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

Table 7: TAR and MTAR cointegration results (FIN)

  TAR     TAR-consistent   MTAR     MTAR-consistent  
Coeff t-stat   Coeff t-stat   Coeff t-stat   Coeff t-stat  
ρ1 -0.0412 -2.2978 ** -0.0334 -2.1333 ** -0.0407 -2.3362 ** -0.0354 -2.1402 **
ρ2 -0.0573 -3.0196 *** -0.0852 -3.6719 *** -0.0589 -3.0455 *** -0.0705 -3.4108 ***
τ 0 -129.9340 0 -3.2161
ρ1=ρ2=0 6.7089 * 8.4284 ** 6.7758 * 7.4969 **
ρ1=ρ2 0.4102 3.7158 * 0.5388 1.9251
Lags 9 9 9 9
AIC 9.4063 9.3961 9.4059 9.4016
Q(4) 0.1741 0.2019 0.2345 0.2211
Q(8) 0.2614     0.3276     0.4009     0.4514    
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