Table 3. Open in new tab The estimated... | Oxford Academic

Table 3.

Open in new tab

The estimated parameters and fit results of AR(1) and AR(1)+Price Inflation Interest Rates Models δ_c (2000–2021)

	Estimated Parameters					Model Fit Results
*δ_w*	$w_{c}$	$d_{c}$	$μ_{c} / \ln μ_{c}$	$a_{c}$	$σ_{c}$	Log Likelihood	$r_{z} (1)$	$r_{z}^{2} (1)$	skewness ${\sqrt{β}}_{1}$	kurtosis $β_{2}$	Jarque-Bera $χ^{2}$	$p (χ^{2})$
AR(1)			0.1173 (0.0697)	0.8032 (0.0817)	0.0546 (0.0084)	31.27	0.13	–0.06	–0.3289	1.5715	4.1862	0.1233
AR(1) +Price Inflation	1.0	0.035	–0.8610 (0.5568)	0.9810 (0.0627)	0.5255 (0.0811)	3.01	–0.10	0.04	–0.6459	–0.4870	1.8127	0.404

	Estimated Parameters					Model Fit Results
*δ_w*	$w_{c}$	$d_{c}$	$μ_{c} / \ln μ_{c}$	$a_{c}$	$σ_{c}$	Log Likelihood	$r_{z} (1)$	$r_{z}^{2} (1)$	skewness ${\sqrt{β}}_{1}$	kurtosis $β_{2}$	Jarque-Bera $χ^{2}$	$p (χ^{2})$
AR(1)			0.1173 (0.0697)	0.8032 (0.0817)	0.0546 (0.0084)	31.27	0.13	–0.06	–0.3289	1.5715	4.1862	0.1233
AR(1) +Price Inflation	1.0	0.035	–0.8610 (0.5568)	0.9810 (0.0627)	0.5255 (0.0811)	3.01	–0.10	0.04	–0.6459	–0.4870	1.8127	0.404

Table 3.

Open in new tab

The estimated parameters and fit results of AR(1) and AR(1)+Price Inflation Interest Rates Models δ_c (2000–2021)

	Estimated Parameters					Model Fit Results
*δ_w*	$w_{c}$	$d_{c}$	$μ_{c} / \ln μ_{c}$	$a_{c}$	$σ_{c}$	Log Likelihood	$r_{z} (1)$	$r_{z}^{2} (1)$	skewness ${\sqrt{β}}_{1}$	kurtosis $β_{2}$	Jarque-Bera $χ^{2}$	$p (χ^{2})$
AR(1)			0.1173 (0.0697)	0.8032 (0.0817)	0.0546 (0.0084)	31.27	0.13	–0.06	–0.3289	1.5715	4.1862	0.1233
AR(1) +Price Inflation	1.0	0.035	–0.8610 (0.5568)	0.9810 (0.0627)	0.5255 (0.0811)	3.01	–0.10	0.04	–0.6459	–0.4870	1.8127	0.404

	Estimated Parameters					Model Fit Results
*δ_w*	$w_{c}$	$d_{c}$	$μ_{c} / \ln μ_{c}$	$a_{c}$	$σ_{c}$	Log Likelihood	$r_{z} (1)$	$r_{z}^{2} (1)$	skewness ${\sqrt{β}}_{1}$	kurtosis $β_{2}$	Jarque-Bera $χ^{2}$	$p (χ^{2})$
AR(1)			0.1173 (0.0697)	0.8032 (0.0817)	0.0546 (0.0084)	31.27	0.13	–0.06	–0.3289	1.5715	4.1862	0.1233
AR(1) +Price Inflation	1.0	0.035	–0.8610 (0.5568)	0.9810 (0.0627)	0.5255 (0.0811)	3.01	–0.10	0.04	–0.6459	–0.4870	1.8127	0.404