A

B

C

Dependenent Var.: $\ln P_{j,t-1}$

All Countries

All Countries

Countries with Dummy = 1

All Countries

Countries with Dummy = 1

$\ln {\lambda }_{j,t-1}$

0.000764

0.007229

0.015459

0.008758

0.013337

[0.06576]

[0.46695]

[0.56873]

DUM(−1)* $\ln {\lambda }_{j,t-1}$

0.00823

0.004579

[0.36765]

[0.20565]

$\ln P_{t-1}^{*}$

1.36278

0.87583

1.631229

0.933973

1.538649

[5.64248]

[2.33124]

[2.49915]

DUM(−1)* $\ln P_{t-1}^{*}$

0.755399

0.604676

[1.61449]

[1.29918]

@TREND (1997Q1)

0.000117

0.000101

0.000101

9.92E−05

9.92E−05

[3.20300]

[2.79062]

[2.79062]

[2.75935]

[2.75935]

C

−0.145284

−0.0964

−0.0964

−0.098636

−0.098636

${\alpha }_1$

−0.020689

−0.020465

−0.020906

[−10.0616]

[−10.2163]

[−10.4924]

${\alpha }_2$

0.005666

0.005552

0.003605

[1.46513]

[1.46338]

[1.36026]

${\alpha }_3$

−0.00027

−0.000251

−0.000261

[−1.56377]

[−1.48348]

[−2.35341]

${\alpha }_4$

0.002196

0

[0.77862]

[NA]

${\alpha }_5$

2.89E−05

0

[0.21748]

[NA]

Determinant Resid. Covariance (Dof Adj.)

2.31E−11

3.87E−20

3.87E−20

Determinant Resid. Covariance

2.27E−11

3.71E−20

3.71E−20

Log Likelihood

20607

39365.74

39365.49

Akaike Information Criterion

−15.95732

−30.46157

−30.46138

Schwarz Criterion

−15.85281

−30.19805

−30.19785

Number of Coefficients

46

116

116