Campbell-Shiller regression for the maturity couple (60, 3); while, Figure 9.b (panel below) focuses
on the maturity pair (120, 3). Results are similar for other couples of maturities (n, 3).
---p-val --p-val
Table 8 shows some descriptive statistics of the estimated slope coefficient, obtained with rolling
regressions. The bottom part reports statistics computed over the entire sample (January 1964 - June
2002). The top part reports statistics worked out within each threshold regime. For any combination
of maturities (n, m), the mean of the estimated slope coefficient is very close to unity. Moreover, the
variability of βt is definitely lower in the sub-samples. In particular, the standard deviation of the
rolling βt estimates in the sub-regimes is approximately one-tenth of the standard deviation
computed in the single regime model.
23
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