Rosario Spot | Chicago | Rotterdam | Paranaguá | Rosario Futures | Overall model | |||||
Variable | Coeff. | Std. Error | Coeff. | Std. Error | Coeff. | Std. Error | Coeff. | Std. Error | Coeff. | Std. Error |
Above Threshold | −0.23 | 0.07 | −0.23 | 0.09 | −0.34 | 0.09 | −0.18 | 0.07 | −0.40 | 0.08 |
Below Threshold | −0.22 | 0.07 | −0.21 | 0.08 | −0.32 | 0.09 | −0.28 | 0.10 | −0.25 | 0.08 |
Differenced Residuals (t − 1) | 0.30 | 0.09 | 0.03 | 0.09 | 0.26 | 0.09 | 0.24 | 0.09 | 0.31 | 0.09 |
Differenced Residuals (t − 2) | 0.15 | 0.09 | 0.03 | 0.09 | 0.10 | 0.09 | −0.08 | 0.09 | 0.21 | 0.09 |
Threshold value (tau): | 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
|
F-equal: | 0.03 | 3.89 | 0.03 | 2.78 | 0.04 | 3.73 | 0.70 | 3.85 | 2.22 | 3.90 |
T-max value: | −3.28 | −1.98 | −2.54 | −2.10 | −3.67 | −2.00 | −2.56 | −1.97 | −3.11 | −2.83 |
F-joint (Phi): | 9.92 | 6.34 | 6.04 | 5.85 | 11.87 | 6.39 | 6.65 | 6.34 | 16.45 | 10.58 |