| 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 | |