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Future Business Journal

Table 11 Estimates of Parameters for Lower and Higher Regime SETAR(2,2,2) for CPI

From: Modeling inflation rate factors on present consumption price index in Ethiopia: threshold autoregressive models approach

Coefficient

Estimate

Std. Error

T-value

P value

Const. L

−0.415

1.484

0.279

0.779

Lag1-(CPI)

−1.488

0.060

24.767

 < 0.001

Lag2-( CPI)

−0.739

0.067

−10.887

 < 0.001

Proportion (Low Regime)

 

74.450%

  

Const. L

0.687

0.637

1.079

0.281

Lag1-( CPI)

−1.296

0.057

22.731

 < 0.001

Lag2-( CPI)

−0.657

0.063

10.420

 < 0.001

Proportion (High Regime)

 

25.550%

  

Threshold Value

 

6.600

  
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