0306E - Faculty of Social Sciences - Université d'Ottawa
0306E - Faculty of Social Sciences - Université d'Ottawa
0306E - Faculty of Social Sciences - Université d'Ottawa
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Equation B.13. Estimated Filtered ARMA Model for the Domestic Sector<br />
Filt(Ldom) t = 1:521<br />
(0:0709)<br />
+ 0:336<br />
(0:146)<br />
¡ 0:275<br />
(0:15)<br />
¡ 0:288<br />
(0:105)<br />
¡ 0:446<br />
(0:112)<br />
+ 0:156<br />
(0:0441)<br />
Filt(Ldom) t¡1 ¡ 1:323<br />
(0:122)<br />
Filt(Ldom) t¡3 + 0:383<br />
(0:145)<br />
Filt(Ldom) t¡5 + 0:409<br />
(0:147)<br />
F ilt(Ldom) t¡7 + 0:348<br />
(0:0959)<br />
F ilt(Ldom) t¡10 + 0:168<br />
(0:0708)<br />
D1988 : 01 ¡ 0:162<br />
(0:0435)<br />
F ilt(Ldom) t¡2<br />
F ilt(Ldom) t¡4<br />
F ilt(Ldom) t¡6<br />
Filt(Ldom) t¡9<br />
Filt(Ldom) t¡11<br />
D2000 : 05<br />
T[1985 : 12 ¡ 2001 : 02] = 207; R 2 = 0:87; e¾ = 0:043; AIC = ¡3:39;<br />
BIC = ¡3:35; LJB = 0:94 (0:62); LM AR (1 ¡ 7) = 0:27 (0:97);<br />
F ARCH (1 ¡ 7) = 2:96 (0:006); RESET = 2:33 (0:13)<br />
35
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