Sample | Regressor | Coef. | St-dev. | t-stat |
Feb/2003-Jul/2021 | yc(−1)*** | 0.333 | 0.055 | 6.025 |
rc(−1)*** | −0.284 | 0.091 | −3.101 | |
R_I | yc(−1)*** | 0.238 | 0.072 | 3.267 |
rc(−1)** | −0.158 | 0.073 | −2.169 | |
R_II | yc(−1)*** | 0.362 | 0.114 | 3.155 |
rc(−1)** | −0.776 | 0.378 | −2.049 |