Table 8.
AARDL cointegration with the interactive term.
| Empirical model | Test statistics | Brazil | Russia | India | China | South Africa | |
|---|---|---|---|---|---|---|---|
| HCD|TOR, FD, GCF, MS, FDI, TOR*GCR, TOR*FD | Foverall | 11.131**** | 8.816*** | 9.913*** | 9.529*** | 9.806*** | |
| tDV | −8.112*** | −7.673*** | −8.313*** | −7.812*** | −8.406*** | ||
| FIDV | 6.38*** | 8.47*** | 7.76*** | 8.91*** | 8.53*** | ||
| Critical value : K = 7 | 1% | 5% | 10% | ||||
| I(0) | I(1) | I(0) | I(1) | I(0) | I(1) | ||
| Pesaran et al. (2001) | 4.459 | 6.206 | 3.251 | 4.64 | 2.729 | 3.985 | |
| Narayan (2005) | −3.96 | −5.49 | −3.41 | −4.85 | −3.13 | −4.53 | |
| Sam et al. (2019) | 3.58 | 5.91 | 2.46 | 4.18 | 2.00 | 3.47 | |
***,**, *
denotes the level of insignificant at a 1%, 5% and 10%, respectively.