Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1 For details of the construction of the Sup-Wald test statistics, one can refer to Shi, Hurn, and Phillips (Citation2020).
2 We include 96 observations (8 years) in the baseline model to ensure sufficient observations in each estimation.
3 The results of additional robustness checks are available upon request due to limited space.