Table 2 Test of no remaining... | Emerald Publishing

Table 2

Test of no remaining nonlinearity

Threshold variable	r* = 1		r* = 2		Optimal number of transition function (r)
Threshold variable	LMF stat	p-value	LMF stat	p-value	Optimal number of transition function (r)
CREPRI	3.786	0.000	1.634	0.097	r = 2
CREFIN	4.191	0.000	2.228	0.016	r = 2
LIQUID	2.539	0.006	1.798	0.061	r = 2

Threshold variable	r* = 1		r* = 2		Optimal number of transition function (r)
Threshold variable	LMF stat	p-value	LMF stat	p-value	Optimal number of transition function (r)
CREPRI	3.786	0.000	1.634	0.097	r = 2
CREFIN	4.191	0.000	2.228	0.016	r = 2
LIQUID	2.539	0.006	1.798	0.061	r = 2

Note(s): This table reports the results of the tests of no remaining nonlinearity for the models defined in Eqn. (6)–(8). H₀: PSTR model with r = r* and H₁: PSTR model with r = r*+1. At each step of the sequential testing procedure for the optimal r, the critical p-value is reduced by a constant factor (tau = 0.5) to avoid excessively large models

Source(s): Author's computations

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