Table 10 Estimates of Parameters for Lower and Higher Regime SETAR(2,4,4) for CPI
Variables | Estimate | Std. Error | T-value | P value |
|---|---|---|---|---|
Intercept | 0.522 | 0.136 | 3.827 | < 0.001 |
lag1-(CPI) | 1.093 | 0.074 | 14.696 | < 0.001 |
lag2-( CPI) | −0.861 | 0.106 | −8.051 | < 0.001 |
lag3-(CPI) | 0.706 | 0.120 | 5.886 | < 0.001 |
lag4-( CPI) | −0.128 | 0.068 | −1.880 | 0.063 |
Proportion (Low Regime) | 72.900% | |||
Intercept-( CPI) | 0.019 | 0.218 | 2.252 | 0.0253 |
Lag1-( CPI) | 1.330 | 0.071 | 18.639 | < 0.001 |
Lag2-( CPI) | −0.351 | 0.118 | -2.968 | 0.003 |
Lag3-( CPI) | 0.180 | 0.123 | 1.466 | 0.144 |
Lag4-( CPI) | −0.162 | 0.078 | −2.072 | 0.039 |
Proportion (High Regime) | 27.100% | |||
Threshold Value | 174.300 |