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Parameter stability tests.
| SMI equation | PR equation | VAR system | |
|---|---|---|---|
| Sup-F | 49.912*** | 80.743*** | 48.903*** |
| Mean-F | 27.089*** | 28.086*** | 23.803*** |
| Exp-F | 9.785*** | 36.280*** | 20.393*** |
| LC | 9.556*** |
We calculate p values using 10,000 bootstrap repetitions.
Denote significance at 1%.
Hansen-Nyblom (Lc) parameter stability test for all parameters in the VAR jointly.
