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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)

1.618a (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

×

×

×

  1. 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