TAR | MTAR | |||||||
---|---|---|---|---|---|---|---|---|
Model-1 | Model-2 | Model-3 | Model-4 | Model-1 | Model-2 | Model-3 | Model-4 | |
ρ+ | −0.122 [0.037] | − 0.087 N [0.029] | − 0.104 [0.032] | −0.110 [0.033] | − 0.274 [0.055] | −0.172 [0.038] | − 0.255 [0.052] | −0.246 [0.048] |
ρ− | −0.096 [0.0526] | −0.026 [0.038] | − 0.058 [0.047] | −0.055 [0.046] | − 0.051 [0.035] | −0.005 [0.029] | − 0.037 [0.029] | −0.026 [0.031] |
\( {\hat{F}}_{Equal} \) | 0.181 (1.374) | 1.618a (1.364) | 0.668 (1.438) | 0.972 (1.358) | 12.214a (6.704) | 12.322a (6.900) | 13.355a (6.786) | 15.188a (6.799) |
\( {\hat{F}}_{Joint} \) | 6.968a (6.229) | 4.655 (6.175) | 5.936 (6.257) | 6.104 (6.233) | 13.277a (8.345) | 10.152a (8.451) | 12.529a (8.315) | 13.493a (8.385) |
Long run cointegration | √ | × | × | × | √ | √ | √ | √ |
Asymmetry effects | × | √ | × | × | √ | √ | √ | √ |