Table 5:
MLE of trend equation.
Panel A: up trend equation (
)
Index
-stat.
value
DJI
0.0007***
−0.0080
0.671***
0.011
0.018
67.954
0.001
(2.956)
(−0.674)
(11.606)
STI
0.0004
0.013
0.893***
0.012
0.040
42.387
0.001
(0.097)
(0.574)
(8.840)
Panel B: down trend equation (
)
Index
-stat.
value
DJI
−0.001***
−0.113***
0.538***
0.012
0.0150
64.694
0.001
(−3.926)
(−9.761)
(6.605)
STI
−0.002***
0.008
0.227*
0.013
0.0017
1.965
0.140
(−3.759)
(0.389)
(1.925)
Panel C: trend equation
Index
-stat.
value
DJI
0.0265***
0.012
0.001
11.334
0.001
(−0.019)
(3.367)
STI
0.124 ***
0.013
0.015
67.537
0.001
(−0.067)
(8.218)
Panel D: nonlinearity Test
-stat.
d.f.
value
DJI
1035.713
5
0.001
STI
300.714
5
0.001
Note: Asterisks ***, **, * indicate significance at the 1%, 5%, 10% level, respectively.
-statistics are given in parentheses beneath the parameter estimates.
Panel A:
.
Panel B:
.
Panel C:
.