Rosario Spot

Chicago Futures

Rotterdam

Paranaguá

Rosario Futures

Overall model

Variable

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Above Threshold

−0.21

0.07

−0.31

0.10

−0.36

0.09

−0.25

0.07

−0.31

0.07

Below Threshold

−0.30

0.07

−0.27

0.10

−0.35

0.09

−0.14

0.09

−0.35

0.09

Differenced Residuals (t − 1)

0.32

0.09

0.04

0.09

0.27

0.09

0.25

0.09

0.30

0.09

Differenced Residuals (t − 2)

0.16

0.09

0.04

0.09

0.11

0.09

−0.08

0.09

0.23

0.09

Threshold value (tau):

0.00

0.00

0.00

0.00

0.00

F-equal:

1.02

2.83

0.11

2.19

0.01

2.91

0.99

2.80

0.15

1.70

T-max value:

−3.10

−2.11

−2.77

−2.44

−3.70

−2.11

−1.53

−2.13

−3.95

−2.99

F-joint (Phi):

11.91

5.79

7.96

7.26

13.04

5.85

6.81

5.92

15.15

10.00