Level

2

3

4

5

Selection criteria

AIC

SBC

AIC

SBC

AIC

SBC

AIC

SBC

−32.9676

−30.7415

−33.0741

−29.8207

−32.8624

−28.5815

−32.7524

−27.4441

Heteroscedasticity Tests

Equation

χ2

p-value

χ2

p-value

χ2

p-value

χ2

p-value

dptd

0.0011

0.9994

1.0672

0.7850

1.8453

0.7642

4.1369

0.5299

dcmb

2.9668

0.2269

6.7209

0.0813

5.8060

0.2141

6.5518

0.2562

djur

1.7245

0.4222

1.9106

0.5912

3.3320

0.5039

3.2123

0.6673

duci

7.0145

0.0300

3.2696

0.3519

2.0199

0.7321

7.3107

0.1985

dslr

0.9826

0.6118

2.7508

0.4317

1.2766

0.8653

2.2182

0.8182

dipp

2.4462

0.2943

3.7394

0.2910

1.7999

0.7725

6.2594

0.2818

Autocorrelation Tests

Lags

χ2

p-value

χ2

p-value

χ2

p-value

χ2

p-value

1

68.1568

0.00096

39.7114

0.30811

40.9333

0.26285

29.3592

0.77540

2

48.8143

0.07529

42.0495

0.22538

35.8764

0.47444

30.3347

0.73452