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Asymmetric Adjustment of the Malaysian Stock Price-Inflation Nexus: An Empirical Analysis

Table 4: TAR and MTAR cointegration results

Panel A: KLCI
  TAR     TAR-consistent   MTAR     MTAR-consistent  
Coeff t-stat   Coeff t-stat   Coeff t-stat   Coeff t-stat  
ρ1 -0.0402 -2.3911 ** -0.0231 -1.5784 -0.0458 -2.7725 *** -0.0475 -3.5479 ***
ρ2 -0.0423 -2.4169 ** -0.0795 -3.7946 *** -0.0359 -2.0412 ** -0.0096 -0.3365  
τ 0     -225.6814     0     -48.0488    
ρ1=ρ2=0 5.5341 8.1678 ** 5.6213 6.3055 *
ρ1=ρ2 0.0076 5.1001 ** 0.1763 1.4991
Lags 9 9 9 9
AIC 10.7003 10.6846 10.6998 10.6957
Q(4) 0.1913 0.1284 0.2239 0.3101
Q(8) 1.1471     1.2136     1.1543     1.1671    
Panel B: BANK
  TAR     TAR-consistent   MTAR     MTAR-consistent  
Coeff t-stat   Coeff t-stat   Coeff t-stat   Coeff t-stat  
ρ1 -0.0402 -2.1804 ** -0.0308 -1.8972 * -0.0438 -2.4092 ** -0.0422 -2.7780 ***
ρ2 -0.0608 -3.0958 *** -0.0919 -3.9695 *** -0.0568 -2.8837 *** -0.0827 -2.8484 ***
τ 0 -126.0527 0 -19.7041
ρ1=ρ2=0 6.6077 * 8.9735 ** 6.4088 * 7.1459 *
ρ1=ρ2 0.6433 5.1974 ** 0.2604 1.6793
Lags 9 9 9 9
AIC 9.3865 9.3725 9.3877 9.3833
Q(4) 0.0808 0.1216 0.1173 0.1080
Q(8) 0.1719     0.2016     0.2443     0.1810    
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