|
Sample
|
1960M01-2013M11
|
1960M02-2013M11
|
1960M03-2013M11
|
1960M03-2013M11
|
1960M03-2013M11
|
|
Sample size
|
647
|
646
|
645
|
645
|
645
|
| Conditional Mean Equation |
|
Constant
|
0.007559
(4.094768)
|
0.007716
(4.208168)
|
0.007689
(4.223181)
|
0.009131
(5.011801)
|
0.008989
(4.916965)
|
|
Coefficient on Δ(k)
|
-58.17519
(6.065410)
|
-58.05973
(6.021675)
|
-58.46895
(5.956396)
|
-58.48075
(6.030881)
|
-58.43239
(6.071149)
|
|
Coefficient on Δ (log(RDISP))
|
0.489331
(2.526202)
|
0.504234
(2.578124)
|
0.512394
(2.629486)
|
0.516063
(2.665431)
|
0.514542
(2.657807)
|
|
Coefficient on Δ (log(MS(−11)))
|
-0.602041
(2.709045)
|
|
|
-0.353754
(1.355771)
|
|
|
Coefficient on Δ(k)
|
|
-0.637803
(2.891382)
|
|
-0.138140
(0.406646)
|
|
|
Coefficient on Δ(log(RDISP))
|
|
|
-0.615930
(2.788022)
|
-0.403127
(1.351813)
|
|
|
Coefficient on the average 3 Δ(log((MS))
|
|
|
|
|
-0.870091
(3.546191)
|
| Conditional Variance Equation |
|
constant
|
0.0000730
(2.062552)
|
0.0000782
(2.092755)
|
0.0000769
(2.177917)
|
0.0000743
(2.163436)
|
0.0000741
(2.150354)
|
|
RESID(-1)^2
|
0.133103
(4.546286)
|
0.134108
(4.527781)
|
0.135676
(4.565575)
|
0.138964
(4.689962)
|
0.138142
(4.672163)
|
|
GARCH(-1)
|
0.833406
(19.75267)
|
0.829970
(18.80464)
|
0.829669
(19.49653)
|
0.828005
(20.12463)
|
0.828757
(20.05396)
|
|
Adjusted R-Square
|
0.067074
|
0.067364
|
0.063904
|
0.066009
|
0.069151
|
|
Log likelihood
|
1164.438
|
1165.771
|
1162.791
|
1164.719
|
1164.608
|
|
Durbin-Watson statistic
|
2.022964
|
2.030292
|
2.023652
|
2.028894
|
2.028826
|
|
Akaike Information criterion
|
-3.577862
|
-3.587527
|
-3.583847
|
-3.583626
|
-3.589483
|
|
Schwarz information criterion
|
-3.529475
|
-3.539082
|
-3.535343
|
-3.521265
|
-3.540980
|
|
Hannan-Quinn information criterion
|
-3.559090
|
-3.568731
|
-3.565027
|
-3.559429
|
-3.570664
|
Notes: In parenthesis are absolute t-statistics. Δ stands for the first difference operator and log stands for the natural logarithm. The proxy for is the change in the Baa corporate bond yield. RDISP stands for the US real personal disposable income. MS stands for the US MZM money supply. Bollerslev-Wooldridge robust standard errors and covariance are computed.