TVECMTriangular Vector Error Correction Model
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Threshold cointegrtion is accepted for the model and TVECM shows the different speed of adjustment parameters as in case of lower and higher regime.
LM consistent heteroscedastic test statistics: Table 4 TVECM Model Variable ECTt-1 ECTt-1 [less than or equal to] [greater than or equal to] 7.1% 7.1% Coef/std.
No que tange a transmissao de retornos entre os indices, o modelo TVECM apresenta diferencas em relacao ao VECM comum.
Alem disso, os resultados calculados para as estatisticas Q indicam a nao ocorrencia de correlacao serial nos residuos das series estimadas por meio do modelo TVECM. Entretanto, verificou-se que o termo de correcao de erro nao foi significativamente diferente de zero em nenhuma das equacoes que representam os retornos dos indices setoriais, evidenciando que desequilibrios do relacionamento em longo prazo nao foram ajustados por meio do modelo de curto prazo.
The algorithm for the TVECM estimation involves a three step procedure.
1 shows the discontinuous adjustment within a TVECM. Horizontal axis plots deviations from the long-run equilibrium between spread over bund and CDS, which is the error-correction term (ECT).
Our findings in Table 3 are not affected if a two-variable, ([s.sub.t], [p.sup.*.sub.t] - [p.sub.t]), TVECM is applied.
(9) With a two-variable TVECM, we find that the mean-reverting adjustment of the real pound rate and the real New Zealand dollar rate is mainly attributed to the adjustment in the price differential between the United States and the UK ([p.sup.*] - p) and the nominal New Zealand dollar rate, respectively.