MS Models for CPI growth (1998:Q1– 2019:Q2) with different transition variables
| Variables | MSM4 | MSM4b | MSM4c |
|---|---|---|---|
| Constant (Regime 0) | 0.0325443 [4.489] (0.000) | 0.032636 [4.011] (0.000) | 0.032139 [4.017] (0.000) |
| Constant (Regime 1) | 0.0727235 [5.00] (0.000) | 0.068107 [5.031] (0.000) | 0.062584 [4.682] (0.000) |
| Exchange_g (Regime 0) | 0.0960139 [3.67] (0.000) | 0.099122 [3.380] (0.000) | 0.103745 [3.534] (0.000) |
| Exchange_g (Regime 1) | 0.154087 [4.40] (0.000) | 0.161975 [4.506] (0.000) | 0.184271 [5.468] 0.000 |
| GDP_g (Regime 0) | 0.00230061 [3.04] (0.003) | 0.002179 [2.619] (0.008) | 0.002329 [2.602] (0.009) |
| GDP_g (Regime 1) | 0.00897510 [6.28] (0.000) | 0.009752 [7.416] (0.000) | 0.010832 [9.609] (0.000) |
| IP_g (Regime 0) | −0.132315 [−2.00] (0.049) | −0.131376 [−1.474] (0.140) | −0.137707 [−1.793] (0.072) |
| IP_g (Regime 1) | −0.101737 [−0.911] (0.365) | −0.061522 [−0.571] ( 0.567) | −0.041661 [−0.407] (0.683) |
| Econ-Uncertainty (Regime 0) | 0.00102752 [0.091] (0.927) | 0.000837 [0.066] (0.9467) | 0.055207 [0.055] (0.956) |
| Econ-Uncertainty (Regime 1) | 0.0855484 [3.50] (0.001) | 0.093576 [3.735] (0.000) | 0.092562 [3.774] ( 0.002) |
| Geo-Risk (Regime 0) | −0.000117223 –[1.77] (0.082) | −0.000117 [−1.741] (0.082) | −0.000118 [−1.758] (0.078) |
| Geo-Risk (Regime 1) | −0.000123795 [−1.20] (0.235) | −0.000133 [−1.417] (0.156) | −0.000140 [−1.484] (0.137) |
| Log Sigma | −4.244732 [−48.889] (0.000) | −4.270023 [−45.563] (0.000) | −4.270560 [−48.807] (0.000) |
| b1 b2 | Transition Variable: Geo-Risk 0.017204 [2.152] (0.031) –0.029640 [−4.161] (0.000) | Transition Variable: Econ_Unc. 3.400850 [1.540] (0.123) –12.45265 [−3.551] (0.000) | TransitionVariable: GDP_g 0.181593 [1.299] (0.193) –1.042940 [−3.799] (0.000) |
| AIC SC | −4.906979 –4.475923 | −4.837105 –4.406049 | −4.639346 –4.208290 |
| Variables | MSM4 | MSM4b | MSM4c |
|---|---|---|---|
| Constant | 0.0325443 | 0.032636 | 0.032139 |
| Constant | 0.0727235 | 0.068107 | 0.062584 |
| Exchange_g | 0.0960139 | 0.099122 | 0.103745 |
| Exchange_g | 0.154087 | 0.161975 | 0.184271 |
| GDP_g | 0.00230061 | 0.002179 | 0.002329 |
| GDP_g | 0.00897510 | 0.009752 | 0.010832 |
| IP_g | −0.132315 | −0.131376 | −0.137707 |
| IP_g | −0.101737 | −0.061522 | −0.041661 |
| Econ-Uncertainty | 0.00102752 | 0.000837 | 0.055207 |
| Econ-Uncertainty | 0.0855484 | 0.093576 | 0.092562 |
| Geo-Risk | −0.000117223 | −0.000117 | −0.000118 |
| Geo-Risk | −0.000123795 | −0.000133 | −0.000140 |
| Log Sigma | −4.244732 | −4.270023 | −4.270560 |
| b1 | Transition Variable: | Transition Variable: Econ_Unc. | TransitionVariable: |
| AIC | −4.906979 | −4.837105 | −4.639346 –4.208290 |
Notes:
The dependent variable is CPI growth. The independent variables are given in the first column. The values in brackets are t-values and the t prob. values are given in parentheses