$C{F}_{t-1}$

$C{F}_{t-2}$

$AT{T}_{t-1}$

$AT{T}_{t-2}$

Panel A: 1/VIF

0.9420

0.9539

0.9507

0.9533

Panel B: Correlation matrix

$C{F}_{t-1}$

1.0000

$C{F}_{t-2}$

0.1847

1.0000

$AT{T}_{t-1}$

0.0047

−0.0697

1.0000

$AT{T}_{t-2}$

−0.1175

0.0085

0.1351

1.0000

Panel C: VAR residual heteroscedasticity test

No cross terms

0.8125

(0.5418)

With cross terms

0.6086

(0.9044)