Table 6.
Augmented Autoregressive Distributed Lagged (AARDL) cointegration test.
| Empirical model | Test statistics | Brazil | Russia | India | China | South Africa | |
|---|---|---|---|---|---|---|---|
| HCD|TOR, FD, GCF, MS, FDI | Foverall | 10.229*** | 9.847*** | 9.818*** | 8.811*** | 9.848*** | |
| tDV | −7.771*** | −7.83*** | −8.117*** | −8.207*** | −6.586*** | ||
| FIDV | 4.254*** | 4.883*** | 6.57*** | 4.321*** | 5.961*** | ||
| Critical value : K = 5 | 1% | 5% | 10% | ||||
| I(0) | I(1) | I(0) | I(1) | I(0) | I(1) | ||
| Pesaran et al. (2001) | 5.095 | 6.77 | 3.673 | 5.002 | 3.087 | 4.277 | |
| Narayan (2005) | −3.96 | −5.13 | −3.41 | −4.52 | −3.13 | −4.21 | |
| Sam et al. (2019) | 3.58 | 5.91 | 2.46 | 4.18 | 2.00 | 3.47 | |
***
denote 1% level of significant.