Table 1.

Linearity test.

No. of location parameters (m)	m = 1		m = 2		m = 1		m = 2		m = 1		m = 2
Lag length of transition variable	Transition variable				Transition variable				Transition variable
	CDS				VIX				TED spread
d = 0	11.12	[0.00]	9.713	[0.00]	13.31	[0.00]	8.928	[0.00]	9.626	[0.00]	8.636	[0.00]
d = 1	10.40	[0.00]	8.217	[0.00]	4.577	[0.00]	15.28	[0.00]	5.258	[0.00]	11.37	[0.00]
d = 2	9.747	[0.00]	7.638	[0.00]	7.406	[0.00]	8.266	[0.00]	3.163	[0.02]	14.61	[0.00]
d = 3	3.760	[0.00]	9.049	[0.00]	5.616	[0.00]	8.039	[0.00]	8.777	[0.00]	6.434	[0.00]
d = 4	3.987	[0.27]	6.695	[0.00]	1.869	[0.13]	9.763	[0.00]	7.048	[0.00]	4.979	[0.00]
d = 5	5.311	[0.00]	5.664	[0.00]	9.033	[0.00]	10.73	[0.00]	3.681	[0.01]	8.212	[0.00]
d = 6	4.046	[0.01]	6.127	[0.00]	13.77	[0.00]	7.731	[0.00]	10.06	[0.00]	12.62	[0.00]

Note: The test statistic is LM_F. The digits in brackets are the P-values. The significance level is specified at 5%.