Table 1 Results from the Enders–Siklos...

Table 1

Results from the Enders–Siklos test for threshold co-integration

Variables in the co-integrating relationship		Co-integration test statistics
Dependent variable	Independent variables	t_max	Φ
Lcam	lindo lmalay lphi lsing lthai lviet	−4.130***	19.225***
Lindo	lcam lmalay lphi lsing lthai lviet	−3.375***	15.388***
Lmalay	lcam lindo lphi lsing lthai lviet	−3.007***	10.675***
Lphi	lcam lindo lmalay lsing lthai lviet	−4.1852***	18.176***
Lsing	lcam lindo lmalay lphi lthai lviet	−3.334***	13.093***
Lthai	lcam lindo lmalay lphi lsing lviet	−4.219***	19.668***
Lviet	lcam lindo lmalay lphi lsing lthai	−3.223***	15.628***

Variables in the co-integrating relationship		Co-integration test statistics
Dependent variable	Independent variables	t_max	Φ
Lcam	lindo lmalay lphi lsing lthai lviet	−4.130***	19.225***
Lindo	lcam lmalay lphi lsing lthai lviet	−3.375***	15.388***
Lmalay	lcam lindo lphi lsing lthai lviet	−3.007***	10.675***
Lphi	lcam lindo lmalay lsing lthai lviet	−4.1852***	18.176***
Lsing	lcam lindo lmalay lphi lthai lviet	−3.334***	13.093***
Lthai	lcam lindo lmalay lphi lsing lviet	−4.219***	19.668***
Lviet	lcam lindo lmalay lphi lsing lthai	−3.223***	15.628***

Note(s): The lag used for each test is determined using the general-to-specific method (Ng and Perron, 1995) with a maximum lag order of 8 allowed. The null hypothesis under test is no co-integration. Approximate critical values for the t_max and Φ tests are taken from Tables 1 and 2 in Enders and Siklos (2001). For the t_max test statistic, critical values are −1.69 for the 10% significance level, −1.89 for the 5% significance level and −2.29 for the 1% significance level. For the Φ test statistic, critical values are approximately 5.21 for the 10% significance level, 6.33 for the 5% significance level and 9.09 for the 1% significance level. Statistical significance is indicated by triple asterisks (***) for the 1% level

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