Table 1: Estimation Results
|
Panel A: AR(4) model | |||
|
Coefficient |
Estimate |
Std. Error |
t-stat. |
|
n |
1.201 |
0.177 |
6.777 |
|
a1 |
1.054 |
0.058 |
18.165 |
|
a2 |
-0.125 |
0.089 |
-1.392 |
|
a3 |
-0.443 |
0.070 |
6.308 |
|
a4 |
0.368 |
0.035 |
10.452 |
|
σ2! |
0.064 |
0.005 |
13.733 |
Panel B: Regime Switching model
|
Coefficient |
Estimate |
Std. Error |
t-stat. |
|
ni |
0.760 |
0.244 |
3.117 |
|
a11 |
0.700 |
0.312 |
2.249 |
|
a12 |
-0.212 |
0.312 |
-0.679 |
|
n2 |
1.306 |
0.082 |
15.892 |
|
a21 |
1.397 |
0.079 |
20.573 |
|
a22 |
-0.530 |
0.058 |
-9.094 |
|
σ21 |
0.219 |
0.047 |
4.694 |
|
σ22 |
0.014 |
0.002 |
8.106 |
|
P |
0.767 |
0.101 |
7.543 |
|
Q |
0.933 |
0.033 |
28.617 |
Panel C: State Space model
|
Coefficient |
Estimate |
Std. Error |
t-stat. |
|
n |
0.266 |
0.044 |
6.091 |
|
n1 |
0.991 |
0.002 |
438.82 |
|
ln(σe2 ) |
-2.503 |
0.104 |
-24.049 |
|
ln(σ2u) |
-6.462 |
0.594 |
-10.884 |
Table 2. Certainty Equivalent Discount Factors
|
Model Year |
3.5% |
AR(4) |
Regime Switching |
State |
|
Л |
0.96618 |
0.96618 |
0.96618 |
0.96618 |
|
20 |
0.50257 |
0.48208 |
0.51472 |
0.61857 |
|
40 |
0.25257 |
0.23676 |
0.26746 |
0.40678 |
|
60 |
0.12693 |
0.11778 |
0.13981 |
0.27722 |
|
80 |
0.06379 |
0.05912 |
0.07354 |
0.19368 |
|
100 |
0.03206 |
0.02997 |
0.0389 |
0.13775 |
|
150 |
0.00574 |
0.00569 |
0.00813 |
0.06172 |
|
200 |
0.00103 |
0.00115 |
0.00177 |
0.02882 |
|
250 |
0.00018 |
0.00027 |
0.00041 |
0.01379 |
|
300 |
0.00003 |
0.00008 |
0.0001 |
0.00669 |
|
350 |
0.00001 |
0.00003 |
0.00003 |
0.00328 |
|
400 |
0.00000 |
0.00002 |
0.00001 |
0.00161 |
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