Table 3 Estimation of the NARDL model...

Table 3

Estimation of the NARDL model

Variable	Model 1			Model 2
Variable	Coefficient	Std. Error	Prob	Coefficient	Std. Error	Prob
C	5.34***	0.89	0.00	5.39***	0.84	0.00
@TREND	−0.01**	0.00	0.02	−0.01***	0.00	0.01
$ρ_{1}$	−0.75***	0.12	0.00	−0.75***	0.12	0.00
$ρ_{2}^{+}$	1.47	0.92	0.12	1.44**	0.70	0.05
$ρ_{3}^{-}$	−6.61***	1.39	0.00	−6.59***	1.24	0.00
$ϕ_{1}$	0.27**	0.13	0.04	0.28**	0.12	0.02
$ϕ_{2}$	0.26**	0.11	0.02	0.26**	0.11	0.02
$δ_{0}^{+}$	0.34	0.95	0.72
$δ_{1}^{+}$	0.47	1.19	0.70
$δ_{2}^{+}$	−0.35	1.22	0.78
$δ_{0}^{-}$	−1.26	1.73	0.47	−0.92	1.53	0.55
$δ_{1}^{-}$	3.70*	1.98	0.07	4.11**	1.71	0.02
$δ_{2}^{-}$	6.15***	1.85	0.00	6.10***	1.57	0.00
D_2018M06	−0.09***	0.03	0.00	−0.09***	0.02	0.00
${\bar{R}}^{2}$	0.38			0.41
AIC	−4.05			−4.14
SIC	−3.55			−3.75
RESET(1)	1.72	[0.19]		1.61	[0.20]
B.G (1)	0.54	[0.46]		0.48	[0.49]
ARCH(1)	0.48	[0.49]		0.39	[0.53]
JB	0.74	[0.69]		0.49	[0.78]
Long-run symmetry
$ρ_{2}^{+} = ρ_{3}^{-}$	3.73	[0.00]
Short-run symmetry
$δ_{0}^{+} = δ_{0}^{-}$	0.71	[0.48]
$δ_{1}^{+} = δ_{1}^{-}$	−1.18	[0.24]
$δ_{2}^{+} = δ_{2}^{-}$	−2.46	[0.02]
Redundant variables test
$δ_{0}^{+} = δ_{1}^{+} = δ_{2}^{+} = 0$	0.16	(3, 44)	[0.92]
$δ_{0}^{-} = δ_{1}^{-} = δ_{2}^{-} = 0$	3.81	(3, 44)	[0.02]
Bounds test for cointegration
$F_{I V}$	9.56***			10.64***
$F_{V}$	12.64***			13.92***

Variable	Model 1			Model 2
Variable	Coefficient	Std. Error	Prob	Coefficient	Std. Error	Prob
C	5.34***	0.89	0.00	5.39***	0.84	0.00
@TREND	−0.01**	0.00	0.02	−0.01***	0.00	0.01
$ρ_{1}$	−0.75***	0.12	0.00	−0.75***	0.12	0.00
$ρ_{2}^{+}$	1.47	0.92	0.12	1.44**	0.70	0.05
$ρ_{3}^{-}$	−6.61***	1.39	0.00	−6.59***	1.24	0.00
$ϕ_{1}$	0.27**	0.13	0.04	0.28**	0.12	0.02
$ϕ_{2}$	0.26**	0.11	0.02	0.26**	0.11	0.02
$δ_{0}^{+}$	0.34	0.95	0.72
$δ_{1}^{+}$	0.47	1.19	0.70
$δ_{2}^{+}$	−0.35	1.22	0.78
$δ_{0}^{-}$	−1.26	1.73	0.47	−0.92	1.53	0.55
$δ_{1}^{-}$	3.70*	1.98	0.07	4.11**	1.71	0.02
$δ_{2}^{-}$	6.15***	1.85	0.00	6.10***	1.57	0.00
D_2018M06	−0.09***	0.03	0.00	−0.09***	0.02	0.00
${\bar{R}}^{2}$	0.38			0.41
AIC	−4.05			−4.14
SIC	−3.55			−3.75
RESET(1)	1.72	[0.19]		1.61	[0.20]
B.G (1)	0.54	[0.46]		0.48	[0.49]
ARCH(1)	0.48	[0.49]		0.39	[0.53]
JB	0.74	[0.69]		0.49	[0.78]
Long-run symmetry
$ρ_{2}^{+} = ρ_{3}^{-}$	3.73	[0.00]
Short-run symmetry
$δ_{0}^{+} = δ_{0}^{-}$	0.71	[0.48]
$δ_{1}^{+} = δ_{1}^{-}$	−1.18	[0.24]
$δ_{2}^{+} = δ_{2}^{-}$	−2.46	[0.02]
Redundant variables test
$δ_{0}^{+} = δ_{1}^{+} = δ_{2}^{+} = 0$	0.16	(3, 44)	[0.92]
$δ_{0}^{-} = δ_{1}^{-} = δ_{2}^{-} = 0$	3.81	(3, 44)	[0.02]
Bounds test for cointegration
$F_{I V}$	9.56***			10.64***
$F_{V}$	12.64***			13.92***

Note(s): JB = Jarque–Bera test for normality; ARCH(1) = Lagrange multiplier tests for autoregressive conditional heteroskedasticity in the residuals; RESET = Ramsey's regression specification error test; B.G(1) = Breusch–Godfrey test for serial correlation. All diagnostic test results are based on $χ^{2}$ statistics. p-values in []

$F_{I V}$ and $F_{V}$ are F-statistics corresponding to cases IV, i.e. with an unrestricted constant and a restricted trend, and V, i.e. with an unrestricted constant and an unrestricted trend, respectively. ***, ** and * denote significance at the 1, 5 and 10% levels, respectively

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