Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate



Table 5: The short-run dynamic adjustment

Δ2 ppt
2s12,i
Δ2Δp2,t

Δ‰
δ2
2s
Δ2S2,t

=

0.39   0.29   -0.29

[3.99]         [4.53]        [-3.00]

-4.47 2.88   -1.47

[-3.19]        [3.11]        [-1.05]

-0.59 -0.29 -0.48

[-8.62]      [-6.48]      [-6.98]

0.00   -0.03   0.01

[0.67]        [-6.57]       [1.44]

-0.03   0.00    0.00

[-2.86]        [0.29]         [0.33]

0.03   -0.06   0.02

[4.59]      [-13.55]      [2.67]

-0.04   0.00   -0.02

[-4.86]       [0.66]       [-2.39]

Γ β⅛-1 + ^lΔ¾-1
β-1+ δ2δ¾-1  +

|_ ^3¾-1 + ¾δ¾-1 _

1.00

0.12

1.00

-0.58

-0.07

1.00

with Ω =

-0.04

-0.04

0.15

1.00

0.00

0.03

0.15

0.31

1.00

-0.04

-0.03

0.12

0.35

-0.07

1.00

0.02

0.06

0.01

0.18

0.19

0.11 1.00

22

0.85

0.24

0.93

-0.32

[1.12]

[0.48]

[2.58]

[-0.02]

-7.40

11.35

-1.88

-274.41

[-0.68]

[1.57]

[-0.36]

[-1.00]

-0.84

0.02

-1.39

3.38

[-1.58]

[0.05]

[-5.52]

[0.25]

+

-0.59

-0.21

0.06

-12.26

[-11.16]

[-6.10]

[2.39]

[-9.16]

0.14

-0.45

0.02

-20.69

[1.73]

[-8.24]

[0.57]

[-9.86]

0.16

0.11

0.46

8.41

[2.91]

[2.95]

[17.62]

[5.98]

0.23

0.64

-0.05

-12.02

[3.52]

[14.71]

[-1.76]

[-7.30]


0.08

[0.01]

95.90

,- -,

[0.99]

ε1,t

-1.17

β 1Δ^t-1

¾t

[-0.25]

β 2^t-1

ɛɜ,t

4.28

[9.16]

β 3∆¾-1

+

-¾t

7.23

^11,1δ¾-1

⅛t

[9.85]

_ βɪ1,2ʃt-1

ɛð,t

-2.95

[-6.00]

. ε7,t _

4.20

[7.29]




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