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 |