The ECT of Denmark's stock market is significantly corrected by the short run lagged differences of the stock markets of Austria, France, Ireland, Netherlands, Norway, and Switzerland.
The cointegrating regression is augmented by lead and lagged differences of GDP and other independent variables in DOLS framework for controlling endogeneity (by following Saikkonen, [38]).
In the error correction equation of Germany, the short term lagged differences of Austria, Britain, Denmark, Ireland, the Netherlands, and Switzerland are found to be significant.
The ECT of the British stock market stands in significant relation to the lagged differences of the stock markets of Austria, Denmark, France, Ireland, Netherlands, Sweden, and Switzerland.
The lagged differences of the stock markets of Austria, Britain, Germany, Greece, the Netherlands, Portugal, and Spain are found to contribute significantly to the ECT of Italy.
The significant ECT of Austria is contributed to by the short term lagged differences of the stock markets of Britain, Greece, Norway, and Sweden.
The significant lagged difference of the stock market of Portugal is due to the stock markets of Britain, Germany, the Netherlands, and Norway.
In similar fashion, moving to Norway, the significant lagged difference variables are those of Austria, Britain, Denmark, Germany, Ireland, Italy, MSCI, and the Netherlands stock markets.
The difference operator in Eq. (4) uses the same instrument as above, and the instruments for the levels are the lagged difference of the regressors.
Again, the ADF test adjusts the DF test to take care of possible serial correlations in the error terms by adding the lagged difference terms of the regressand.
The ADF test adjusts the DF test to take care of possible autocorrelation in the error terms by adding the lagged difference term of the dependent variable.
