The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)
\({CSAD}_{t }= \alpha + {\gamma }_{1 }\left|{R}_{m,t}\right|+ {\gamma }_{2}\left({R}_{m,t}^{2}\right)+ {\varepsilon }_{t}\) | \({CSAD}_{t}^{UP} = \alpha + {\gamma }_{1}^{UP}\left|{R}_{m,t}^{UP}\right|+{\gamma }_{2}^{UP}{\left({R}_{m,t}^{UP}\right)}^{2}+ {\varepsilon }_{t}\) | \({CSAD}_{t}^{DOWN} = \alpha + {\gamma }_{1}^{DOWN}\left|{R}_{m,t}^{DOWN}\right|+{\gamma }_{2}^{DOWN}{\left({R}_{m,t}^{DOWN}\right)}^{2}+ {\varepsilon }_{t}\) | ||||||
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\(\boldsymbol{\alpha }\) | \({{\varvec{\gamma}}}_{1}\) | \({{\varvec{\gamma}}}_{2}\) | \(\boldsymbol{\alpha }\) | \({{\varvec{\gamma}}}_{1}^{{\varvec{U}}{\varvec{P}}}\) | \({{\varvec{\gamma}}}_{2}^{{\varvec{U}}{\varvec{P}}}\) | \(\boldsymbol{\alpha }\) | \({{\varvec{\gamma}}}_{1}^{{\varvec{D}}{\varvec{O}}{\varvec{W}}{\varvec{N}}}\) | \({{\varvec{\gamma}}}_{2}^{{\varvec{D}}{\varvec{O}}{\varvec{W}}{\varvec{N}}}\) |
0.0019 | 0.1765 | −2.9366 | 0.0020 | 0.1231 | −1.9444 | 0.0016 | 0.3311 | −7.2060 |
(0.000)*** | (0.000)*** | (0.001)*** | (0.000)*** | (0.000)*** | (0.001)*** | (0.000)*** | (0.000)*** | (0.000)*** |
Obs | F(2, 1300) | Prob > F | Obs | F(2,670) | Prob > F | Obs | F(2,627) | Prob > F |
1303 | 12.24 | 0.0000 | 673 | 6.98 | 0.0010 | 630 | 8.46 | 0.0002 |