Palgrave Handbook of Econometrics: Applied Econometrics

Gunnar Bårdsen and Ragnar Nymoen 877

Table 17.1 (continued)

The rate of unemployment

ut=−0.078

(0.019)

{

ut− 1 −7.69

(

w−p

)

t− 2 −0.05[(RL−π)−^100 ^4 y]t− 2 −μu

}

+ 0.44

(0.071)

ut− 1 + 0.49

(0.059)

ut− 4 − 0.27

(0.074)

ut− 5 (17.41)

OLS, T= 1981 ( 1 )− 2007 ( 2 )=106, σˆ=5.0%

FAR( 1 − 5 )(5, 92)=1.04[0.25] FARCH( 1 − (^4) )(4, 89)=0.48[0.75]
χNormality^2 ( 2 )=0.50[0.78] FHet(13, 83)=1.44[0.16].
Interest rates
RL,t=− 0.33
(0.024)
(
RL−0.41RB−0.76R−μRL
)
t− 1

• 0.58
  (0.023)
  Rt (17.42)
  RB,t=− 0.17
  (0.061)
  (
  RB−0.43R−0.57R∗B−μRB
  )
  t− 1


• 0.43
  (0.039)
  Rt


• 0.97
  (0.067)
  R∗B,t (17.43)
  FIML, T= 1993 ( 2 )− 2006 ( 4 )=55, σˆRL=0.10, σˆRB=0.19
  Fvec,AR( 1 − 4 )(16, 84)=0.53[0.92] Fvec,Het(54, 90)=1.30[0.13]
  χvec^2 ,Normality( 4 )=4.61[0.33].
  GDP output
  yt=− 0.21
  (0.041)
  [
  yt− 2 −0.9gt− 1 −0.16
  (
  v+p∗−p
  )
  t− 1 +0.06(RL−π)t−^1 −μy
  ]
  − 0.74
  (0.091)
  yt− 1 + 0.42
  (0.058)
  gt+ 0.67
  (0.11)
  
  (
  l−p
  )
  t− 1 (17.44)
  OLS, T= 1986 ( 2 )− 2007 ( 1 )=104, σˆ=1.4%
  FAR( 1 − 5 )(5, 72)=2.08[0.07] FARCH( 1 − 4 )(4, 69)=0.30[0.87]
  χNormality^2 ( 2 )=1.85[0.68] FHet(11, 65)=1.21[0.30].
  Credit
  
  (
  l−p
  )
  t=−(0.0940.022)
  [(
  l−p
  )
  t− 3 −2.65yt−^4 +0.04(RL,−iB)t−^4 −μl−p
  ]


• 0.15
  (0.043)
   2 yt− 2 + 0.24
  (0.087)
  ^2
  (
  w−p
  )
  t (17.45)
  OLS, T= (^2000) ( (^1) )− (^2007) ( (^2) )=30, σˆ=0.7%
  FAR( 1 − 3 )(3, 23)=0.98[0.42] FARCH( 1 − 3 )(3, 20)=0.32[0.81]
  χ^2 Normality( 2 )=4.73[0.09] FHet(6, 19)=0.25[0.95].