Table 5. Long and short-run asymmetry...

Table 5.

Long and short-run asymmetry results (Model 16)

Asymmetry results	Long-run effect (+)			Long-run effect (−)
Variables	Coef.	F-stat	p-value	Coef.	F-stat	p-value
GFD	4.710	7.792	0.011*	−0.071	4.236	0.049**
CMR	−1.968	23.80	0.000*	0.522	4.466	0.046**
GDPFC	−1.605	20.41	0.000*	1.911	22.06	0.000*
TO	−0.389	2.012	0.170	−0.723	3.542	0.073***
OPI	0.065	2.063	0.165	−0.048	0.805	0.379
	Long-run asymmetry			Short-run asymmetry
	W_LR			W_SR
	F-stat	p-value		F-Stat	p-value
GFD	4.706	0.041**		3.114	0.091***
CMR	18.64	0.000*		8.085	0.009*
GDPFC	4.516	0.045**		4.584	0.044**
TO	5.751	0.025**		3.044	0.095***
OPI	0.346	0.562		2.754	0.111
Cointegration test	F_PSS	t_BDM
	4.450**	−5.759**
Model diagnostics	Test statistics	p-value
$χ_{S c}^{2}$	16.88	0.660
$χ_{B P G}^{2}$	0.315	0.574
$χ_{N O R}^{2}$	2.381	0.304
Ramsey F_test	1.309	0.330

Notes:

INF= f (GFD, CMR, GDPFC, TO, OPI). Note: FPSS and tBDM are the long-run cointegration test statistics. *; ** and *** denote the 1%, 5% and 10% significance levels, respectively. $χ_{S c}^{2}$ represent the portmanteau serial correlation test, $χ_{B P G}^{2}$ denote the Breusch-Pagan-Godfrey heteroskedasticity test, Ramsey F is the RESET test and finally the Jarque-Bera normality test is denoted by $χ_{N O R}^{2}$ ⁠. General to specific approach is followed, with an initial set up comprising max p = max q = 2. The relevant 5% and 10% upper bound critical values of tBDM for k = 5 (without taking partial decomposition into consideration) are −4.19 and −3.86 and for k = 10 (when partial sum decompositions are independently treated as regressors) are −5.03 and −4.69. Similarly, for the FPSS test the relevant 5% and 10% upper bound critical values for k = 5 are 3.79 and 3.35 and for k = 10 are 3.24 and 2.94, respectively

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