Table 2.
Parameter Stability Test of Andrews (1993) (BSE Stock Returns are Regressed on Gold returns).
| Auto | Capital goods | Consumer durables |
FMCG | IT | Metals | Oil and Gas |
|
|---|---|---|---|---|---|---|---|
| Sup LR | 3.0887** | 3.8108* | 3.3904** | 3.4045* | 9.1203* | 4.0846* | 4.6560* |
| Exp LR | 0.8009*** | 0.9459* | 0.8088** | 0.9403** | 2.2550* | 0.9893* | 1.3014* |
| Mean LR | 1.4938*** | 1.7324* | 1.4991*** | 1.7104** | 2.7176* | 1.8208** | 2.3358* |
| Sup Wald | 27.7986** | 34.2979* | 30.5141** | 30.6412* | 82.0831* | 36.7619* | 41.9040* |
| Exp Wald | 9.4566** | 13.0165** | 11.5806** | 12.3044* | 35.0816* | 13.2765* | 16.2274* |
| Mean Wald | 13.4442*** | 15.5921** | 13.4919** | 15.3940** | 24.4586* | 16.3879** | 21.0230* |
Note: Parameter stability test by Andrews (1993) and Andrews and Ploberger (1994) with the null hypothesis of parameter stability.