Table 2 Estimated threshold parameters,... | Emerald Publishing

Table 2

Estimated threshold parameters, F-test values and respective p-values from testing the threshold model against the linear model

Variable	Threshold parameter	F-test value	P-value
$Δ y_{t - 1}$	−0.093	22.25	0.075
$Δ y_{t - 2}$	−0.062	11.27	0.65
$Δ y_{t - 3}$	0.068	24.06	0.05
$Δ y_{t - 4}$	−0.091	34.13	0.004
$Δ y_{t - 5}$	−0.064	20.65	0.102
$y_{t - 1} - y_{t - 12}$	−0.089	10.37	0.767

Variable	Threshold parameter	F-test value	P-value
$Δ y_{t - 1}$	−0.093	22.25	0.075
$Δ y_{t - 2}$	−0.062	11.27	0.65
$Δ y_{t - 3}$	0.068	24.06	0.05
$Δ y_{t - 4}$	−0.091	34.13	0.004
$Δ y_{t - 5}$	−0.064	20.65	0.102
$y_{t - 1} - y_{t - 12}$	−0.089	10.37	0.767