Bound test for nonlinear cointegration results
| Test statistic | Model 1 (1,0,1,1,0,0,0) | Model 2 (1,1,1,0,0) | ||
|---|---|---|---|---|
| F-statistic | 4.087** | 22.65** | ||
| I(0) | I(1) | I(0) | I(1) | |
| Bound critical values by Pesaran et al. (2001) | 2.45 | 3.61 | 2.86 | 4.01 |
| Test statistic | Model 1 (1,0,1,1,0,0,0) | Model 2 (1,1,1,0,0) | ||
|---|---|---|---|---|
| F-statistic | 4.087** | 22.65** | ||
| I(0) | I(1) | I(0) | I(1) | |
| Bound critical values by | 2.45 | 3.61 | 2.86 | 4.01 |
Note(s): This table shows the NARDL bound testing results. The null hypothesis is that there is no nonlinear cointegration and ** denotes rejection of the null hypothesis at the 5% level of significance based on Pesaran’s critical value
Source(s): Table by authors’
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