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 |