Table 4 ARDL model specification tests... | Emerald Publishing

Table 4

ARDL model specification tests

	Breusch–Pagan test	Breusch–Godfrey test	Wald test	CUSUM test	Breusch–Pagan test	Breusch–Godfrey test	Wald test	CUSUM test
	Model using market-based inflation expectations				Model using survey-based inflation expectations
GBPCAD	0.2107	0.0040***	0.9902	0.2216	0.4271	0.0039***	0.9723	0.5109
GBPAUD	0.4510	0.0082***	0.9612	0.1978	0.3168	0.0087***	0.7643	0.2265
GBPNZD	0.0176**	0.0093***	0.6906	0.1901	0.0166**	0.0051***	0.4522	0.3373
GBPSEK	0.0154**	0.0073***	0.1395	0.3763	0.0707*	0.0064***	0.1078	0.8438
CADAUD	0.1102	0.0002***	0.6089	0.0562*	0.1285	0.0007***	0.7237	0.0491**
CADNZD	0.0029***	0.0002***	0.4685	0.2067	0.0551*	0.0010***	0.4391	0.1054
CADSEK	0.0348**	0.0002***	0.9831	0.6337	0.0543*	0.0003***	0.9666	0.4715
AUDNZD	0.0312**	0.0000***	0.7201	0.6308	0.0330**	0.0000***	0.2306	0.4127
AUDSEK	0.0850*	0.0000***	0.4218	0.0414**	0.5451	0.0000***	0.4217	0.2109
NZDSEK	0.0132**	0.0000***	0.0210**	0.1489	0.0166**	0.0000***	0.0187**	0.0539

Breusch–Pagan test for heteroscedasticity		Breusch–Godfrey LM test for serial correlation		Wald F-test for weak exogeneity		CUSUM test for parameter constancy
H₀: homoscedastic error		H₀: no serial correlation		H₀: no endogeneity		H₀: no parameter constancy
H₁: heteroscedastic error		H₁: serial correlation		H₁: weak endogenity		H₁: parameter constancy

	Breusch–Pagan test	Breusch–Godfrey test	Wald test	CUSUM test	Breusch–Pagan test	Breusch–Godfrey test	Wald test	CUSUM test
	Model using market-based inflation expectations				Model using survey-based inflation expectations
GBPCAD	0.2107	0.0040***	0.9902	0.2216	0.4271	0.0039***	0.9723	0.5109
GBPAUD	0.4510	0.0082***	0.9612	0.1978	0.3168	0.0087***	0.7643	0.2265
GBPNZD	0.0176**	0.0093***	0.6906	0.1901	0.0166**	0.0051***	0.4522	0.3373
GBPSEK	0.0154**	0.0073***	0.1395	0.3763	0.0707*	0.0064***	0.1078	0.8438
CADAUD	0.1102	0.0002***	0.6089	0.0562*	0.1285	0.0007***	0.7237	0.0491**
CADNZD	0.0029***	0.0002***	0.4685	0.2067	0.0551*	0.0010***	0.4391	0.1054
CADSEK	0.0348**	0.0002***	0.9831	0.6337	0.0543*	0.0003***	0.9666	0.4715
AUDNZD	0.0312**	0.0000***	0.7201	0.6308	0.0330**	0.0000***	0.2306	0.4127
AUDSEK	0.0850*	0.0000***	0.4218	0.0414**	0.5451	0.0000***	0.4217	0.2109
NZDSEK	0.0132**	0.0000***	0.0210**	0.1489	0.0166**	0.0000***	0.0187**	0.0539

Breusch–Pagan test for heteroscedasticity		Breusch–Godfrey LM test for serial correlation		Wald F-test for weak exogeneity		CUSUM test for parameter constancy
H₀: homoscedastic error		H₀: no serial correlation		H₀: no endogeneity		H₀: no parameter constancy
H₁: heteroscedastic error		H₁: serial correlation		H₁: weak endogenity		H₁: parameter constancy

Note(s): *significant at 10% level, **significant at 5% level, ***significant at 1% level. P-values reported for all