China Spot | Chicago Futures | Rotterdam | Paranaguá | Dalian Futures | Overall model | |||||
Variable | Coeff. | Std. Error | Coeff. | Std. Error | Coeff. | Std. Error | Coeff. | Std. Error | Coeff. | Std. Error |
Above Threshold | −0.17 | 0.08 | −0.15 | 0.07 | −0.18 | 0.06 | −0.35 | 0.12 | −0.39 | 0.08 |
Below Threshold | −0.28 | 0.07 | −0.27 | 0.07 | −0.19 | 0.06 | −0.40 | 0.10 | −0.37 | 0.08 |
Differenced Residuals (t − 1) | 0.26 | 0.09 | 0.15 | 0.09 | 0.35 | 0.09 | 0.19 | 0.09 | 0.39 | 0.08 |
Differenced Residuals (t − 2) | 0.11 | 0.09 | 0.05 | 0.09 | 0.01 | 0.09 | −0.11 | 0.10 | 0.27 | 0.09 |
Threshold value (tau): | 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
|
F-equal: | 1.40 | 3.78 | 1.58 | 3.89 | 0.04 | 3.88 | 0.14 | 3.92 | 0.03 | 3.77 |
T-max value: | −2.11 | −1.98 | −2.00 | −1.97 | −2.90 | −1.98 | −2.92 | −2.00 | −4.65 | −2.80 |
F-joint (Phi): | 10.80 | 6.33 | 9.09 | 6.33 | 8.06 | 6.30 | 10.64 | 6.48 | 20.72 | 10.66 |