Table 5. Parameter estimates, standard error estimates, and statistical significance of parameters of normal and
non-normal error regression models for the West Texas cotton basis.
|
__________________NHAR(4) |
NNHAR(4) |
FNHAR(4) |
FNNHAR(4) | ||||||
|
Par. |
Var. |
P.E. |
S.E. |
P.E. |
S.E. |
P.E. |
S.E. |
P.E. |
S.E. |
|
pi |
— |
0.9807 |
0.0687i |
0.9626i |
0.02720i |
0.98904 |
0.06593i |
0.95853 |
0.02773i |
|
p2 |
— |
-0.2385 |
0.09652 |
-0.i3640 |
0.04i90i |
-0.24666 |
0.09358i |
-0.i3685 |
0.04244i |
|
-- p3 |
— |
0.i3i9 |
0.0975 |
0.i34i8 |
0.045i8i |
0.i3667 |
0.09606 |
0.i3438 |
0.04602i |
|
—--- p4 |
— |
-0.i073 |
0.06i23 |
-0.i5764 |
0.03732i |
-0.ii249 |
0.060i73 |
-0.i5605 |
0.03682i |
|
-- _B0___ |
— |
-i4.5204 |
i2.2673 |
-i3.7478 |
8.60659 |
-i8.26522 |
7.848872 |
-ii.83432 |
6.663783 |
|
_B__ |
TXP |
0.i930 |
0.5i59 |
-0.ii620 |
0.i3i43 |
0.i8625 |
0.46566 |
-0.i2095 |
0.i2967 |
|
_B__ |
USP |
0.3022 |
0.2476 |
0.3i76i |
0.i43032 |
0.330ii |
0.23807 |
0.34039 |
0.08453i |
|
Вз____ |
FP |
0.09i3 |
0.i452 |
0.23745 |
0.08869i |
0.i020i |
0.i3689 |
0.24439 |
0.06782i |
|
-B__ |
TXBS |
-0.3323 |
0.3043 |
-0.477i5 |
0.258i53 |
-0.32229 |
0.29i86 |
-0.48446 |
0.245362 |
|
_B__ |
USBS |
0.i800 |
0.3508 |
0.52388 |
0.i6576i |
0.i8375 |
0.343i7 |
0.55098 |
0.i559ii |
|
_Вб___ |
FBS |
0.0i62 |
0.i053 |
0.i6266 |
0.068242 |
0.03877 |
0.i05i5 |
0.i7332 |
0.04436i |
|
_B7___ |
FMU |
-0.036i |
0.3599 |
-0.26306 |
0.ii3202 |
0.0226i |
0.i73i4 |
-0.26656 |
0.i0223i |
|
_B__ |
RRI |
0.0i46 |
0.i479 |
0.03i85 |
0.08302 |
— |
— | ||
|
_B__ |
STRC |
-i.4566 |
i.2934 |
-i.i5475 |
i.26i64 |
-i.35748 |
i.252i4 |
-i.i3765 |
i.23339 |
|
Bio |
FDPR |
i.0527 |
0.6739 |
0.43i63 |
0.47683 |
i.03744 |
0.67i4i |
0.35747 |
0.38805 |
|
Bii |
SD |
-i.099i |
0.4225i |
-0.69499 |
0.23655i |
-i.06572 |
0.4i4i02 |
-0.636i5 |
0.i8ii5i |
|
Bi2 |
PDi |
2.i954 |
2.36i4 |
i.85i66 |
i.84490 |
i.29i06 |
i.i5962 |
2.38576 |
i.ii5272 |
|
Bi3 |
PD2 |
i.i976 |
2.6599 |
-0.85989 |
2.30983 |
— |
— | ||
|
2 |
— |
i6.0036 |
2.8967i |
ii.35527 |
4.i3477i |
i6.i3068 |
3.00359i |
i0.95924 |
3.63400i |
|
2 σ SD |
SD |
-ii.3i79 |
2.8i22i |
-5.82i20 |
3.8776i |
-ii.505i8 |
2.778i5i |
-5.42047 |
3.343203 |
|
2 |
PDi |
-0.39i9 |
i.3692 |
-i.76i88 |
i.42804 |
-0.38268 |
i.54083 |
-i.80659 |
i.40307 |
|
2 σ PD2 |
PD2 |
-3.4360 |
i.0000i |
-3.9i090 |
i.35i65i |
-3.35245 |
i.02i57i |
-3.89927 |
i.3395ii |
|
-Θ__ |
— |
— |
— |
0.95789 |
0.225i4i |
— |
— |
0.93976 |
0.20077i |
|
μ. |
— |
— |
— |
0.69869 |
0.250i7i |
— |
— |
0.72557 |
0.26i77i |
|
—--- ΘSD |
SD |
— |
— |
-i.2i066 |
0.308iii |
— |
— |
-i.i9269 |
0.29i55i |
|
Θpdi |
PDi |
— |
— |
0.02i53 |
0.i9ii6 |
— |
— | ||
|
ΘpD2_ |
PD2 |
— |
— |
0.576i8 |
0.i9320i |
— |
— |
0.57207 |
0.i7i90i |
|
MVLLF |
-352.820 |
-282.353 |
-352.964 |
-282.448 | |||||
|
R2 |
0.77 |
0.77 |
0.77 |
0.77 | |||||
Notes: NHAR(4), NNHAR(4), FNHAR(4) and FNNHAR(4) refer to the initial normal and non-normal and to the
final normal and non-normal heteroskedastic fourth-order autoregressive models; the parameters (Par.) and
variables (Var.) are as defined in the text; P.E. and S.E. refers to the parameter and standard error estimates; 1, 2,
and 3 denote statistical significance at the 1%, 5% and 10% level, respectively, according to two-tailed t-tests;
MVLLF refers to the maximum value reached by the model’s concentrated log-likelihood function; and the R2 is
calculated by dividing the regression sum of squares (based on the autocorrelated {AR(4)} predictions) by the
total sum of squares, i.e. it is the square of the correlation coefficient between the AR(4) predictions and the
observed basis values.
28