Appendix B: Parameter Estimates and Test Statistics for Models 2 and 3 | RDP 1977-05: Modelling Monetary Disequilibrium

TABLE B.1: PARAMETER ESTIMATES FOR GROUP 1 EQUATIONS
1559(3) – 1975(4)
MODEL 2			MODEL 3
Parameter	Estimate	t-ratio	Parameter	Estimate	t-ratio
α₁	.6073	6.73	α₁	.4857	6.23
α₂	.7855	4.73	α₂	.8215	4.78
α₃	.1		α₃	.1
α₄	2.1814	8.00	α₄	2.2976	7.58
α₅	.1698	6.38	α₅	.1629	6.65
α₆	.0146	1.26	α₆	.0075	.72
α₇	.3140	7.31	α₇	.3112	7.29
α₈	.6616	4.00	α₈	.7411	4.40
α₉	.0627	1.28	α₉	.0793	1.61
α₁₀	.0903	6.88	α₁₀	.0980	7.29
α₁₁	0.0		α₁₁	0.0
γ₁	−.1771	4.88
λ₁	.012		λ₁	.012
λ₂	.0151	7.16	λ₂	.0129	3.85
λ₃	.0025		λ₃	.0025
λ₄	.020		λ₄	.020
β₁	1.0		β₁	1.0
β₂	−1.1447	3.25	β₂	−.4624	2.30
β₃	−3.8		β₃	−3.8
β₄	−2.3820	2.48	β₄	.0062	7.69
β₅	−.01		β₅	−.01
β₆	.2044	2.08	β₆	.0079	.69
β₇	.3		β₇	.3
β₈	−.2433	4.55	β₈	−.2533	4.84
β₉	.7		β₉	.7
β₁₀	.8		β₁₀	.8
β₁₁	.0223	3.59	β₁₁	.0223	3.41
β₁₂	0.0		β₁₂	0.0
β₁₃	.1		β₁₃	.1
β₁₄	0.0		β₁₄	0.0
β₁₅	.1911	11.89	β₁₅	.1787	12.66
β₁₆	1.3612	8.64	β₁₆	1.4618	9.06
β₁₇	.2929	6.02	β₁₇	.3176	6.46
β₁₈	.0370	.17	β₁₈	.1274	.80
β₁₉	−.01		β₁₉	−.01
β₂₀	−.0387	2.78	β₂₀	−.0104	.75
β₂₁	16.9364	5.19	β₂₁	17.9029	5.76
β₂₂	−.3826	5.84	β₂₂	−.3585	5.81
β₂₃	3.3082	12.01	β₂₃	3.2010	12.7

TABLE B.2: PARAMETER ESTIMATES FOR GROUP 2 EQUATIONS
MODEL 2			MODEL 3
Parameter	Estimate	t-ratio	Parameter	Estimate	t-ratio
α₁₂	.1898	8.13	α₁₂	.1943	8.35
α₁₃	1.3439	7.48	α₁₃	1.2647	6.74
α₁₄	2.0		α₁₄	2.0
α₁₅	1.1155	7.56	α₁₅	1.0030	6.28
α₁₆	.5		α₁₆	.5
α₁₇	1.2018	5.01	α₁₇	1.1423	4.97
α₁₈	.1587	10.93	α₁₈	.1525	10.37
α₁₉	.26		α₁₉	.26
α₂₀	1.0732	5.63	α₂₀	1.1247	5.99
α₂₁	.1420	2.56	α₂₁	.1517	2.81
α₂₂	.9639	5.28	α₂₂	.9316	5.35
α₂₃	.0045	.75	α₂₃	.0081	1.11
α₂₄	.0184	1.52	α₂₄	.0079	.69
α₂₅	.0318	3.61	α₂₅	.0348	3.94
β₂₄	−.0929	1.79	β₂₄	−.1024	2.08
β₂₅	−.3391	5.86	β₂₅	−.3278	5.49
β₂₆	.2401	5.45	β₂₆	.1950	4.07
β₂₇	−.5324	6.71	β₂₇	−.5757	7.26
β₂₈	.5		β₂₈	.5
β₂₉	2.7572	5.75	β₂₉	2.3730	4.80
β₃₀	−.0057	.16	β₃₀	−.0024	.07
β₃₁	−.8597	10.22	β₃₁	−.8565	10.17
β₃₂	.2406	6.71	β₃₂	.2355	6.56
β₃₃	.8345	31.51	β₃₃	.8391	29.96
β₃₄	10.0692	.6.52	β₃₄	10.6939	6.95
β₃₅	−.2		β₃₅	−.2
β₃₆	1.8643	20.00	β₃₆	1.8788	19.78
β₃₇	.0884	4.38	β₃₇	.0969	2.83
β₃₈	−.0178	3.34	β₃₈	−.0064	.67
β₃₉	.0320	8.55	β₃₉	.0298	4.97
β₄₀	−3.2407	4.15	β₄₀	−3.0889	2.46
β₄₁	4.4307	5.04	β₄₁	3.0785	2.09
β₄₂	1,0708	35.58	β₄₂	1,0631	33.95
β₄₃	.0079	11.75	β₄₃	.0062	7.69
β₄₄	−.0038	4.86	β₄₄	−.0021	2.23
β₄₅	.1208	7.95	β₄₅	.1079	5.12
β₄₆	−.0156	5.97	β₄₆	−.0204	5.98
β₄₇	.1215	5.09	β₄₇	.0862	2.98
β₄₈	−.0184	4.21	β₄₈	−.0162	3.43
β₄₉	.1807	1.93	β₄₉	.2724	2.66
β₅₀	−.0166	.89	β₅₀	−.0376	1.95
β₅₁	.1741	1.29	β₅₁	.0592	.38
β₅₂	.1027	12.72	β₅₂	.1010	11.98
β₅₃	.0663	14.70	β₅₃	.0705	14.61

TABLE B.3: TEST STATISTICS FOR MODELS 2 AND 3
Variable	MODEL 2			MODEL 3
Variable	r²	RMSPE₁	RMSPE₂	r²	RMSPE₁	RMSPE₂
d	.1603	.9	2.7	.1451	.9	2.2
k	.2981	.002*	.002*	.2957	.002*	.002*
l	.3417	.004*	.004*	.3386	.005*	.004*
P	.2637	1.1	2.8	.2597	1.1	4.5
P_x	.2303	2.9	3.9	.2310	2.9	3.8
W	.5295	.8	2.7	.5053	.8	3.9
r	.2442	2.1	10.9	.2778	2.1	10.3
M	.6971	.7	4.6	.7091	.7	8.7
N	.3223	.2	.8	.3189	.2	.8
x	.4051	5.8	5.3	.4006	5.8	5.5
i	.3843	4.6	7.8	.3621	4.6	7.3
y	.2505	2.1	2.9	.2381	2.1	2.8
P_g	.1583	2.2	5.4	.1589	2.1	4.2
B	.3277	1.4	4.9	.3306	1.8	3.3
A	.5516	1.0	3.3	.5523	1.0	8.9
T₁	.4462	7.5	8.4	.4454	7.5	8.5
T₂	.2204	2.7	4.8	.2072	2.8	6.0
R	.3016	5.7	33.4	.3270	5.5	36.5
v	.6126	1.1	8.7	.6553	1.2	4.4
r	.6566	.001*	.003*	.6639	.001*	.007*
E	.7773	.8	2.9	.7890	.8	1.6
I	.1460	1.0	2.4	.1504	1.0	9.0
C	.6361	.9	2.4	.6382	.9	7.7
K	.6401	.1	1.0	.6369	.1	1.5
L	.6215	.2	.7	.6102	.2	1.1

TABLE B.4 KEY VARIABLE DEVIATIONS FROM CONTROL FOLLOWING
A BUDGETARY SHOCK: MODELS 1, 2, AND 3 (ANNUAL GROWTH RATES)
QUARTERS ELAPSED	MODEL 1				MODEL 2				MODEL 3
QUARTERS ELAPSED	y	P	R	M	y	P	R	M	y	P	R	M
1	1.32	.04	−2.84	.96	1.32	.00	.08	1.40	1.28	.00	.24	1.44
2	.96	.16	−2.12	.84	.88	.04	.56	1.32	.88	.00	.83	1.40
3	.80	.32	−1.48	.80	.76	.12	1.00	1.28	.72	.04	1.60	1.40
4	.75	.48	−1.32	.64	.64	.24	1.12	1.12	.60	.04	1.92	1.36
8	.83	.68	−1.54	.36	.54	.52	.41	.80	.47	.24	1.80	1.13
12	.13	.78	−1.41	.10	.25	.91	−1.46	.26	.30	.56	.27	.81
18	−.14	.75	−.28	.18	−,06	1.06	−1.99	.03	.12	.76	−1.53	.11
20	−.23	.82	.97	.43	−,29	1.01	−.22	.25	−.01	.83	−2.24	.18
24	−.22	.98	1.60	.70	−.34	.84	2.71	.81	−.12	.82	−1.55	.21
28	−.19	1.21	1.51	.89	−.22	.69	4.89	1.39	−.19	.78	.20	.47
32	−.22	1.45	1.08	.99	−.02	.60	4.91	1.72.	−.23	.70	2.35	.92
36	−.27	1.68	.75	1.03	.13	.68	2.84	1.64	−.24	.61	4.38	1.45
40	−.34	1.90	.71	1.19	.18	.86	−.03	1.26	−.26	.52	5.87	1.99

RDP 1977-05: Modelling Monetary Disequilibrium Appendix B: Parameter Estimates and Test Statistics for Models 2 and 3