Error correction regression results for the subsamples (processing-retail); dependent variable: Δln(processing(t))
| Independent variable | Normal period | COVID-19 period | Russian war against Ukraine period |
|---|---|---|---|
| (Intercept) | 0.000 (0.001) | −0.003** (0.001) | 0.012** (0.005) |
| ECT(t−1)+ | −0.544** (0.235) | 0.094 (0.139) | −0.145 (0.138) |
| ECT(t−1)− | −0.645** (0.319) | −0.737*** (0.181) | −0.024 (0.169) |
| Number of lags | 1 | 1 | 1 |
| Test of asymmetry (H0: ECT+ = ECT−) | |||
| F-test stat | 0.055 | 10.079 | 0.193 |
| p-value | 0.816 | 0.002 | 0.663 |
| Independent variable | Normal period | COVID-19 period | Russian war against Ukraine period |
|---|---|---|---|
| (Intercept) | 0.000 (0.001) | −0.003** (0.001) | 0.012** (0.005) |
| ECT(t−1)+ | −0.544** (0.235) | 0.094 (0.139) | −0.145 (0.138) |
| ECT(t−1)− | −0.645** (0.319) | −0.737*** (0.181) | −0.024 (0.169) |
| Number of lags | 1 | 1 | 1 |
| Test of asymmetry (H0: ECT+ = ECT−) | |||
| 0.055 | 10.079 | 0.193 | |
| 0.816 | 0.002 | 0.663 | |
Note(s): The number of lagged price variables was selected using the Akaike information criteria. Standard errors in parenthesis. Asterisks denote significance at 10% (*), 5% (**), and 1% (***) levels
Source(s): Authors’ own work
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