TABLE 4.
Wald test.
| Long-run asymmetry | Short-run asymmetry | Long-run asymmetry | Short-run asymmetry | ||||
| SPR | F-stat | F-stat | FTMR | F-stat | F-stat | ||
| USC | 8.093*** | USC | 6.224** | ITC | 1.242605 | ITC | 0.2916 |
| USD | 4.779** | USD | 6.815** | ITD | 5.864** | ITD | 0.1767 |
| NSR | DAXR | ||||||
| USC | 1.574046 | USC | 4.228** | GERC | 5.208** | GERC | 17.24*** |
| USD | 2.589403 | USD | 1.609162 | GERD | 2.338933 | GERD | 18.87*** |
| IBER | LSER | ||||||
| SPC | 1.569179 | SPC | 2.8616* | UKC | 0.725822 | UKC | 0.640751 |
| SPD | 2.61007* | SPD | 6.8974** | UKD | 0.786146 | UKD | 0.718125 |
*, **, and *** denote 10, 5, and 1% level of significance, respectively. Source: Author’s calculation.