Samples

Method

Regressor

Coef.

St-dev.

t-stat

Feb/2003-Jul/2021

OLS

cc(−1)***

0.761

0.071

10.625

yc(−1)*

0.039

0.020

1.889

rc(−1)**

−0.068

0.029

−2.358

cc(−1)***

0.701

0.118

5.913

GMM

yc(−1)

−0.134

0.161

−0.829

[0.284]

rc(−1)***

−0.186

0.063

−2.934

R_I

OLS

cc(−1)***

0.559

0.076

7.273

yc(−1)

0.063

0.043

1.441

rc(−1)***

−0.149

0.045

−3.260

cc(−1)***

0.815

0.105

7.728

GMM

yc(−1)

0.018

0.033

0.542

[0.662]

rc(−1)**

−0.060

0.029

−2.042

R_II

OLS

cc(−1)**

0.475

0.193

2.457

yc(−1)

0.081

0.160

0.506

rc(−1)*

−0.415

0.247

−1.674

cc(−1)***

0.876

0.168

5.205

GMM

yc(−1)**

−0.363

0.143

−2.527

[0.839]

rc(−1)***

−0.385

0.132

−2.901