Skip to main content

View full-text article in PMC

. 2021 Aug 21;29:104631. doi: 10.1016/j.rinp.2021.104631

Table 9.

Coefficient estimates (standard errors) and 95% CI in bivariate HAR(4,4) model for $(C C_{t}, C D_{t})$ .

Bivariate		$C C_{t}$			$C D_{t}$
$(p, q)$		( $j = 1$ )			( $j = 2$ )
		Coef. est (se)	(95% CI)		Coef. est (se)	(95% CI)
$(4, 4)$	$α_{j 1}$	1.512(0.023)	[1.467,1.558]^a		0.143(0.032)	[0.079,0.206]^a
	$α_{j 2}$	−0.751(0.058)	[−0.864,−0.637]^a		−0.286(0.081)	[−0.447,−0.126]^a
	$α_{j 3}$	0.341(0.062)	[0.220,0.462]^a		0.268(0.087)	[0.098,0.431]^a
	$α_{j 4}$	−0.103(0.028)	[−0.157,−0.048]^a		−0.119(0.039)	[−0.196,−0.043]^a
	$β_{j 1}$	−0.051(0.036)	[−0.121,0.020]		0.973(0.051)	[0.873,1.072]^a
	$β_{j 2}$	0.085(0.084)	[−0.079,0.249]		0.197(0.117)	[−0.034,0.429]
	$β_{j 3}$	−0.040(0.101)	[−0.238,0.158]		−0.128(0.142)	[−0.407,0.150]
	$β_{j 4}$	0.006(0.046)	[−0.085,0.096]		−0.047(0.065)	[−0.175,0.079]

^a

Indicates significant CI.