Table 10

NARDL model lag selection and diagnostic tests

Model using market-based inflation expectationsModel using survey-based inflation expectations
Selected lagARCH effectsLM testCUSUM testARCH effectsLM testCUSUM test
GBPCAD10.06330.54900.0000***0.16890.35200.0000***
GBPAUD10.25940.21930.0000***0.26160.16520.0000***
GBPNZD10.81880.29550.0000***0.20040.26890.0000***
GBPSEK10.08740.88980.0000***0.08660.74520.0002***
CADAUD10.06580.23940.0000***0.06580.23940.0000***
CADNZD10.34720.63700.0000***0.16600.94970.0000***
CADSEK10.32010.35540.0000***0.41160.41250.0000***
AUDNZD10.11890.79160.0000***0.09670.70570.0000***
AUDSEK10.75000.49140.0002***0.38150.39780.0001***
NZDSEK10.90900.99650.0002***0.42340.47230.0000***
 
LM test for ARCH effectsLM test for serial correlationCUSUM test for parameter constancy
H0: no ARCH effectsH0: no serial correlationH0: no parameter constancy
H1: no ARCH effectsH1: serial correlationH1: parameter constancy

Note(s): *** significant at 1% level; ** significant at 5% level; * significant at 10% level

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