An Empirical Study on Relationship between Residents’ Disposable Income and CPI Based on TVECM: Application of Bootstrap SupLM Testing for Threshold Cointegration

Table 2

Power of SupLM and SupLM0 tests and 5% nominal size against two-regime alternatives.

	Statistic	a = 0.1			a = 0.8
		=5	8	10	=5	8	10
100	ADF	0.301	0.289	0.201	0.702	0.691	0.390
	SupLM	0.325	0.280	0.236	0.713	0.647	0.517
	SupLM^0	0.323	0.276	0.240	0.710	0.624	0.500
250	ADF	0.890	0.609	0.391	0.984	0.798	0.509
	SupLM	0.912	0.890	0.720	1.000	0.986	0.953
	SupLM^0	0.901	0.901	0.712	1.000	0.987	0.933