Sample
|
1973M02- 1998M06
|
1998M07- 2013M11
|
1973M02- 1998M06
|
1998M07- 2013M11
|
1973M02- 1998M06
|
1998M07- 2013M11
|
Sample size
|
305
|
185
|
305
|
185
|
305
|
185
|
|
Breakpoint:
1998M07
|
Breakpoint:
1998M07
|
Breakpoint:
1998M07
|
Breakpoint:
1998M07
|
Breakpoint:
1998M07
|
Breakpoint:
1998M07
|
Constant
|
0.013953
(3.177894)
|
0.014236
(1.850686)
|
0.013387
(2.955062)
|
0.015628
(1.941769)
|
0.011488
(3.852160)
|
0.010889
(1.887336)
|
Coefficient on Δ (k)
|
-59.66204
(6.299895)
|
20.06539
(0.720938)
|
-60.34048
(6.426381)
|
19.76557
(0.710324)
|
-60.60779
(6.520230)
|
19.29978
(0.704532)
|
Coefficient on Δ(log(RDISP))
|
0.559927
(2.730050)
|
0.301174
(0.812778)
|
0.565659
(2.751065)
|
0.291023
(0.780584)
|
0.571653
(2.795716)
|
0.297238
(0.804176)
|
Coefficient on Δ(log(DOLLAR))
|
-0.053438
(0.284951)
|
-1.608041
(4.164494)
|
-0.051799
(0.275736)
|
-1.606108
(4.172982)
|
-0.047180
(0.252066)
|
-1.600891
(4.134442)
|
Coefficient on Δ(log(
CPI
)) |
-0.846266
(0.863068)
|
-4.386956
(1.202509)
|
|
|
|
|
Coefficient on absolute Δ(log(
CPI
)) |
|
|
-0.724344
(0.712386)
|
-5.236461
(1.320885)
|
|
|
Coefficient on the square of Δ(log(
CPI
)) |
|
|
|
|
-50.11137
(0.583408)
|
-1187.896
(1.041520)
|
Coefficient on the average three lagged Δ(log(
MS
)) |
-0.661284
(2.788216)
|
-0.913438
(1.482404)
|
-0.724344
(2.776264)
|
-0.895780
(1.459145)
|
-0.659711
(2.814882)
|
-0.881136
(1.448698)
|
Adjusted R-Square
|
0.126741
|
0.127174
|
0.125947
|
Log likelihood
|
859.7489
|
859.8704
|
859.5264
|
Durbin-Watson statistic
|
2.124500
|
2.123203
|
2.120901
|
Akaike Information criterion
|
-3.460200
|
-3.460696
|
-3.459291
|
Schwarz information criterion
|
-3.357479
|
-3.357976
|
-3.356571
|
Hannan-Quinn information criterion
|
-3.419858
|
-3.420354
|
-3.418950
|