Page 170 - DECO503_INTERNATIONAL_TRADE_AND_FINANCE_ENGLISH

International Trade and Finance

Notes

ρ ρ 6 5 0.02 0.02 0.03 0.06 0.04 0.15 0.01 0.10 – 0.08 0.16 – 0.02 – 0.01 0.02 0.10 0.05 0.10 – 0.03 0.01

Residual autocorrelations ρ 4 – 0.03 0.07 – 0.03 – 0.09 0.13 – 0.17 – 0.12 – 0.06 – 0.13 , regressions. The complete complementarity of the of the estimated regression coefficients, the

. ρ 3 0.06 0.10 0.13 – 0.01 0.03 0.02 0.01 0.11 0.00
+1
t
ε 2.
ˆ
) + ρ 2 0.06 – 0.23 0.04 0.16 – 0.12 0.03 0.06 0.03 0.07
t , are the same for the two regressions. Under the hypothesis that the true
S
(F – t ρ 1 0.01 0.12 0.15 0.13 )
Table 2: OLS regressions : 8/31/73-12/10/82. N = 122.*
β 2 – 0.07 – 0.00 – 0.03 – 0.02 – 0.01 ˆ ( β
ˆ s
+ t
= α 2 ˆ ˆ ) (ε s 3.05 1.12 3.00 2.79 3.06 2.99 3.75 2.57 3.08 S − ) and
t t1 + ˆ (α
– S 2 2 s
t+1 R 0.04 0.01 0.01 0.01 0.00 0.01 0.00 0.01 0.00 and S
S 1
t+
2 1 S
R 0.11 0.07 0.07 0.11 0.07 0.06 0.04 0.06 0.03 − t
+1 .
ε 1.t ) ) for the F
ˆ ˆ ( β 0.68 0.61 0.63 0.38 0.43 0.86 0.92 0.66 1.15 ρ t
) + s
t 2
S
(F – t ˆ ) (α s 0.30 0.11 0.31 0.40 0.29 0.31 0.56 0.28 0.44
β 1
ˆ regressions for each country means that the standard errors
+ ˆ 2 β
t+1 = α 1 , and the residual autocorrelations,
ˆ – 1.58 – 0.87 – 0.87 – 0.51 – 0.29 – 1.43 – 1.14 – 0.90 – 1.32 autocorrelations are zero, the standard error of the estimated residual autocorrelations is about 0.09.

S ˆ 2 α – 0.50 – 0.25 – 0.64 – 1.14 0.12 0.21 0.81 – 0.57 0.36
F – t are the coefficients of determination (regression R
ˆ 1 β 2.58 1.87 1.87 1.51 1.29 2.43 2.14 1.90 2.32

ˆ 1 α 0.50 0.25 0.64 1.14 – 0.12 – 0.21 – 0.81 0.57 – 0.36 ˆ () ε s

S t
− S t1 +

Country Belgium Canada France Italy Japan Netherlands Switzerland United Kingdom West Germany 2 and R 2 and S 1 t+ residual standard error

* R 2 1 − F t

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