RDP 9512: Consumption, Investment and International Linkages Appendix D: Tests for Declining Liquidity Constraints

Table 8: Unit Normal Tests of the Hypothesis of Declining Liquidity Constraints
  Foreign activity measure
Instruments OECD Japan US
ΔYd 1.35* 1.24 1.59*
ΔYd,ΔC 2.62** 2.46** 2.82**
ΔYd,r 1.12 1.01 1.36*
ΔYd,ΔYf,Yd,Yf,r 1.18 0.81 1.59*

Notes: The table tests whether Inline Equation. Values reported are test statistics calculated using: Inline Equation where Inline Equation and Inline Equation are point estimates for the sub-periods 1973:Q2–1982:Q4 and 1983:Q1–1994:Q4 respectively. Similarly Inline Equation and Inline Equation are estimates of the associated variances. Z has approximately an N(0,1) distribution for sufficiently large samples. N(0,1) has critical values 1.65 and 1.29 at the 5% and 10% per cent levels, respectively. Values marked ** (*) are significant at the 5% (10%) level.