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Table 7 The M-TVECM estimates

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

  Model-1 Model-2 Model-3 Model-4
∆NERt-3   0.102*** (0.060) 0.114*** (0.060) 0.117** (0.059)
∆NERt-5 0.168* (0.059) 0.212* (0.058) 0.187* (0.058) 0.222* (0.059)
∆OPt −0.037** (0.015)    
∆OPt-4 −0.030*** (0.015)    
∆POt-1   −0.045** (0.022)   
∆POt-4   −0.037*** (0.021)   
∆RUBt-5    −0.024 (0.020)  
∆NGt-3     −0.063* (0.021)
Break effect 0.013 (0.025) 0.008 (0.026) 0.001 (0.030) 0.002 (0.025)
δ+ −0.033** (0.014) −0.036* (0.013) − 0.037* (0.014) −0.038* (0.014)
δ −0.008 (0.013) −0.009 (0.014) − 0.009 (0.014) −0.011 (0.015)
Diagnostic tests
CUSUM Stable Stable Stable Stable
\( {\chi}_{Serial}^2 \) 2.663 [0.264] 3.255 [0.196] 2.534 [0.282] 2.309 [0.315]
R-square 0.08 0.10 0.07 0.09
DW 1.885 1.850 1.857 1.851
  1. Note: *, ** and *** denote significance at 1, 5 and 10% levels, respectively. Numbers in () and [] represent standard error and p-value, respectively