The maximumof the delay period is 12.We choose the optimum delay periods basing on the requirement that the disturbance is White noise. Values in the parentheses are thep-values. ⁎⁎⁎, ⁎⁎, and ⁎ indicate the significances at 1%, 5%, and 10% levels, respectively. For the critical values of the Φ statistic, please refer to Table 2 of Wane et al. (2004). Theestimation of Korea and Taiwan includes the dummy variables described in Table 3.
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