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

Table 5: Asymmetric error correction models

Pane1 A (TAR-consistent, τ= -225.6814)
Dependent variable: ΔKLCI Dependent variable: ΔCPI
Variable Coeff t-stat   Variable  Coeff t-stat  
Constant 0.2870 0.0797 Constant 0.1779 5.4990 ***
Itεt-1 -0.0100 -0.6489 Itεt-1 0.0002 1.1841
(1-It)εt-1 -0.0924 -4.0266 *** (1-It)εt-1 0.0002 1.2450
Wald# 26.8288 *** Wald# 8.7735 *
Wald## 10.3202 *** Wald## 42.1894 ***
Adjusted R2 0.0887 Adjusted R2 0.1276
AIC 10.6858 AIC 1.1378
LM(2) 0.1237 LM(2) 0.2460
Pane1 B (TAR-consistent, τ= -126.0527)
Dependent variable: ΔBANK Dependent variable: ΔCPI  
Variable Coeff t-stat Variable Coeff t-stat
Constant 2.5391 1.3124   Constant 0.1876 6.0552 ***
Itεt-1 -0.0213 -1.3049 Itεt-1 0.0000 0.1584
(1-It)εt-1 -0.0842 -3.5643 *** (1-It)εt-1 0.0008 2.1978 **
Wald# 25.5954 *** Wald# 13.3103 ***
Wald## 12.7254 ** Wald## 41.2568 ***
Adjusted R2 0.0941 Adjusted R2 0.1545
AIC 9.3133 AIC 1.0899
LM(2) 0.5273     LM(2) 1.8706    
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