Financial Innovation

Table 6 Enders-Siklos cointegration test estimates

From: Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach

	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)	1.618^a (1.364)	0.668 (1.438)	0.972 (1.358)	12.214^a (6.704)	12.322^a (6.900)	13.355^a (6.786)	15.188^a (6.799)
\( {\hat{F}}_{Joint} \)	6.968^a (6.229)	4.655 (6.175)	5.936 (6.257)	6.104 (6.233)	13.277^a (8.345)	10.152^a (8.451)	12.529^a (8.315)	13.493^a (8.385)
Long run cointegration	√	×	×	×	√	√	√	√
Asymmetry effects	×	√	×	×	√	√	√	√

Note: ^a denote significance at 10% level. TAR indicate threshold autoregressive model with threshold indications. Numbers in [] and () are standard errors and the Enders and Siklos (2001) bootstrap critical value

Back to article page