.00
$Δ {GU}_{t - 1}^{+}$	−0.32	−2.40	0.02
$Δ {GU}_{t}^{-}$	−0.31	−5.36	0.007
$Δ {GU}_{t - 1}^{-}$	−3.95	−3.21	0.005
$Δ {FS}_{t}^{+}$	−0.76	−3.52	0.003
$Δ F_{t}^{-}$	−0.32	−2.40	0.02
$Δ S_{t}^{+}$	0.01	4.38	0.0012
$Δ S_{t - 1}^{-}$	0.06	3.71	0.0045
${DUMMY}^{1999}$	0.21	6.21	0.002
${DUMMY}^{2007}$	0.003	3.21	0.02

Note(s): J–B denotes the Jarque–Bera test statistic for normality, LM(.) is the LM test for autocorrelation for lag order shown in the parenthesis and ARCH(.) is the test for autoregressive conditional heteroscedasticity, upto the lag order shown in the parenthesis. (*) denotes statistical significance to 5% level. ${DUMMY}^{1999}$ and ${DUMMY}^{2007}$ are the dummy variables

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