Table 6: Regressions on Δ (log(S&P500)).

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

Notes: See notes under Tables 1-4. Newey-West heteroscedasticity and autocorrelation consistent (HAC) standard errors and covariance are computed.