Table 7 Markov-switching dynamic... | Emerald Publishing

Table 7

Markov-switching dynamic regression results

Variables	MCI_cnt Regime 1	MCI_cnt Regime 2	MCI_tvp Regime 1	MCI_tvp Regime 2	MCI_cnt Regime 1	MCI_cnt Regime 2	MCI_tvp Regime 1	MCI_tvp Regime 2
$r_{t, s_{t}}^{*}$	1.016*** (0.000)	1.031*** (0.000)	1.054*** (0.000)	0.987*** (0.000)	1.015*** (0.000)	0.990*** (0.000)	1.016*** (0.000)	0.993*** (0.000)
$π_{t, s_{t}}$	2.505*** (0.000)	2.581*** (0.000)	2.631*** (0.000)	2.472*** (0.000)	2.535*** (0.000)	2.497*** (0.000)	2.535*** (0.000)	2.481*** (0.000)
$π_{t, s_{t}}^{'}$	0.041*** (0.000)	0.005 (0.850)	−0.012 (0.217)	0.003 (0.587)	0.021 (0.500)	−0.003 (0.689)	−0.014 (0.425)	0.007 (0.563)
$y_{t, s_{t}}^{'}$	1.434*** (0.000)	1.929 (0.315)	4.858*** (0.000)	2.799*** (0.000)	2.644* (0.000)	4.381*** (0.056)	2.679*** (0.000)	3.224*** (0.000)
${M C I_c n t}_{t, s_{t}}$	0.105** (0.014)	0.016 (0.851)	–	–	0.100 (0.214)	−0.039 (0.287)	–	–
${M C I_t v p}_{t, s_{t}}$	–	–	0.001 (0.343)	0.003*** (0.001)	–	–	0.003** (0.000)	−0.002** (0.000)
${o p}_{t, s_{t}}$	–	–	–	–	−0.001*** (0.000)	−0.002*** (0.287)	0.005*** (0.000)	0.001 (0.000)
${c o v 19_}_{, s_{t}}$	–	–	–	–	−0.115*** (0.000)	−0.053* (0.287)	−0.080* (0.780)	−0.033 (0.759)
Constant	−8.569*** (0.000)	−8.704*** (0.000)	−9.367*** (0.000)	−8.201*** (0.000)	−8.915*** (0.000)	−8.612*** (0.000)	−9.146*** (0.000)	−8.332*** (0.000)
Observations	94	94	94	94	94	94	94	94
Number of Regimes	Parameters	AIC	BIC
MS-VAR Model Selection Criteria (Two Regimes)
2	6	231.45	258.72

Variables	MCI_cnt Regime 1	MCI_cnt Regime 2	MCI_tvp Regime 1	MCI_tvp Regime 2	MCI_cnt Regime 1	MCI_cnt Regime 2	MCI_tvp Regime 1	MCI_tvp Regime 2
$r_{t, s_{t}}^{*}$	1.016*** (0.000)	1.031*** (0.000)	1.054*** (0.000)	0.987*** (0.000)	1.015*** (0.000)	0.990*** (0.000)	1.016*** (0.000)	0.993*** (0.000)
$π_{t, s_{t}}$	2.505*** (0.000)	2.581*** (0.000)	2.631*** (0.000)	2.472*** (0.000)	2.535*** (0.000)	2.497*** (0.000)	2.535*** (0.000)	2.481*** (0.000)
$π_{t, s_{t}}^{'}$	0.041*** (0.000)	0.005 (0.850)	−0.012 (0.217)	0.003 (0.587)	0.021 (0.500)	−0.003 (0.689)	−0.014 (0.425)	0.007 (0.563)
$y_{t, s_{t}}^{'}$	1.434*** (0.000)	1.929 (0.315)	4.858*** (0.000)	2.799*** (0.000)	2.644* (0.000)	4.381*** (0.056)	2.679*** (0.000)	3.224*** (0.000)
${M C I_c n t}_{t, s_{t}}$	0.105** (0.014)	0.016 (0.851)	–	–	0.100 (0.214)	−0.039 (0.287)	–	–
${M C I_t v p}_{t, s_{t}}$	–	–	0.001 (0.343)	0.003*** (0.001)	–	–	0.003** (0.000)	−0.002** (0.000)
${o p}_{t, s_{t}}$	–	–	–	–	−0.001*** (0.000)	−0.002*** (0.287)	0.005*** (0.000)	0.001 (0.000)
${c o v 19_}_{, s_{t}}$	–	–	–	–	−0.115*** (0.000)	−0.053* (0.287)	−0.080* (0.780)	−0.033 (0.759)
Constant	−8.569*** (0.000)	−8.704*** (0.000)	−9.367*** (0.000)	−8.201*** (0.000)	−8.915*** (0.000)	−8.612*** (0.000)	−9.146*** (0.000)	−8.332*** (0.000)
Observations	94	94	94	94	94	94	94	94
Number of Regimes	Parameters	AIC	BIC
MS-VAR Model Selection Criteria (Two Regimes)
2	6	231.45	258.72

Note(s): ***p < 0.01, **p < 0.05, *p < 0.1. p-values are reported in parentheses. S_t denotes the latent regime