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The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 3 Quantile-mean covariance (QC) test of normality

From: Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis

  

ε = 0.001

ε = 0.01

ε = 0.05

ε = 0.10

ε = 0.15

ε = 0.20

hr

\({\rm T}_{1n}\)

9.008***

9.008***

9.008***

9.008***

1.834***

0.751***

\({\rm T}_{2n}\)

81.160***

81.160***

81.160***

81.160***

3.365***

0.564***

\({\rm T}_{3n}\)

5.966***

5.884***

4.931***

1.887***

0.266***

0.180***

fr

\({\rm T}_{1n}\)

11.375***

11.375***

11.375***

11.375***

9.968***

2.088***

\({\rm T}_{2n}\)

129.405***

129.405***

129.405***

129.405***

99.371***

4.363***

\({\rm T}_{3n}\)

12.976***

12.829***

11.672***

8.546***

2.901***

1.322***

ovx

\({\rm T}_{1n}\)

12.981***

12.981***

12.981***

12.981***

12.981***

12.386***

\({\rm T}_{2n}\)

168.508***

168.508***

168.508***

168.508***

168.508***

153.429***

\({\rm T}_{3n}\)

47.495***

47.237***

46.272***

43.403***

37.200***

28.295***

oilcv

\({\rm T}_{1n}\)

16.418***

16.418***

16.418***

16.418***

16.418***

16.418***

\({\rm T}_{2n}\)

269.559***

269.559***

269.559***

269.559***

269.559***

269.559***

\({\rm T}_{3n}\)

34.647***

34.415***

33.317***

30.398***

24.442***

15.123***

oil

\({\rm T}_{1n}\)

4.627***

4.627***

4.627***

4.627***

3.194***

1.719***

\({\rm T}_{2n}\)

21.409***

21.409***

21.409***

21.409***

10.206***

2.957***

\({\rm T}_{3n}\)

2.636***

2.586***

2.101***

1.712***

0.685***

0.284***

bnd

\({\rm T}_{1n}\)

4.653***

4.653***

3.933***

3.933***

2.837***

2.837***

\({\rm T}_{2n}\)

21.658***

21.658***

15.473***

15.473***

8.052***

8.052***

\({\rm T}_{3n}\)

3.306***

3.291***

2.645***

2.233***

1.698***

1.605***

  1. *, **, *** denote significance at 10%, 5% and 1% level, respectively. T1, T2, T3 refer to Bera et al. (2016) statistics: \(T_{1n} \,: = \,\begin{array}{*{20}c} {\sup } \\ {\tau ET} \\ \end{array} \left| {\mathop {C_{n} }\limits^{ \wedge } \left( \tau \right)} \right|,\,T_{2n} : = \,\begin{array}{*{20}c} {\sup } \\ {\tau ET} \\ \end{array} \mathop {C_{n} }\limits^{ \wedge } \left( \tau \right)^{2} ,\,T_{3n} : = \,\int\limits_{\tau ET} {\mathop {C_{n} }\limits^{ \wedge } \left( \tau \right)^{2} } dr,\) where \(\mathop {C_{n} }\limits^{ \wedge } \left( \tau \right)\) is the quantile-mean covariance (QC) function, which is the asymptotic covariance between the sample quantiles and the sample mean