Palgrave Handbook of Econometrics: Applied Econometrics

David F. Hendry 55

+ 0.129

(0.038)

I 1827 − 0.206

(0.039)

I 1921 + 0.119

(0.037)

I 1927

̂σ=0.0368 FAR1− 2 (2, 220)=1.08FARCH 1 (1, 220)=0.14

χnd^2 ( 2 )=1.09FHet(19, 202)=2.24∗∗ FRESET(1, 221)=5.97∗

pt= 3.32

(0.65)

+ 0.87

(0.03)

pt− 1 − 0.46

(0.22)

yc,t− 4 + 0.68

(0.22)

yc,t− 5

− 0.19

(0.04)

bt− 11 + 0.18

(0.04)

bt− 12

− 0.16

(0.05)

et− 17 + 0.67

(0.16)

I 1757 − 0.51

(0.15)

I 1759 − 0.57

(0.15)

I 1761 +0.58

(0.15)

I 1766

− 0.43

(0.15)

I 1771 − 0.63

(0.15)

I 1775 + 0.43

(0.15)

I 1783 − 0.65

(0.15)

I 1793 − 0.46

(0.15)

I 1826

− 0.49

(0.15)

I 1884 − 0.45

(0.15)

I 1940 − 0.46

(0.15)

I 1942 − 0.52

(0.15)

I 1984 + 0.60

(0.15)

I 1985

̂σ=0.148FAR1− 2 (2, 210)=1.46FARCH 1 (1, 210)=0.57

χnd^2 ( 2 )=4.88FHet(26, 185)=1.41FRESET(1, 211)=0.19

bt= 1.10

(0.05)

bt− 1 − 0.29

(0.05)

bt− 2 − 0.41

(0.10)

yc,t− 2 − 0.41

(0.18)

yc,t− 17 + 0.80

(0.16)

yc,t− 23

+ 0.42

(0.06)

pt− 1 − 0.23

(0.06)

pt− 2 − 0.46

(0.09)

et+ 0.55

(0.10)

et− 1 − 0.23

(0.05)

et− 5

+ 0.64

(0.21)

I 1757 + 0.50

(0.19)

I 1766 − 0.56

(0.18)

I 1822 − 0.65

(0.19)

I 1838 + 0.83

(0.18)

I 1884

̂σ=0.18FAR1− 2 (2, 216)=1.60FARCH 1 (1, 216)=2.48

χnd^2 ( 2 )=5.25FHet(25, 192)=1.64∗ FRESET(1, 217)=1.59

et= 1.12

(0.06)

et− 1 − 0.17

(0.06)

et− 2 + 0.69

(0.16)

yc,t− 0.69

(0.16)

yc,t− 1

− 0.10

(0.03)

bt+ 0.12

(0.03)

bt− 1 + 0.35

(0.10)

I 1802 + 0.31

(0.11)

I 1922

+ 0.31

(0.10)

I 1959 − 0.31

(0.10)

I 1973 − 0.58

(0.11)

I 1974