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 P1 | −0.05 | 0.04 | −0.04 | 0.04 | −0.04 | 0.04 | −0.34 | 0.09 | −0.35 | 0.08 |
Below Threshold P2 | −0.08 | 0.05 | −0.06 | 0.04 | −0.09 | 0.05 | −0.21 | 0.08 | −0.41 | 0.08 |
Differenced Residuals (t − 1) | 0.17 | 0.09 | 0.13 | 0.09 | 0.24 | 0.09 | 0.15 | 0.09 | 0.39 | 0.08 |
Differenced Residuals (t − 2) | −0.03 | 0.09 | −0.02 | 0.09 | −0.05 | 0.09 |
|
| 0.27 | 0.09 |
Threshold value (tau): | 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
| 0.00 |
|
F-equal: | 0.27 | 2.81 | 0.08 | 2.68 | 0.67 | 2.88 | 1.30 | 2.09 | 0.36 | 1.76 |
T-max value: | −1.23 | −2.13 | −1.21 | −2.12 | −1.07 | −2.10 | −2.45 | −2.43 | −4.64 | −3.01 |
F-joint (Phi): | 2.05 | 5.93 | 1.57 | 5.92 | 2.32 | 5.76 | 10.07 | 7.36 | 20.94 | 10.15 |