Does Diversification Affect Banking Systemic Risk?

Table 3

BDS tests for nonlinearity.

Dimension
2	−3.8423 (0.0001)	−0.6427 (0.5204)	−9.1869 (0.0000)	1.5600 (0.1187)
3	−0.4873 (0.6260)	−13.3144 (0.0000)	7.8086 (0.0000)	−15.3745 (0.0000)
4	9.3044 (0.0000)	−7.8907 (0.0000)	9.5483 (0.0000)	−9.0653 (0.0000)
5	13.2436 (0.0000)	−5.1281 (0.0000)	3.0661 (0.0022)	−5.9859 (0.0000)
6	9.5288 (0.0000)	−4.9559 (0.0007)	−1.4166 (0.0860)	−4.1693 (0.0000)

Notes: each column represents the test results of the VAR residuals for the corresponding variable as the dependent variable. The numbers represent the -statistics and those in parentheses are the values.