0306E - Faculty of Social Sciences - Université d'Ottawa

Equation B.16. Estimated STSM Model for the Domestic Sector
Coefficient
t ¡ stat
level 18.050 18.0
slope 0.0026 0.8
Ldom t¡3 -0.180 -2.8
(D ¤ )1987 : 12 -0.060 -1.8
(D)1988 : 01 0.160 4.6
(L ¤¤ )1999 : 05 0.160 5.7
Jan 0.030 -22.0
Feb 0.015 3.0
Mar -0.0007 3.7
Apr -0.0018 -0.2
May 0.005 -0.5
Jun -0.008 1.2
Jul 0.012 -2.1
Aug -0.041 3.4
Sep 0.029 -9.7
Oct 0.030 6.8
Nov 0.010 3.2
T [1985 : 12 ¡ 2001 : 02] = 183; R 2 = 0:40; e¾ = 0:032
LJB = 7:52 (0:02); DW = 1:97; Q(12; 9) = 17:06 (0:05)
F ARCH = 1:47 (0:08); PEV = 0:00102
notes: D ¤ is a regular dummy as de…ned before and L ¤¤ is a level dummy
suggesting a change in level at the given date
is
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