Transition probabilities and goodness of fit statistics for MS models: (1998:Q1–2019:Q2)
| Statistics | MSM1 | MSM2 | MSM3 | MSM4 |
|---|---|---|---|---|
| Sigma | 0.0161828 | 0.0159953 | 0.0148196 | 0.0143143 |
| Linearity Test | 98.412 (0.0000)a | 97.249 (0.0000) | 107.05 (0.0000) | 111.23 (0.0000) |
| p_{0|0} | 0.966382 | 0.968864 | 0.967870 | 0.966282 |
| p_{1|0} | 0.033618 | 0.031136 | 0.032130 | 0.033718 |
| p_{0|1} | 0.187263 | 0.175488 | 0.173356 | 0.178535 |
| p_{1|1} | 0.81274 | 0.82451 | 0.82664 | 0.82146 |
| log-likelihood | 213.071302 | 214.391491 | 220.073541 | 222.595543 |
| AIC*T | −408.142603 | −406.782982 | −414.147083 | −415.191086 |
| AIC | −4.80167768 | −4.78568215 | −4.87231862 | −4.88460101 |
| Convergence | Strong convergence by SQPFb using analytical derivatives | Strong convergence by SQPF using analytical derivatives | Strong convergence by SQPF using analytical derivatives | Strong convergence by SQPF using analytical derivatives |
| Observations | 85 | 85 | 85 | 85 |
| Statistics | MSM1 | MSM2 | MSM3 | MSM4 |
|---|---|---|---|---|
| Sigma | 0.0161828 | 0.0159953 | 0.0148196 | 0.0143143 |
| Linearity Test | 98.412 (0.0000) | 97.249 (0.0000) | 107.05 (0.0000) | 111.23 (0.0000) |
| p_{0|0} | 0.966382 | 0.968864 | 0.967870 | 0.966282 |
| p_{1|0} | 0.033618 | 0.031136 | 0.032130 | 0.033718 |
| p_{0|1} | 0.187263 | 0.175488 | 0.173356 | 0.178535 |
| p_{1|1} | 0.81274 | 0.82451 | 0.82664 | 0.82146 |
| log-likelihood | 213.071302 | 214.391491 | 220.073541 | 222.595543 |
| AIC*T | −408.142603 | −406.782982 | −414.147083 | −415.191086 |
| AIC | −4.80167768 | −4.78568215 | −4.87231862 | −4.88460101 |
| Convergence | Strong convergence | Strong convergence | Strong convergence | Strong convergence |
| Observations | 85 | 85 | 85 | 85 |
Notes:
The values in parentheses are p. values.
SQPF (feasible sequential quadratic programming) follows Ox function MaxSQPF, as is indicated in Lawrence and Tits (2001) (Oxmetrix-PCGive, 2014)