Data

AEP

CIN

CMS

D

DPL

DTE

DUK

ED

EDE

EIX

ETR

FPL

α

0.01264

(0.58)

0.03244

(1.46)

−0.00834

(−0.29)

0.04115

(2.03)*

0.05275

(2.22)*

0.03828

(1.77)

0.03128

(1.26)

0.03012

(1.35)

0.03244

(1.49)

0.00473

(0.15)

0.04626

(1.82)

0.03469

(1.62)

β

0.37872

(22.89)**

0.36077

(21.43)**

0.28526

(13.94)**

0.35567

(23.7)**

0.33977

(18.13)**

0.41714

(24.75)**

0.42805

(23.91)**

0.41623

(22.8)**

0.15795

(9.83)**

0.47156

(22.42)**

0.31852

(15.98)**

0.33321

(20.78)**

$\widehat{\sigma }$

1.23089

(36.98)**

1.22791

(44.86)**

1.7489

(16.4)**

1.15796

(25.33)**

1.32319

(39.91)**

1.20056

(39.89)**

1.37718

(40.83)**

1.24393

(43.33)**

1.2053

(43.98)**

2.52876

(5.28)**

1.43755

(35.53)**

1.22625

(26.4)**

K

1.57664

(11.89)**

1.3988

(10.66)**

2.13438

(11.04)**

1.73995

(10.61)**

1.86872

(12.29)**

1.80353

(11.3)**

1.35557

(12.36)**

1.94618

(9.78)**

1.38038

(16.15)**

2.09635

(11)**

1.92125

(11.75)**

1.9214

(10.78)**

λ

0.01993

(0.88)

0.02316

(1.08)

0.01796

(0.7)

0.01808

(0.78)

0.05783

(2.34)*

0.0368

(1.52)

0.00742

(0.35)

0.00132

(0.05)

0.0375

(1.71)

−0.00666

(−0.27)

0.04697

(1.9)

0.00514

(0.21)

n

4.7153

(6.06)**

8.14022

(2.68)**

2.83973

(11.66)**

3.8967

(6.11)**

4.46409

(7.78)**

4.8989

(5.85)**

6.1737

(4.48)**

5.4031

(4.51)**

5.91206

(7.83)**

2.31309

(13.38)**

4.04235

(8.17)**

3.65427

(7.51)**

SK

0.12846

0.10119

n/a

0.16105

0.33563

0.189

0.04159

0.0054

0.21373

n/a

0.33541

0.05259

KU

16.74093

6.87491

n/a

n/a

18.00594

11.2943

10.03874

7.53358

10.57564

n/a

157.40163

n/a

LogL

−4631.58

−4731.1

−5321.66

−4384.13

−4915.63

−4650.79

−4982.82

−4827.62

−4574.69

−5524.25

−5122.28

−4562.86

LR-N.

626.77**

356.77**

1376.83**

570.44**

555.16**

387.37**

603.04**

219.9**

1064.3**

2342.45**

617.93**

625.12**

R2

0.08796

0.08452

0.02661

0.09582

0.06226

0.11384

0.09067

0.10726

0.01501

0.04539

0.04814

0.07417

OBS

3026

3026

3026

3026

3026

3026

3026

3026

3026

3026

3026

3026