Table 1. Empirical size and power of the Bierens tests (5% level).
|
n = 200_________________________ |
n = 500_________________________ | ||||||||
|
Test |
B(fh) |
B(m) |
B(m) |
B(mo) |
B(m) |
B(m) |
B(m) |
B(⅝) | |
|
(7,P) |
(1.5, 0.2) |
(1.5,0.3) |
(2, 0.3) |
_ |
(1.5, 0.2) |
(1.5,0.3) |
(2, 0.3) |
_ | |
|
f = |
O |
0.1154 |
0.0551 |
0.0457 |
0.0434 |
0.0964 |
0.0512 |
0.0484 |
0.0476 |
|
f = |
fι |
0.7920 |
0.7495 |
0.7235 |
0.5240 |
0.8550 |
0.8205 |
0.8075 |
0.6480 |
|
f = |
f2 |
1.0000 |
1.0000 |
1.0000 |
0.9555 |
1.0000 |
1.0000 |
1.0000 |
0.9610 |
|
f = |
f3 |
1.0000 |
1.0000 |
1.0000 |
0.9545 |
1.0000 |
1.0000 |
1.0000 |
0.9695 |
|
f = |
f4 |
0.6920 |
0.5825 |
0.5270 |
0.4145 |
0.8235 |
0.7475 |
0.7100 |
0.5540 |
|
f = |
f5 |
1.0000 |
1.0000 |
1.0000 |
0.9560 |
1.0000 |
1.0000 |
1.0000 |
0.9607 |
|
f = |
fβ |
1.0000 |
1.0000 |
1.0000 |
0.9400 |
1.0000 |
1.0000 |
1.0000 |
0.9613 |
|
f = |
f7 |
0.7490 |
0.7070 |
0.6787 |
0.5103 |
0.8470 |
0.8227 |
0.8123 |
0.6660 |
Table 2. Empirical size and power of Marmer’s RESET test (5% level).
|
n = 200_______________ |
n = 500_______________ | ||||||
|
к = 1 |
к = 2 |
к = 3 |
к = 1 |
к = 2 |
к = 3 | ||
|
f |
= 0 |
0.0405 |
0.0469 |
0.0510 |
0.0439 |
0.0468 |
0.0486 |
|
f |
= fι |
0.2940 |
0.6920 |
0.6935 |
0.4310 |
0.8045 |
0.8015 |
|
f |
= f2 |
0.8940 |
0.9300 |
0.9305 |
0.9065 |
0.9270 |
0.9245 |
|
f |
= f3 |
0.9945 |
0.9940 |
0.9960 |
0.9965 |
0.9950 |
0.9965 |
|
f |
= f4 |
0.6970 |
0.6595 |
0.6325 |
0.8330 |
0.8015 |
0.7875 |
|
f |
= f5 |
0.8943 |
0.9383 |
0.9377 |
0.9103 |
0.9310 |
0.9300 |
|
f |
= fβ |
1.0000 |
1.0000 |
1.0000 |
1.0000 |
1.0000 |
1.0000 |
|
ɪ |
= f7 |
0.1870 |
0.4347 |
0.4507 |
0.3263 |
0.6233 |
0.6350 |
Table 3. Stationarity tests
|
Returns |
DY |
BM |
EP | |
|
ADF |
-24.172 |
-0.846 |
-0.710 |
-0.584 |
|
Phillips-Perron |
-24.613 |
-0.858 |
-0.693 |
-0.554 |
|
KPSS_______ |
0.050 |
2.894 |
2.175 |
1.302 |
23