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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