Sample
|
1960M03-2013M11
|
1960M03-2013M11
|
1960M03-2013M11
|
1960M03-1974M09
|
1974M10-2013M11
|
1960M03-1974M09
|
Sample size
|
645
|
645
|
645
|
175
|
470
|
175
|
|
|
|
Breakpoint:
none
|
Breakpoint:
1974M10
|
Breakpoint:
1974M10
|
Breakpoint:
1974M10
|
Conditional mean equation |
Constant
|
0.008907
(3.545421)
|
0.009007
(4.508872)
|
0.008903
(3.135564)
|
0.006226
(1.396287)
|
0.010010
(4.017139)
|
0.003127
(0.929750)
|
Coefficient on Δ k
|
-58.53146
(6.078232)
|
-58.37519
(5.994964)
|
-54.76630
(4.914391)
|
-98.51177
(3.544868)
|
-50.36146
(3.893192)
|
-97.83274
(3.425332)
|
Coefficient on Δ (log(RDISP))
|
0.515177
(2.653795)
|
0.514263
(2.650731)
|
0.619854
(3.045115)
|
1.183450
(3.253770)
|
0.511851
(2.498127)
|
1.180785
(2.921863)
|
Coefficient on absolute Δ (log(CPI ))
|
0.027769
(0.043652)
|
|
-0.236459
(0.301779)
|
|
|
|
Coefficient on the square of
Δ (log(
CPI
)) |
|
-1.236092
(0.018718)
|
|
-283.4519
(3.076655)
|
58.42880
(0.860155)
|
-266.8297
(2.483767)
|
Coefficient on the
average three lagged
Δ (log(
MS
)) |
-0.870180
(3.547112)
|
-0.870075
(3.558474)
|
-0.761841
(3.028971)
|
-0.661077
(0.928118)
|
-0.868976
(3.160305)
|
|
Conditional Variance Equation |
constant
|
0.0000741
(2.146074)
|
0.0000741
(2.149878)
|
|
|
|
RESID(-1)^2
|
0.138130
(4.669164)
|
0.138156
(4.663842)
|
|
|
|
GARCH(-1)
|
0.828785
(20.02607)
|
0.828748
(20.03946)
|
|
|
|
Adjusted R-Square
|
0.067648
|
0.067729
|
0.068665
|
0.085320
|
0.151609
|
Log likelihood
|
1164.609
|
1164.609
|
1135.675
|
1144.024
|
336.8290
|
Durbin-Watson statistic
|
2.028876
|
2.028787
|
2.028580
|
2.058439
|
1.898306
|
Akaike Information criterion
|
-3.586386
|
-3.586383
|
-3.505969
|
-3.516353
|
-3.803760
|
Schwarz information criterion
|
-3.530953
|
-3.530951
|
-3.471323
|
-3.489467
|
-3.731422
|
Hannan-Quinn information criterion
|
-3.564877
|
-3.564875
|
-3.492526
|
-3.489467
|
-3.774418
|