HELENA CHULIÁ ET AL. 313Table 16.4ContinuedPanel B: pre-September 11R1,t R2,t
μ −0.00705 −0.000866
(0.26) (0.21)
R1,t− 1 0.023479 0.048834
(0.70) (0.47)
R2,t− 1 −0.045542 −0.028893
(0.41) (0.63)C=
0.002731
( 0. 00 )
0. 004694
( 0. 00 )
−0.000000
( 0. 99 )
B=
− 0892311
( 0. 00 )0.038724
( 0. 17 )
0.099708
( 0. 00 )
−0.860363
( 0. 00 )
A=
0.066746
( 0. 43 )
−0.207397
( 0. 00 )
0.123347
( 0. 17 )
0.026290
( 0. 73 )
G=
0.445703
( 0. 00 )
−0.015082
( 0. 84 )
0.206972
( 0. 00 )
0.274034
( 0. 00 )
Panel C: post-september 11R1,t R2,tμ −0.000091 −0.000191
(0.87) (0.78)
R1,t− 1 −0.002057 0.163352
(0.97) (0.03)
R2,t− 1 −0.006250 −0.095988
(0.90) (0.13)C=
0.001351
( 0. 00 )
−0.001115
( 0. 00 )
−0.000000
( 0. 99 )
B=
0.954493
( 0. 00 )
0.029803
( 0. 17 )
0.004472
( 0. 18 )
0.958434
( 0. 00 )
A=
−0.137017
( 0. 00 )0.180273
( 0. 00 )
−0.138980
( 0. 00 )0.044365
( 0. 12 )
G=
0.295883
( 0. 00 )
−0.018435
( 0. 20 )
0.029120
( 0. 19 )
0.178761
( 0. 00 )
Notes: This table shows the estimation of the model defined in equations (16.1), (16.2)
and (16.3).p-values appear in brackets. In the three cases the necessary conditions
for the stationarity of the process are satisfied.display the expected value and the standard errors of these non-linear func-
tions for the total period, the pre-September 11 and the post-September 11
period.