Table 3 Parameter estimates and... | Emerald Publishing

Table 3

Parameter estimates and diagnostics of the SETAR model

	Parameter	Estimate	Standard error	95% confidence interval
	$γ$	−0.091		[−0.093, −0.041]
Regime 1: $Δ y_{t - 4}$ ≤ −0.091 (20 observations in regime)
	Constant	0.037	0.066	[ −0.218, 0.197]
	$y_{t - 1}$	0.064	0.227	[ −0.593, 0.655]
	$y_{t - 2}$	−0.063	0.218	[ −0.735, 0.462]
	$y_{t - 3}$	−0.448	0.184	[ −1.011, −0.006]
	$y_{t - 4}$	0.401	0.458	[ −1.275, 1.5]
	$y_{t - 5}$	0.441	0.158	[0.03, 0.862]
Regime 2: $Δ y_{t - 4}$ > −0.091 (106 observations in regime)
	Constant	0.007	0.01	[ −0.027, 0.029]
	$y_{t - 1}$	−0.624	0.098	[ −0.843, −0.407]
	$y_{t - 2}$	−0.164	0.106	[ −0.383, 0.123]
	$y_{t - 3}$	0.127	0.114	[ −0.122, 0.388]
	$y_{t - 4}$	0.369	0.135	[0.055, 0.786]
	$y_{t - 5}$	0.211	0.109	[ −0.047, 0.453]
White heteroscedasticity test p-value: 0.908

	Parameter	Estimate	Standard error	95% confidence interval
	$γ$	−0.091		[−0.093, −0.041]
Regime 1: $Δ y_{t - 4}$ ≤ −0.091 (20 observations in regime)
	Constant	0.037	0.066	[ −0.218, 0.197]
	$y_{t - 1}$	0.064	0.227	[ −0.593, 0.655]
	$y_{t - 2}$	−0.063	0.218	[ −0.735, 0.462]
	$y_{t - 3}$	−0.448	0.184	[ −1.011, −0.006]
	$y_{t - 4}$	0.401	0.458	[ −1.275, 1.5]
	$y_{t - 5}$	0.441	0.158	[0.03, 0.862]
Regime 2: $Δ y_{t - 4}$ > −0.091 (106 observations in regime)
	Constant	0.007	0.01	[ −0.027, 0.029]
	$y_{t - 1}$	−0.624	0.098	[ −0.843, −0.407]
	$y_{t - 2}$	−0.164	0.106	[ −0.383, 0.123]
	$y_{t - 3}$	0.127	0.114	[ −0.122, 0.388]
	$y_{t - 4}$	0.369	0.135	[0.055, 0.786]
	$y_{t - 5}$	0.211	0.109	[ −0.047, 0.453]
White heteroscedasticity test p-value: 0.908

Shapiro–Wilk normality test p-value: 0.067R2: 0.518