Table 5.
Short- and long-run estimates and diagnostic statistics of nonlinear ARDL
| Malaysia | UAE | Thailand | Indonesia | Turkey | Iran | Saudi Arabia | Japan | India | China | |
|---|---|---|---|---|---|---|---|---|---|---|
| Panel A: short-run estimates | ||||||||||
| ΔGexpt+ | − 0.119** (1.990) | − 0.217** (2.910) | 0.332** (2.191) | 0.482** (4.170) | − 0.168 (1.300) | 0.170** (2.010) | − 0.006 (1.110) | − 0.402** (4.460) | 0.471** (5.970) | − 0.572** (2.460) |
| ΔGexpt − 1+ | 0.131 (1.600) | − 0.253** (2.370) | 0.101 (1.480) | − 0.099 (1.630) | 0.280** (2.630) | − 0.275* (1.870) | ||||
| ΔGexpt − 2+ | 0.063 | −0.287** | ||||||||
| (0.990) | (2.600) | |||||||||
| ΔGexpt− | − 0.082 (1.190) | 0.302** (2.000) | − 0.178** (1.991) | − 0.082 (1.040) | 0.072 (1.080) | − 0.052** (3.000) | 0.044 (0.990) | 0.095** (2.290) | − 0.144* (1.710) | 0.147 (1.340) |
| ΔGexpt − 1− | 0.293** (4.310) | 0.095 (1.420) | 0.007 (1.130) | 0.082 (1.400) | 0.067* (1.930) | |||||
| ΔGexpt − 2− | 0.143* (1.750) | 0.154** (1.980) | ||||||||
| ΔGrevt+ | − 0.093 (1.470) | 0.007 (1.370) | 0.168 (1.570) | 0.300** (2.250) | 0.326** (2.590) | 0.095** (2.830) | − 0.271** (3.090) | − 0.321** (4.880) | 0.226** (2.390) | − 0.279** (2.620) |
| ΔGrevt − 1+ | − 0.203** (2.070) | − 0.081* (1.910) | 0.283** (2.670) | − 0.134* (1.850) | 0.309** (2.280) | |||||
| ΔGrevt − 2+ | − 0.112** (2.300) | 0.355** (4.100) | 0.073 (0.660) | |||||||
| ΔGrevt− | 0.183 (0.880) | 0.106* (1.770) | − 0.082** (2.060) | 0.127* (1.760) | − 0.247** (1.990) | − 0.074** (4.510) | 0.078** (2.170) | 0.163** (2.780) | − 0.033 (1.410) | 0.222 (0.940) |
| ΔGrevt − 1− | 0.082 (1.010) | 0.027 (1.040) | − 0.086* (1.750) | 0.096 (0.600) | ||||||
| ΔGrevt − 2− | 0.045 | |||||||||
| (0.820) | ||||||||||
| ΔEGt | 0.271** (2.580) | 0.663** (3.210) | 0.700** (5.850) | 0.374** (2.430) | 0.418** (2.520) | 0.293* (1.950) | 0.688** (4.370) | 0.601** (5.080) | 0.727** (6.030) | 0.449** (3.180) |
| ΔEGt − 1 | 0.203* (1.890) | 0.509** (5.330) | ||||||||
| Panel B: long-run estimates | ||||||||||
| Gexp+ | 0.172* (1.730) | 0.231** (2.840) | 0.307** (2.301) | 0.471* (1.710) | 0.178** (2.160) | 0.093** (3.980) | − 0.244 (1.590) | − 0.352** (4.120) | 0.366** (5.370) | 0.188** (2.240) |
| Gexp− | − 0.062 (1.110) | − 0.181* (1.740) | − 0.092** (1.990) | − 0.280** (2.530) | − 0.042** (2.800) | − 0.031 (1.500) | 0.099 (1.138) | 0.174** (2.030) | − 0.178* (1.940) | 0.106 (0.970) |
| Grev+ | 0.281** (2.440) | 0.043** (2.110) | 0.226** (2.480) | 0.236** (3.750) | 0.266** (2.330) | 0.138** (3.130) | − 0.155 (0.920) | − 0.260* (1.710) | 0.208** (2.170) | 0.207** (5.630) |
| Grev− | − 0.100** (3.010) | − 0.008* (1.700) | − 0.115** (3.550) | − 0.154** (1.960) | − 0.088 (1.610) | − 0.012** (2.100) | 0.074 (1.330) | 0.095** (3.650) | − 0.013 (1.070) | − 0.083* (1.740) |
| EG | 0.381** (4.010) | 0.492** (4.010) | 0.410** (6.920) | 0.499** (2.180) | 0.552** (4.070) | 0.522** (5.880) | 0.571** (3.360) | 0.628** (2.080) | 0.881** (2.480) | 0.391** (2.850) |
| C | 6.911** (2.990) | 7.021** (3.650) | 11.06** (4.940) | 5.832** (4.500) | 8.091** (3.860) | 7.443** (4.270) | 7.992** (4.930) | 9.043** (5.770) | 7.112** (6.270) | 5.061** (4.610) |
| Panel C: diagnostic tests | ||||||||||
| Adj R2 | 0.97 | 0.98 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.98 | 0.99 | 0.99 |
| ECM | − 0.473**(2.88) | − 0.633**(4.01) | − 0.815**(3.34) | − 0.406**(2.74) | − 0.701**(3.90) | − 0.537**(4.58) | − 0.737**(3.99) | − 0.800**(5.00) | − 0.501**(2.38) | − 0.916**(5.34) |
| LM | 1.06 | 1.20 | 0.81 | 1.50 | 0.78 | 1.64 | 1.19 | 0.70 | 1.46 | 0.87 |
| LM test with one break | 1.47 | 1.11 | 2.49 | 1.45 | 1.76 | 2.01 | 0.04 | 0.82 | 0.77 | 1.59 |
| RESET | 0.63 | 0.86 | 0.90 | 1.47 | 1.36 | 0.97 | 1.20 | 1.64 | 0.94 | 0.39 |
| CUSUM | S | S | US | S | S | S | S | S | S | S |
| CUSUMQ | S | S | S | S | S | US | S | S | S | S |
| WALD LR- Gexp | 1.503 | 3.544* | 0.700 | 3.822* | 4.400** | 3.442* | 3.141* | 3.532* | 2.454 | 2.221 |
| WALD SR-Gexp | 2.141 | 1.875 | 3.860** | 1.707 | 0.532 | 2.583 | 3.843** | 2.508 | 1.071 | 3.102* |
| WALD LR-Grev | 2.729* | 3.951** | 2.431 | 3.370* | 1.530 | 1.053 | 1.001 | 3.489* | 2.632 | 1.005 |
| WALD SR-Grev | 3.055* | 0.012 | 3.114* | 0.916 | 2.238 | 4.116** | 1.622 | 0.163 | 3.999** | 2.385* |
The critical value of t-ratio is the significance level at the (10%) and (5%) level is (1.64) and (1.96). * and ** denote 10% and 5% level of significance, respectively. T-ratio is given in parentheses. The critical values of RESET, LM, and Wald tests at the 10% level of significance is 2.70 and at 5% level 3.84