Table 1. Stochastic Trend Estimation of Historical Yield and Price Data
(Normal distribution)
|
Parameter |
Whitman Yield |
Grant Yield |
Cash Price |
Futures Price |
|
μo |
27.29**(3.63) |
44.22**(6.29) |
5.24**(3.25) |
4.64(3.24) |
|
β0 |
0.73 (1.00) |
0.94 (1.16) |
-0.04 (1.02) |
-0.03 (1.11) |
|
σε |
7.13**(0.63) |
6.92**(1.46) |
0.00 (1.02) |
0.00 (0.23) |
|
ση |
0.00 (0.15) |
3.10*(2.04) |
0.75*(0.10) |
0.71*(0.09) |
|
σς |
0.00 (0.03) |
0.00 (0.25) |
0.00 (0.07) |
0.00 (0.07) |
Note: 1. Standard errors of the estimates are included in the parentheses.
2. “*” denotes the estimate is statistically significant at 0.10 level, and “**” denotes
significance at 0.05 level.
45
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