25
(d) North America
Period |
Scale |
D-statistic |
Critical Values |
H0: Homogeneity | ||||
10% |
5% |
1% |
10% |
5% |
1% | |||
1997-1998 |
d1 |
0.103 |
0.108 |
0.120 |
0.144 |
T |
T |
T |
d2 |
0.066 |
0.151 |
0.167 |
0.202 |
T |
T |
T | |
d3 |
0.092 |
0.218 |
0.243 |
0.295 |
T |
T |
T | |
d4 |
0.391 |
0.319 |
0.355 |
0.428 |
F |
F |
T | |
d5 |
0.316 |
0.503 |
0.558 |
0.659 |
T |
T |
T | |
d6 |
0.984 |
0.993 |
0.998 |
0.999 |
T |
T |
T | |
1999-2001 |
d1 |
0.056 |
0.088 |
0.098 |
0.117 |
T |
T |
T |
d2 |
0.120 |
0.126 |
0.140 |
0.167 |
T |
T |
T | |
d3 |
0.125 |
0.176 |
0.195 |
0.232 |
T |
T |
T | |
d4 |
0.131 |
0.256 |
0.284 |
0.342 |
T |
T |
T | |
d5 |
0.232 |
0.381 |
0.425 |
0.505 |
T |
T |
T | |
d6 |
0.598 |
0.636 |
0.703 |
0.815 |
T |
T |
T | |
1999-2002 |
d1 |
0.058 |
0.077 |
0.085 |
0.101 |
T |
T |
T |
d2 |
0.0944 |
0.109 |
0.121 |
0.144 |
T |
T |
T | |
d3 |
0.088 |
0.152 |
0.168 |
0.203 |
T |
T |
T | |
d4 |
0.169 |
0.218 |
0.243 |
0.295 |
T |
T |
T | |
d5 |
0.166 |
0.319 |
0.355 |
0.428 |
T |
T |
T | |
d6 |
0.295 |
0.503 |
0.558 |
0.659 |
T |
T |
T |
Note: An Inclan-Tiao approximation is used to compute the critical values for sample sizes N≥128, while a
Monte Carlo Technique is used for N<128. “T” indicates that we cannot reject the null hypothesis and “F”
otherwise.
Table 5 Volatility shifts test after controlling for conditional heteroskedasticity: Interest rates
(a) 30 days
Period |
Scale |
D-statistic |
Critical Values |
H0: Homogeneity | ||||
10% |
5% |
1% |
10% |
5% |
1% | |||
2000-Jan 2001 |
d1 |
0.094 |
0.152 |
0.169 |
0.203 |
T |
T |
T |
d2 |
0.194 |
0.213 |
0.236 |
0.287 |
T |
T |
T | |
d3 |
0.148 |
0.315 |
0.351 |
0.421 |
T |
T |
T | |
d4 |
0.603 |
0.503 |
0.558 |
0.659 |
F |
F |
T | |
d5 |
0.999 |
0.993 |
0.998 |
0.999 |
F |
F |
T | |
Feb 2001-Apr 2002 |
d1 |
0.161 |
0.141 |
0.157 |
0.188 |
F |
F |
T |
d2 |
0.155 |
0.198 |
0.220 |
0.265 |
T |
T |
T | |
d3 |
0.394 |
0.291 |
0.325 |
0.390 |
F |
F |
F | |
d4 |
0.584 |
0.442 |
0.489 |
0.586 |
F |
F |
T | |
d5 |
0.708 |
0.901 |
0.948 |
0.988 |
T |
T |
T |
More intriguing information
1. Regionale Wachstumseffekte der GRW-Förderung? Eine räumlich-ökonometrische Analyse auf Basis deutscher Arbeitsmarktregionen2. Dual Track Reforms: With and Without Losers
3. Evaluation of the Development Potential of Russian Cities
4. The name is absent
5. The name is absent
6. The name is absent
7. The name is absent
8. The name is absent
9. The name is absent
10. Industrial Cores and Peripheries in Brazil