Table 2

Robustness check: results from the Enders–Siklos test for threshold co-integration (Weekly data)

Variables in the co-integrating relationshipCo-integration test statistics
Dependent variableIndependent variablestmaxΦ
lcamlindo lmalay lphi lsing lthai lviet−3.705***14.773***
lindolcam lmalay lphi lsing lthai lviet−2.627***10.229***
lmalaylcam lindo lphi lsing lthai lviet−2.623***8.048***
lphilcam lindo lmalay lsing lthai lviet−3.499***13.619***
lsinglcam lindo lmalay lphi lthai lviet−3.493***12.596***
lthailcam lindo lmalay lphi lsing lviet−3.729***13.799***
lvietlcam lindo lmalay lphi lsing lthai−3.104***12.125***

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 tmax and Φ tests are taken from Tables 1 and 2 in Enders and Siklos (2001). For the tmax 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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