Table A1 Long-run relations and symmetry...

Table A1

Long-run relations and symmetry results. Monthly observations from 1995 to 2000

Panel A: Long-run coefficients
Variables	Coefficient	p-value
Constant	−0.16*	0.01
${GU}^{+}$	−0.059*	0.02
${GU}^{-}$	−0.30*	0.00
${FS}^{+}$	−0.18*	0.03
${FS}^{-}$	−0.21*	0.005
$S$	−0.16*	0.00
$S^{-}$	0.44*	0.00

Panel A: Long-run coefficients
Constant	−0.16*	0.01
${GU}^{+}$	−0.059*	0.02
${GU}^{-}$	−0.30*	0.00
${FS}^{+}$	−0.18*	0.03
${FS}^{-}$	−0.21*	0.005
$S$	−0.16*	0.00
$S^{-}$	0.44*	0.00

Symmetry results Wald tests
Long-run symmetry Wald statistics		The characteristic of the relationship	Short-run symmetry Wald statistics		The characteristic of the relationship
$W_{LR, GU}$	14.08 (0.00)	Asymmetry	$W_{SR, GU}$	15.25 (0.00)	Asymmetry
$W_{LR, FS}$	10.28 (0.002)		$W_{SR, FS}$	12.3 (0.001)
$W_{LR, S}$	16.18 (0.00)		$W_{SR, S}$	8.18 (0.00)

Symmetry results Wald tests
Long-run symmetry Wald statistics		The characteristic of the relationship	Short-run symmetry Wald statistics		The characteristic of the relationship
$W_{LR, GU}$	14.08 (0.00)	Asymmetry	$W_{SR, GU}$	15.25 (0.00)	Asymmetry
$W_{LR, FS}$	10.28 (0.002)		$W_{SR, FS}$	12.3 (0.001)
$W_{LR, S}$	16.18 (0.00)		$W_{SR, S}$	8.18 (0.00)

Note(s): $W_{LR, GU}$ ⁠, $W_{LR, FS} and W_{LR, S}$ refer to the Wald test (Null Hypothesis) of asymmetry for the long run for the respective variables, similarly $W_{SR, GU}, W_{SR, FS}$ and $W_{SR, S}$ refer to the Wald test (Null Hypothesis) of asymmetry for the short run for the respective explanatory variables

Source(s): Compilation Author

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