Corrigendum

This article refers to:

Who has more influence on Asian stock markets around the subprime mortgage crisis – the US or China?

Corrigendum

Who has more influence on Asian stock markets around the subprime mortgage crisis – the US or China?

Chien-Chung Nieh, Chao-Hsiang Yang and Yu-Sheng Kao

DOI: 10.1080/13504851.2011.577001

In Applied Economics Letters (19, 332), Table 2, the data was incorrect. This has been corrected as follows:

Table 2. Relationships between the United States and China

	(1) Entire period (2/1/2004 to 31/3/2010; N =1247			(2) Pre-subprime mortgage crisis (2/1/2004 to 13/3/2007; N = 638)			(3) During subprime mortgage crisis (14/3/2007 to 31/3/2010; N = 609)
Engle–Granger co-integration	–0.704, AIC = –849.229			–2.034, AIC = –818.087			–0.319, AIC = –891.759
Ender–Siklos threshold co-integration	AIC = –1157.756			AIC = –1126.614			AIC = –1209.304
	F C	F A	r	F C	F A	r	F C	F A	r
	4.058	1.589	−0.01868	4.346	1.776	0.01324	3.636	1.121	−0.02459
Notes: The critical values of the Engle–Granger co-integration are taken from Engle and Yoo (1987). The lag length of difference ks is selected by minimizing AIC; r is the estimated threshold value. F C and F A denote the F-statistics for the null hypothesis of no co-integration and symmetric adjustment, respectively. Critical values are taken from Enders and Siklos (2001). The threshold value is endogenously determined by using the Chan's (1993) grid search method to find the consistent estimate of the threshold. This method arranges the values, {Δε t }, in an ascending order and excludes the smallest and largest 15%, and the consistent estimate of the threshold is the parameter that yields the smallest Residual Sum of Squares (RSS) over the remaining 70%.

The authors would like to apologize for this error.