Linear ARDL (Symmetric) Model for WTI
Null: No long run relationship |
Linear ARDL (Symmetric) Model for BRENT |
| Test Statistic |
Value |
k
|
Test Statistic |
Value |
k
|
| F-statistic |
65.65 |
2 |
F-statistic |
71.40 |
2 |
| Pesaran et al. (2001) Critical value bounds |
Pesaran et al. (2001) Critical value bounds |
| Significance |
I(0) |
I(1) |
Significance |
I(0) |
I(1) |
| 1% |
6.34 |
7.52 |
1% |
6.34 |
7.52 |
| 5% |
4.87 |
5.85 |
5% |
4.87 |
5.85 |
| 10% |
4.19 |
5.06 |
10% |
4.19 |
5.06 |
| Narayan (2004) Critical value bounds |
Narayan (2004) Critical value bounds |
| Significance |
I(0) |
I(1) |
Significance |
I(0) |
I(1) |
| 1% |
3.42 |
7.84 |
1% |
3.42 |
7.84 |
| 5% |
2.23 |
5.43 |
5% |
2.23 |
5.43 |
| 10% |
1.74 |
4.46 |
10% |
1.74 |
4.46 |
Nonlinear ARDL (Asymmetric) Model for WTI
Null: No long run relationship |
Nonlinear ARDL (Asymmetric) Model for BRENT |
| Test Statistic |
Value |
K |
Test Statistic |
Value |
K |
| F-statistic |
51.24 |
3 |
F-statistic |
54.75 |
3 |
| Pesaran et al. (2001) Critical value bounds |
Pesaran et al. (2001) Critical value bounds |
| Significance |
I(0) |
I(1) |
Significance |
I(0) |
I(1) |
| 1% |
5.17 |
6.36 |
1% |
5.17 |
6.36 |
| 5% |
4.01 |
5.07 |
5% |
4.01 |
5.07 |
| 10% |
3.47 |
4.45 |
10% |
3.47 |
4.45 |
| Narayan (2004) Critical value bounds |
Narayan (2004) Critical value bounds |
| Significance |
I(0) |
I(1) |
Significance |
I(0) |
I(1) |
| 1% |
3.30 |
7.01 |
1% |
3.30 |
7.01 |
| 5% |
2.20 |
4.96 |
5% |
2.20 |
4.96 |
| 10% |
1.75 |
4.14 |
10% |
1.75 |
4.14 |
| Panel B: The BDS test results for nonlinearity |
| Variables |
SSR
|
BRENT
|
WTI
|
GFI
|
|
|
Dimension
|
BDS Statistic
|
BDS Statistic
|
BDS Statistic
|
BDS Statistic
|
|
| 2 |
0.008 (0.175) |
0.188 (0.000)* |
-4.23E-05 (0.9446) |
0.168 (0.000)* |
|
| 3 |
0.022 (0.019)** |
0.319 (0.000)* |
-0.0001 (0.9250) |
0.285 (0.000)* |
|
| 4 |
0.029 (0.010)* |
0.408 (0.000)* |
-0.0003 (0.9096) |
0.361 (0.000)* |
|
| 5 |
0.032 (0.006)** |
0.467 (0.000)* |
-0.0004 (0.8962) |
0.410 (0.000)* |
|
| 6 |
0.033 (0.004)* |
0.506 (0.000)* |
-0.0006 (0.8841) |
0.439 (0.000)* |
|