Table 6 NARDL results
From: Asymmetric evidence of foreign direct investment response to stock returns in Nigeria
Variable | Coefficient | Std. error | t-statistic | Prob. |
|---|---|---|---|---|
Cointegrating Form (Short-Run Coefficients) | ||||
D(LNFDI(− 1), 2) | − 0.2384 | 0.0634 | − 3.5858 | 0.0004*** |
D(LNFDI(− 2), 2) | − 0.0892 | 0.0499 | − 1.7845 | 0.0751* |
D(LNGDP, 2) | 0.5315 | 0.3701 | 1.4361 | 0.1518 |
D(LNEXR) | 0.0874 | 0.0499 | 1.7498 | 0.0810* |
D(LNEXR(− 1)) | 0.0005 | 0.0703 | 0.0067 | 0.9946 |
D(LNEXR(− 2)) | 0.0013 | 0.0702 | 0.0189 | 0.9849 |
D(LNEXR(− 3)) | − 0.2384 | 0.0739 | − 3.2267 | 0.0014*** |
D(LNEXR(− 4)) | 0.2624 | 0.0577 | 4.5499 | 0.0000*** |
D(STR+) | 0.0172 | 0.0081 | 2.1269 | 0.0341** |
D(STR−) | 0.0164 | 0.0079 | 2.0487 | 0.0412** |
CointEq(− 1) | − 0.5752 | 0.0687 | − 8.3750 | 0.0000*** |
Cointeq = D(LNFDI)—(0.9240*D(LNGDP) − 0.0299*LNEXR + 0.0298 | ||||
*STR+ + 0.0284* STR−− 0.1614) | ||||
Long-run coefficients | ||||
D(LNGDP) | 0.9240 | 0.6443 | 1.4343 | 0.1523 |
LNEXR | − 0.0299 | 0.0176 | − 1.6964 | 0.0906* |
STR+ | 0.0298 | 0.0148 | 2.0202 | 0.0441** |
STR− | 0.0284 | 0.0145 | 1.9549 | 0.0513** |
C | − 0.1614 | 0.0734 | − 2.1988 | 0.0285** |