We agree with the reviewer about the limited usefulness of MTAR in small samples and for Japan and Korea. However, it is included in the hope it would indicate whether lack of cointegration for Malaysia, Philippines, Singapore and Thailand might be due to asymmetric adjustment. The reviewer’s observation has been acknowledged in note 3.
The use of the MTAR model is dubious because of the small sample, and it should not be used when cointegration has been established. It is unlikely that there is enough information in the data to capture asymmetric effects and the standard procedure is to use MTAR when Engle-Granger fails to show cointegration.