Table 9 Estimates of Parameters for Lower and Higher Regime SETAR (2,2,3) for CPI
Variables | Estimate | Std. Error | T-value | P value |
|---|---|---|---|---|
Intercept | 0.975 | 0.130 | 7.486 | 0.000 |
Lag1-(CPI) | 1.073 | 0.088 | 12.169 | 0.000 |
Lag2-(CPI) | −0.430 | 0.999 | −0.430 | 0.000 |
Proportion (Low Regime) | 29.690% | |||
Intercept | 0.022 | 0.008 | 2.656 | 0.0085 |
Lag1-(CPI) | 1.253 | 0.091 | −13.169 | 0.0311 |
Lag2-(CPI) | −0.215 | 0.099 | −2.169 | 0.0311 |
Lag-(CPI) | −0.041 | 0.0617 | −0.663 | 0.5075 |
Proportion (High Regime) | 70.310% |