Table A2 Estimation results and... | Emerald Publishing

Table A2

Estimation results and diagnostics of the autoregressive model

Variable	Coefficient	Standard error (p-value in parentheses)
Constant	0.003	0.009 (0.729)
$y_{t - 1}$	−0.523	0.096 (<0.001)
$y_{t - 2}$	−0.203	0.104 (0.053)
$y_{t - 3}$	−0.047	0.106 (0.663)
$y_{t - 4}$	0.432	0.105 (<0.001)
$y_{t - 5}$	0.3	0.099 (0.003)
Portmanteau serial correlation test p-value: 0.729 (1 lag)
0.932 (2 lags)
0.989 (4 lags)
0.985 (8 lags)
0.687 (12 lags)
0.929 (24 lags)
White heteroscedasticity test p-value: 0.869

Variable	Coefficient	Standard error (p-value in parentheses)
Constant	0.003	0.009 (0.729)
$y_{t - 1}$	−0.523	0.096 (<0.001)
$y_{t - 2}$	−0.203	0.104 (0.053)
$y_{t - 3}$	−0.047	0.106 (0.663)
$y_{t - 4}$	0.432	0.105 (<0.001)
$y_{t - 5}$	0.3	0.099 (0.003)
Portmanteau serial correlation test p-value: 0.729 (1 lag)
0.932 (2 lags)
0.989 (4 lags)
0.985 (8 lags)
0.687 (12 lags)
0.929 (24 lags)
White heteroscedasticity test p-value: 0.869

Normality test p-value: 0.281R2: 0.362