Variable | Model 1 | Model 2 | Model 3 | Model 4 | |
Mean equation | neer (−3) | −0.0216 | −0.0866 | −0.1431** | −0.1641** |
(−0.3003) | (−1.1098) | (−1.9860) | (−2.2905) | ||
ppi | 0.5130** | 0.7125* | ― | ― | |
(2.3860) | (3.7798) | ― | ― | ||
wcpi | 2.6616* | 3.0909* | ― | ― | |
(4.0999) | (4.7669) | ― | ― | ||
gdp | ― | −0.0052* | ― | −0.0029*** | |
― | (−3.9584) | ― | (−1.6730) | ||
ecm (−1) | −0.1330* | −0.1468* | −0.1255* | −0.1173* | |
(−5.7817) | (−5.9502) | (−5.3140) | (−4.8427) | ||
constant | 1.4216 | 1.4549 | 2.116 | 2.032 | |
(4.2759) | (4.3389) | (6.3938) | (5.9817) | ||
Variance equation | RESID(−1)^2 | 0.3553* | 0.2532* | 0.4056* | 0.4144* |
(3.1473) | (3.8677) | (3.4670) | (3.0893) | ||
GARCH(−1) | 0.4311* | 0.4133* | 0.4755* | 0.4316* | |
(3.2533) | (3.7182) | (4.1617) | (3.3254) | ||
var neer | ― | ― | −0.1881*** | −0.2027*** | |
― | ― | (−1.7393) | (−1.7108) | ||
var neer (−3) | −0.2012* | −0.2583* | ― | ― | |
(−3.7842) | (−7.6104) | ― | ― | ||
Adjusted R-squared | 0.2535 | 0.2848 | 0.1050 | 0.1133 | |
Durbin-Waston Statistic | 2.3246 | 2.3587 | 2.0348 | 2.0394 |