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

Table 8: Asymmetric error correction models with TAR-consistent (FIN)

(TAR-consistent, = -129.9340)
Dependent variable: ΔFIN Dependent variable: ΔCPI
Variable Coeff t-stat   Variable Coeff t-stat  
Constant 1.5277 0.7876   Constant 0.2443 7.7961 ***
Itεt-1 -0.0247 -1.5599 Itεt-1 0.0000 0.0002
(1-It)εt-1 -0.0820 -3.4315 *** (1-It)εt-1 0.0011 2.8548 ***
Wald# 25.1683 *** Wald# 12.9683 ***
Wald## 6.5580 ** Wald## 6.1993 **
Adjusted R2 0.0846 Adjusted R2 0.0582
AIC 9.3577 AIC 1.2003
LM(2) 2.5592     LM(2) 34.9186 ***  
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