Variable Linear or Symmetric (ARDL) Model Nonlinear or Asymmetric (NARDL) Model
WTI BRENT WTI BRENT
Short run Coefficients
Δ(WTI) 0.003 (0.485)
Δ(WTI(+) 0.001 (0.696)
Δ(WTI(-) -0.001 (0.691)
Δ(BRENT) 0.084 (0.000)*
Δ(BRENT(+) 0.107 (0.000)*
Δ(BRENT(-) 0.110 (0.000)*
Δ(GFI) -0.016 (0.009)** -0.014(0.016)** -0.015 (0.012)** -0.014 (0.016)**
ECT(-1) -0.954 (0.000)* -0.960 (0.000)* -0.979 (0.000)* -0.969 (0.000)*
Wald test for Asymmetry 1.178 (0.310) 9.717 (0.000)*
Long run Coefficients
C 0.069 (0.804) -0.032 (0.912) 0.111 (0.745) -0.075 (0.7903)
WTI 0.003 (0.484)
WTI(+) 0.005 (0.185)
WTI(-) -0.002 (0.690)
BRENT 0.003 (0.459)
BRENT(+) 0.001 (0.739)
BRENT(-) 0.005 (0.265)
GFI -0.002 (0.499) -0.001 (0.818) -0.003 (0.412) 0.000 (0.984)
Wald test for Asymmetry 0.088 (0.767) 8.940 (0.000)*
Diagnostic statistics
Breusch-Godfrey LM test 0.535 (0.587) 0.472 (0.625) 0.118 (0.889) 0.731 (0.483)
Breusch-Pagan Godfrey 0.457 (0.767) 0.219 (0.954) 0.578 (0.748) 0.551 (0.795)
Ramsey Reset Test 4.131 (0.043)** 3.069 (0.081)*** 4.698 (0.031)** 0. 443 (0.507)