Chapter 5 Tables: November 3, 1998
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This is an update of the tables in Chapter 5 in the
1994 book. It presents the US
model that is part of the MC2 model. The date of the US model
presented here is
November 3, 1998.
The latest Chapter 5 tables are are presented in
The US Model Workbook.
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Equation 1
Equation 2
Equation 3
Equation 4
Equation 5
Equation 6
Equation 7
Equation 8
Equation 9
Equation 10
Equation 11
Equation 12
Equation 13
Equation 14
Equation 15
Equation 16
Equation 17
Equation 18
Equation 20
Equation 21
Equation 22
Equation 23
Equation 24
Equation 25
Equation 26
Equation 27
Equation 28
Equation 30
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Table 5.1: Equation 1
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Table 5.1
Equation 1
LHS Variable is log(CS/POP)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 0.0563 1.59 Lags 12.80 3 0.0051
AG1 -0.2196 -3.00 RHO=4 3.57 4 0.4677
AG2 0.3005 1.36 T 23.74 1 0.0000
AG3 0.1781 0.91 Leads +1 17.63 1 0.0000
log(CS/POP){-1} 0.9206 27.77 Leads +4 45.86 4 0.0000
log[YD/(POP*PH)] 0.0931 2.86 Leads +8 40.32 2 0.0000
RSA -0.0011 -5.08 p4e 7.50 1 0.0062
p8e 4.07 1 0.0437
Other a 27.60 5 0.0000
Spread 1.95 4 0.7454
SE 0.00396
R2 1.000
DW 1.80
Chi Square (AGE) = 9.45 (df = 3, p-value = 0.0239)
Stability Test:
AP T1 T2 lambda Break
11.57* 1970.1 1979.4 2.43 1977.3
Estimation period is 1954.1-1998.3
alog(AA/POP)-1, log(WA/PH), log(PCS/PH), Z, log[YNL/(POP*PH)]
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Table 5.2: Equation 2
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Table 5.2
Equation 2
LHS Variable is log(CN/POP)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.2763 -3.42 Lags 26.48 4 0.0000
AG1 -0.1631 -1.65 RHO=4 37.38 4 0.0000
AG2 0.8111 2.82 T 0.51 1 0.4750
AG3 -0.4849 -2.68 Leads +1 14.94 1 0.0001
log(CN/POP){-1} 0.6298 14.48 Leads +4 15.99 4 0.0030
<>log(CN/POP){-1} 0.1795 2.94 Leads +8 16.68 2 0.0002
log(AA/POP){-1} 0.0497 4.93 p4e 3.50 1 0.0613
log[YD/(POP*PH)] 0.2349 7.82 p8e 0.29 1 0.5920
RMA -0.0012 -2.41 Other a 12.23 4 0.0157
Spread 11.70 4 0.0198
SE 0.00564
R2 0.998
DW 1.86
Chi Square (AGE) = 45.72 (df = 3, p-value = 0.0000)
Stability Test:
AP T1 T2 lambda Break
27.19* 1970.1 1979.4 2.43 1973.2
Estimation period is 1954.1-1998.3
alog(WA/PH), log(PCN/PH), Z, log[YNL/(POP*PH)]
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Table 5.3: Equation 3
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Table 5.3
Equation 3
LHS Variable is CD/POP
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.2952 -1.65 Lags 9.64 3 0.0219
AG1 0.2709 0.85 RHO=4 32.72 4 0.0000
AG2 1.3227 1.44 T 36.84 1 0.0000
AG3 -1.2406 -2.57 Leads +1 31.71 1 0.0000
(CD/POP){-1} 0.7737 13.83 Leads +4 42.19 4 0.0000
(KD/POP){-1} -0.0064 -1.14 Leads +8 35.88 2 0.0000
YD/(POP*PH) 0.0992 4.42 p4e*CDA 17.91 1 0.0000
RMA*CDA -0.0057 -3.26 p8e*CDA 17.52 1 0.0000
Other a 40.50 5 0.0000
Spread 15.02 4 0.0047
SE 0.01323
R2 0.995
DW 1.92
Chi Square (AGE) = 14.99 (df = 3, p-value = 0.0018)
Stability Test:
AP T1 T2 lambda Break
14.02* 1970.1 1979.4 2.43 1975.3
Estimation period is 1954.1-1998.3
a(AA/POP)-1, WA/PH, PCD/PH, Z, YNL/(POP*PH)
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Table 5.4: Equation 4
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Table 5.4
Equation 4
LHS Variable is IHH/POP
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 3.2507 1.19 Lags 2.24 4 0.6913
(IHH/POP){-1} 0.5116 8.80 RHO=4 3.50 2 0.1739
(KH/POP){-1} -0.0650 -4.59 T 9.13 1 0.0025
(AA/POP){-1} 0.0022 3.40 Leads +1 2.19 1 0.1386
YD/(POP*PH) 0.0605 2.61 Leads +4 6.85 4 0.1439
RMA{-1}*IHHA -0.0276 -4.90 Leads +8 2.46 2 0.2920
RHO1 0.6669 7.91 p4e{-1}*IHHA 3.57 1 0.0587
RHO2 0.3303 3.92 p8e{-1}*IHHA 4.34 1 0.0372
Other a 7.11 4 0.1303
Spread 2.06 4 0.7243
SE 0.00814
R2 0.958
DW 2.04
Chi Square (AGE) = 1.89 (df = 3, p-value = 0.5966)
Stability Test:
AP T1 T2 lambda Break
4.39 1970.1 1979.4 2.43 1976.4
Estimation period is 1954.1-1998.3
a(WA/PH)-1, (PIH/PH)-1, 'Z-1, [YNL/(POP*PH)]-1
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Table 5.5: Equation 5
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Table 5.5
Equation 5
LHS Variable is log(L1/POP1)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.0022 -2.34 Lags 2.40 3 0.4935
log(L1/POP1){-1} 0.8412 21.15 RHO=4 33.10 4 0.0000
log(WA/PH) 0.0015 0.60 Leads +1 0.77 1 0.3812
Z 0.0108 1.22 Leads +4 8.65 4 0.0704
T -0.0001 -3.65 Leads +8 0.41 2 0.8161
logPH 1.27 1 0.2591
Other a 2.36 2 0.3070
SE 0.00207
R2 0.988
DW 2.12
Stability Test:
AP T1 T2 lambda Break
6.01 1970.1 1979.4 2.43 1970.2
Estimation period is 1954.1-1998.3
alog(AA/POP)-1, log(YNL-1/(POP-1*PH-1))
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Table 5.6: Equation 6
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Table 5.6
Equation 6
LHS Variable is log(L2/POP2)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.0026 -1.19 Lags 11.78 3 0.0082
log(L2/POP2){-1} 0.9863 236.46 RHO=4 5.15 4 0.2727
log(WA/PH) 0.0188 2.83 T 1.44 1 0.2308
Z 0.0344 1.44 Leads +1 2.62 1 0.1058
Leads +4 14.84 4 0.0050
Leads +8 0.04 2 0.9793
logPH 5.68 1 0.0172
Other a 14.58 2 0.0007
SE 0.00588
R2 0.999
DW 2.15
Stability Test:
AP T1 T2 lambda Break
11.85* 1970.1 1979.4 2.43 1973.1
Estimation period is 1954.1-1998.3
alog(AA/POP)-1,log[YNL/(POP*PH)]-1
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Table 5.7: Equation 7
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Table 5.7
Equation 7
LHS Variable is log(L3/POP3)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.0307 -2.45 Lags 7.97 3 0.0467
log(L3/POP3){-1} 0.9433 44.56 RHO=4 1.26 4 0.8680
log(WA/PH) 0.0223 2.42 Leads +1 3.21 1 0.0734
Z 0.0440 1.93 Leads +4 7.85 4 0.0974
T -0.0001 -2.88 Leads +8 6.00 2 0.0497
logPH 0.52 1 0.4701
Other a 4.21 1 0.0401
SE 0.00552
R2 0.983
DW 1.93
Stability Test:
AP T1 T2 lambda Break
4.77 1970.1 1979.4 2.43 1979.2
Estimation period is 1954.1-1998.3
alog[YNL/(POP*PH)]-1
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Table 5.8: Equation 8
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Table 5.8
Equation 8
LHS Variable is log(LM/POP)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.1927 -2.34 Lags 11.03 3 0.0115
log(LM/POP){-1} 0.9398 40.90 RHO=4 3.70 4 0.4487
log(WA/PH) 0.0469 1.32 T 2.18 1 0.1396
Z 1.1468 3.88 Leads +1 1.98 1 0.1590
Leads +4 6.20 4 0.1845
Leads +8 1.99 2 0.3693
logPH 0.66 1 0.4181
Other a 12.02 2 0.0025
SE 0.06770
R2 0.925
DW 1.96
Stability Test:
AP T1 T2 lambda Break
7.06* 1970.1 1979.4 2.43 1978.4
Estimation period is 1954.1-1998.3
alog(AA/POP)-1, log[YNL/(POP*PH)]-1
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Table 5.9: Equation 9
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Table 5.9
Equation 9
LHS Variable is log[MH/(POP*PH)]
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.1655 -2.66 logMH/POP*PH-1 1.14 1 0.2852
log[MH{-1}/(POP{-1}*PH)] 0.9284 30.84 Lags 6.81 3 0.0783
log[YD/(POP*PH)] 0.2669 3.45 RHO=4 63.20 4 0.0000
RSA -0.0024 -1.71
T -0.0013 -3.57
SE 0.03096
R2 0.917
DW 2.19
Chi Square (AGE) = 14.06 (df = 3, p-value = 0.0028)
Stability Test:
AP T1 T2 lambda Break
28.34* 1970.1 1979.4 2.43 1979.2
Estimation period is 1954.1-1998.3
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Table 5.10: Equation 10
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Table 5.10
Equation 10
LHS Variable is logPF
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
logPF{-1} 0.8876 54.43 Lags 20.34 4 0.0004
log[WF*(1+D5G)]-logLAM 0.0465 2.42 RHO=4 29.21 4 0.0000
cnst -0.0408 -3.10 Leads +1 16.58 1 0.0000
logPIM 0.0381 17.81 Leads +4 13.94 4 0.0075
log[((YS-Y)/YS)+.04] -0.0037 -3.54 Leads +8 13.51 2 0.0012
T 0.0003 9.84 UR 43.85 1 0.0000
(YS-Y)/YS 3.26 1 0.0708
SE 0.00356
R2 1.000
DW 1.41
Stability Test:
AP T1 T2 lambda Break
29.78* 1970.1 1979.4 2.43 1972.2
Estimation period is 1954.1-1998.3
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Table 5.11: Equation 11
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Table 5.11
Equation 11
LHS Variable is Y
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 25.5782 2.20 Lags 4.31 2 0.1162
Y{-1} 0.3594 7.70 RHO=4 2.15 1 0.1424
X 0.8607 16.98 T 1.40 1 0.2372
V{-1} -0.2834 -8.16 Leads +1 7.09 1 0.0077
RHO1 0.4204 5.36 Leads +8 4.87 2 0.0878
RHO2 0.2296 2.88 Spread 6.08 4 0.1931
RHO3 0.2776 3.65
SE 3.73224
R2 1.000
DW 2.01
Stability Test:
AP T1 T2 lambda Break
10.09* 1970.1 1979.4 2.43 1979.3
Estimation period is 1954.1-1998.3
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Table 5.12: Equation 12
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Table 5.12
Equation 12
LHS Variable is <>IKF
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
(KK-KKMIN){-1} -0.0054 -3.10 Lags 10.24 4 0.0365
IKF{-1}-DELK*KK{-1} -0.0122 -1.31 RHO=4 8.39 4 0.0785
<>Y 0.0980 3.69 T 0.55 1 0.4605
<>Y{-1} 0.0618 3.09 Leads +1 0.12 1 0.7282
<>Y{-2} 0.0299 1.51 Leads +4 3.05 4 0.5491
<>Y{-3} 0.0372 1.89 Leads +8 0.51 2 0.7768
<>Y{-4} 0.0159 0.81 cnst 1.16 1 0.2811
RB'{-3}*IKFA -0.0002 -0.42 Spread 3.80 4 0.4341
SE 1.74805
R2 0.477
DW 1.90
Stability Test:
AP T1 T2 lambda Break
1.26 1970.1 1979.4 2.43 1978.2
Estimation period is 1954.1-1998.3
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Table 5.13: Equation 13
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Table 5.13
Equation 13
LHS Variable is <>logJF
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.5343 -3.93 Lags 27.64 5 0.0000
DD772 -0.1082 -0.41 RHO=4 13.01 4 0.0112
log(JF/JHMIN){-1} -0.0859 -3.91 Leads +1 2.19 1 0.1386
DD772*log(JF/JHMIN){-1} -0.0198 -0.46 Leads +4 15.10 4 0.0045
<>logJF{-1} 0.4140 7.72 Leads +8 2.81 2 0.2458
DD772*<>logJF{-1} -0.0723 -0.66
T 0.0001 4.05
DD772*T -0.0001 -2.53
<>logY 0.3321 9.32
SE 0.00318
R2 0.746
DW 2.04
Estimation period is 1954.1-1998.3
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Table 5.14: Equation 14
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Table 5.14
Equation 14
LHS Variable is <>logHF
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 0.5818 4.23 Lags 4.09 4 0.3939
DD772 0.3896 2.78 RHO=4 3.26 3 0.3538
logHF{-1} -0.1811 -5.85 Leads +1 0.28 1 0.5963
log(JF/JHMIN){-1} -0.0873 -4.54 Leads +4 3.40 4 0.4933
DD772*log(JF/JHMIN){-1} 0.0660 2.88 Leads +8 0.34 2 0.8432
T -0.0001 -4.56
DD772*T 0.0001 3.80
<>logY 0.1631 6.07
RHO1 -0.1639 -1.96
SE 0.00255
R2 0.444
DW 2.01
Estimation period is 1954.1-1998.3
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Table 5.15: Equation 15
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Table 5.15
Equation 15
LHS Variable is logHO
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 3.9512 42.90 Lags 1.34 2 0.5115
HFF 0.0198 8.50 RHO=4 3.50 3 0.3205
HFF{-1} 0.0115 4.93 T 5.57 1 0.0183
RHO1 0.9595 39.08
SE 0.04559
R2 0.952
DW 1.82
Stability Test:
AP T1 T2 lambda Break
4.79 1970.1 1979.4 2.56 1975.4
Estimation period is 1956.1-1998.3
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Table 5.16: Equation 16
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Table 5.16
Equation 16
LHS Variable is logWF-logLAM
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
logWF{-1}-logLAM{-1} 0.8723 28.66 RealWageRestr b 0.20 1 0.6577
logPF 0.7337 12.28 Lags 3.40 1 0.0653
cnst -0.0847 -5.30 RHO=4 5.38 4 0.2507
T 0.0001 2.26 UR 0.04 1 0.8385
logPF{-1}a -0.6244 -
SE 0.00683
R2 0.838
DW 1.70
Stability Test:
AP T1 T2 lambda Break
7.34* 1970.1 1979.4 2.43 1970.3
Estimation period is 1954.1-1998.3
aCoefficient constrained. See the discussion in the text.
bEquation estimated with no restrictions on the coefficients.
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Table 5.17: Equation 17
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Table 5.17
Equation 17
LHS Variable is log(MF/PF)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 0.0695 1.03 log(MF/PF){-1} 1.95 1 0.1631
log(MF{-1}/PF) 0.9667 52.96 Lags 5.96 3 0.1134
log(X-FA) 0.0202 2.24 RHO=4 20.48 4 0.0004
RS*(1-D2G-D2S) -0.0011 -0.56 T 0.76 1 0.3831
SE 0.02465
R2 0.982
DW 2.37
Stability Test:
AP T1 T2 lambda Break
6.31 1970.1 1979.4 2.43 1974.4
Estimation period is 1954.1-1998.3
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Table 5.18: Equation 18
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Table 5.18
Equation 18
LHS Variable is log(DF/DF{-1})
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
log(PIEF-TFG-TFS)/DF-1 0.0277 11.68 Restriction 4.16 1 0.0415
Lags 2.99 2 0.2239
RHO=4 9.36 4 0.0527
T 5.12 1 0.0237
cnst 0.00 1 0.9830
SE 0.02332
R2 0.062
DW 1.76
Stability Test:
AP T1 T2 lambda Break
4.25* 1970.1 1979.4 2.43 1976.1
Estimation period is 1954.1-1998.3
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Table 5.20: Equation 20
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Table 5.20
Equation 20
LHS Variable is IVA
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.9512 -1.44 Lags 4.85 2 0.0885
(PX-PX{-1})*V{-1} -0.3138 -3.19 RHO=4 15.34 3 0.0015
RHO1 0.6751 11.54 T 0.11 1 0.7445
SE 2.26866
R2 0.598
DW 2.12
Stability Test:
AP T1 T2 lambda Break
2.51 1970.1 1979.4 2.43 1974.4
Estimation period is 1954.1-1998.3
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Table 5.21: Equation 21
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Table 5.21
Equation 21
LHS Variable is log(CCF/CCF{-1})
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
log[(PIK*IKF)/CCF{-1}] 0.0679 15.34 Restriction 2.58 1 0.1086
D811824 0.0183 3.12 Lags 30.66 2 0.0000
D831834 0.0175 2.17 RHO=4 24.46 4 0.0001
T 2.79 1 0.0949
cnst 1.38 1 0.2405
SE 0.01613
R2 0.242
DW 2.61
Estimation period is 1954.1-1998.3
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Table 5.22: Equation 22
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Table 5.22
Equation 22
LHS Variable is BO/BR
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 0.0027 0.81 Lags 6.20 3 0.1025
(BO/BR){-1} 0.3232 4.57 RHO=4 24.88 4 0.0001
RS 0.0051 1.76 T 2.38 1 0.1225
RD -0.0029 -1.04
SE 0.01974
R2 0.308
DW 2.07
Stability Test:
AP T1 T2 lambda Break
7.04* 1970.1 1979.4 2.43 1975.2
Estimation period is 1954.1-1998.3
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Table 5.23: Equation 23
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Table 5.23
Equation 23
LHS Variable is RB-RS{-2}
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 0.2363 4.86 Restriction 0.98 1 0.3217
RB{-1}-RS{-2} 0.8856 41.92 Lags 1.61 2 0.4462
RS-RS{-2} 0.2983 8.50 RHO=4 8.92 3 0.0304
RS{-1}-RS{-2} -0.2254 -5.15 T 2.20 1 0.1379
RHO1 0.2464 3.21 Leads +1 0.00 1 0.9709
Leads +4 4.36 4 0.3597
p4e 2.87 1 0.0901
p8e 3.01 1 0.0826
SE 0.26072
R2 0.957
DW 2.03
Stability Test:
AP T1 T2 lambda Break
2.98 1970.1 1979.4 2.43 1979.4
Estimation period is 1954.1-1998.3
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Table 5.24: Equation 24
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Table 5.24
Equation 24
LHS Variable is RM-RS{-2}
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 0.4392 5.59 Restriction 1.68 1 0.1955
RM{-1}-RS{-2} 0.8534 34.24 Lags 1.47 2 0.4785
RS-RS{-2} 0.2543 5.32 RHO=4 2.06 4 0.7255
RS{-1}-RS{-2} -0.0153 -0.23 T 0.86 1 0.3550
Leads +1 1.43 1 0.2318
Leads +4 12.81 4 0.0122
Leads +8 5.78 2 0.0556
p4e 1.63 1 0.2023
p8e 2.46 1 0.1172
SE 0.35832
R2 0.892
DW 1.93
Stability Test:
AP T1 T2 lambda Break
2.66 1970.1 1979.4 2.43 1979.4
Estimation period is 1954.1-1998.3
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Table 5.25: Equation 25
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Table 5.25
Equation 25
LHS Variable is CG
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 46.2946 5.00 Lags 32.81 3 0.0000
<>RB -124.3692 -3.26 RHO=4 45.46 4 0.0000
<>(CF-TFG-TFS) 1.5832 0.82 T 25.30 1 0.0000
Leads +1 5.60 2 0.0608
Leads +4 8.56 8 0.3806
Leads +8 5.14 4 0.2736
<>RS 2.86 1 0.0908
SE 123.38279
R2 0.121
DW 1.54
Stability Test:
AP T1 T2 lambda Break
8.31* 1970.1 1979.4 2.43 1979.4
Estimation period is 1954.1-1998.3
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Table 5.26: Equation 26
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Table 5.26
Equation 26
LHS Variable is log[CUR/(POP*PF)]
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.0537 -8.42 logCUR/POP*PF-1 7.83 1 0.0052
logCUR{-1}/(POP{-1}*PF) 0.9572 126.11 Lags 6.49 3 0.0900
log[(X-FA)/POP] 0.0503 8.60 RHO=4 10.13 3 0.0175
RSA -0.0011 -2.61 T 0.04 1 0.8397
RHO1 -0.2786 -3.83
SE 0.00966
R2 0.997
DW 1.97
Stability Test:
AP T1 T2 lambda Break
7.72* 1970.1 1979.4 2.43 1977.3
Estimation period is 1954.1-1998.3
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Table 5.27: Equation 27
|
Table 5.27
Equation 27
LHS Variable is log(IM/POP)
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -0.4415 -3.59 Lags 12.94 4 0.0116
log(IM/POP){-1} 0.8955 30.73 RHO=4 31.94 4 0.0000
log[YD/(POP*PH)] 0.2895 3.77 T 17.91 1 0.0000
log(PF/PIM) 0.0525 2.30 Leads +1 0.05 1 0.8229
RMA{-1} -0.0034 -1.75 Leads +4 13.13 4 0.0107
D691 -0.1208 -3.91 Leads +8 1.05 2 0.5916
D692 0.1453 4.66 p4e 32.75 1 0.0000
D714 -0.0943 -3.06 p8e 15.36 1 0.0001
D721 0.1063 3.44 logPF 22.99 1 0.0000
log[(X-FA)/POP] 1.48 1 0.2238
Other a 22.31 4 0.0002
Spread 37.95 4 0.0000
SE 0.03051
R2 0.997
DW 1.76
Estimation period is 1954.1-1998.3
alog(AA/POP)-1, log(WA/PH), Z, log[YNL/(POP*PH)]
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Table 5.28: Equation 28
|
Table 5.28
Equation 28
LHS Variable is logUB
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst 0.3910 1.10 Lags 9.64 3 0.0219
logUB{-1} 0.2628 3.89 RHO=4 4.77 3 0.1892
logU 1.1500 9.87 T 4.09 1 0.0433
logWF 0.3660 5.81
RHO1 0.8099 15.16
SE 0.06270
R2 0.996
DW 2.10
Stability Test:
AP T1 T2 lambda Break
11.74* 1970.1 1979.4 2.43 1975.1
Estimation period is 1954.1-1998.3
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Table 5.30: Equation 30
|
Table 5.30
Equation 30
LHS Variable is RS
Equation Chi Square Tests
RHS Variable Est. t-stat. Test ChiSq df p-val
cnst -15.5616 -6.62 Lags 7.98 6 0.2396
RS{-1} 0.8894 49.38 RHO=4 2.32 4 0.6777
100*[(PD/PD{-1})^4-1] 0.0757 4.15 T 0.53 1 0.4661
JJS 15.7983 6.68 Leads +1 3.11 3 0.3747
PCGDPR 0.0756 5.27 Leads +4 12.13 12 0.4353
PCM1{-1} 0.0194 3.20 Leads +8 3.33 6 0.7660
D794823*PCM1{-1} 0.2266 9.79 p4e 1.06 1 0.3026
<>RS{-1} 0.2138 3.81 p8e 1.87 1 0.1712
<>RS{-2} -0.3040 -5.73
SE 0.48642
R2 0.970
DW 1.92
Estimation period is 1954.1-1998.3
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