Table 1- Estimation of Auxiliary Regressions
|
Panel A: Equation (5) |
F1 |
F2 |
Q(24) |
______R-sq |
|
S&P 500 |
.91 |
.37 |
.98 |
.08 |
|
S&P 500 Dividend Yield |
.00 |
.48 |
.99 |
.98 |
|
World ex US |
.82 |
.46 |
.92 |
.09 |
|
World ex US Dividend Yield |
.00 |
.44 |
.99 |
.95 |
|
Term Structure |
.29 |
.31 |
.99 |
.12 |
|
US M2 |
.00 |
.87 |
.34 |
.32 |
|
Industrial Production |
.00 |
.04 |
.99 |
.18 |
|
Inflation |
.00 |
.29 |
.99 |
.49 |
|
US Dollar Index |
.00 |
.39 |
.95 |
.25 |
|
Consumer Confidence |
.71 |
.01 |
.99 |
.19 |
|
Gold |
.12 |
.48 |
.98 |
.12 |
|
Palladium |
.71 |
.50 |
.95 |
.08 |
|
Silver |
.45 |
.26 |
.99 |
.10 |
|
Platinum______________________ |
.09 |
.39 |
.71 |
____________.12 |
|
Panel B: Equation (4) | ||||
|
F1 F2 Q(24) |
R-sq. | |||
|
S&P 500 |
.75 .83 .40 |
.07 | ||
|
S&P 500 Dividend Yield |
.00 .88 .28 |
.15 | ||
|
World ex US |
.12 .49 .93 |
.12 | ||
|
World ex US Dividend Yield |
.24 .50 .94 |
.11 | ||
|
Term Structure |
.20 .00 .99 |
.22 | ||
|
US M2 |
.00 .59 .99 |
.20 | ||
|
Industrial Production |
.74 .00 .92 |
.16 | ||
|
Inflation |
.02 .05 .98 |
.18 | ||
|
US Dollar Index |
.60 .84 .97 |
.07 | ||
|
Consumer Confidence |
.05 .44 .96 |
.13 | ||
|
Gold |
.00 .79 .99 |
.15 | ||
|
Palladium |
.13 .90 .36 |
.10 | ||
|
Silver |
.00 .92 .97 |
.14 | ||
|
Platinum______________________ |
.04 .39 .76 |
.13__________ | ||
Note- F1 refers to an F-statistic to test for joint exclusion of all lagged dependent
variables, while F2 is similarly F-test for joint exclusion of all seasonal variables. P-
values are reported. Q(24) is Ljung-Box Q test for auotocorrelation with 24 degrees of
freedom.
18