Table 4 Results of the Bounds test of Cointegration

\(Optimal \;Lag \;Length\; \left( {AIC} \right)\)

(2,2,0,1,0,2)

\(F - Statistics \left( {Bound \;Test} \right)\) ^a

4.383^*

\(Critical\; Values\)

1%

2.5%

5%

10%

\(Lower \;Bounds\; I\;\left( 0 \right)\)

3.06

2.7

2.39

2.08

\(Upper\; Bounds\; I\;\left( 1 \right)\)

4.15

3.73

3.38

3.00

\(R - squared\)

0.979

\(Adj.\; R-squared\)

0.962

\(DW\)

2.665

\(F-Statistics\)

59.196^*

Estimated Model (2)

\(F_{GBMC} \left( {GBMC/ CRED, CONC, SMC, SMTR} \right)\)

\(Optimal \;Lag\; Length\; \left( {AIC} \right)\)

(1,0,1,0,0)

\(F - Statistics \;\left( {Bound\; Test} \right)\) ^a

5.899^*

\(Critical \;Values\)

1%

2.5%

5%

10%

\(Lower \;Bounds\; I\;\left( 0 \right)\)

3.29

2.88

2.56

2.2

\(Upper \;Bounds\; I\;\left( 1 \right)\)

4.37

3.87

3.49

3.09

\(R - squared\)

0.960

\(Adj. R-squared\)

0.949

\(DW\)

2.023

\(F - Statistics\)

88.721^*

Estimated Model (3)

\(F_{GBMC} \left( {GBMC/ GOV, IP, COR, RL} \right)\)

\(Optimal\; Lag Length\; \left( {AIC} \right)\)

(2,0,2,0,0)

\(F - Statistics\; \left( {Bound \;Test} \right)\) ^a

3.58

\(Critical \;Values\)

1%

2.5%

5%

10%

\(Lower \;Bounds \;I\left( 0 \right)\)

3.74

3.25

2.86

2.45

\(Upper\; Bounds\; I\left( 1 \right)\)

5.06

4.49

4.01

3.52

\(R-squared\)

0.959

\(Adj. \;R-squared\)

0.942

\(DW\)

2.120

\(F-Statistics\)

56.669^*