Table 3

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

Variables in the co-integrating relationshipCo-integration test statistics
Dependent variableIndependent variablestmaxΦ
lcamlindo lmalay lphi lsing lthai lviet−3.886***14.729***
lindolcam lmalay lphi lsing lthai lviet−2.679***9.908***
lmalaylcam lindo lphi lsing lthai lviet−2.647***7.501***
lphilcam lindo lmalay lsing lthai lviet−3.504***11.532***
lsinglcam lindo lmalay lphi lthai lviet−3.338***11.303***
lthailcam lindo lmalay lphi lsing lviet−3.766***13.867***
lvietlcam lindo lmalay lphi lsing lthai−3.347***10.337***

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 −1.71 for the 10% significance level, −1.91 for the 5% significance level and −2.34 for the 1% significance level. For the Φ test statistic, critical values are approximately 5.23 for the 10% significance level, 6.35 for the 5% significance level and 8.94 for the 1% significance level. Statistical significance is indicated by triple asterisks (***) for the 1% level

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