LPRODLinear Processing Real Orthogonal Design
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The t-statistics for [[Beta].sub.2] exceeds both its 1% and 5% critical values, which implies rejection of the I(0, 1) hypothesis and accordingly leads to the conclusion that the series LPROD, LCPI and LWAGE include no seasonal unit roots.
Table 3 presents the calculated t-values for the ADF tests on each variable, LPROD, LCPI and LWAGE using the lag structure to achieve autocorrelation-free residuals.
Thus, we assume some sort of the model to estimate the structural break assuming there is one cointegrating vector Z (Z = LPROD - 0.73 LCPI + 0.22 LWAGE) which is shown in Figure 1.
The long-run equilibrium is LPROD - 0.033 LCPI - 0.158 LWAGE.