Table 11. Cumby and Huizinga (1992) test...

Table 11.

Cumby and Huizinga (1992) test of the null hypothesis that the Hansen–Hodrick regression error is uncorrelated with itself at lags $q + 1$ to $q + s$ ⁠, $q = 11$

Period	Lags	US-UK	US-CA	US-JP
10/1984–01/2023	5	1087.218	203.5084	646.771
	10	1134.685	219.5272	624.1312
	50	525.2874	330.3852	1115.21
10/1989–04/2021	5	48811.75	43522.55	61825.54
	10	114112.9	424805.4	65447.43
	50	93889.12	377855.8	37567.25

Period	Lags	US-UK	US-CA	US-JP
10/1984–01/2023	5	1087.218	203.5084	646.771
	10	1134.685	219.5272	624.1312
	50	525.2874	330.3852	1115.21
10/1989–04/2021	5	48811.75	43522.55	61825.54
	10	114112.9	424805.4	65447.43
	50	93889.12	377855.8	37567.25

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