Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

Table 8

Parameter estimates of the error-correction model (Japanese yen/USD).

Dependent variable
Constant	0.007140 (0.000857)
	−0.196340 (0.094108)
	−0.142225 (0.056548)
	−0.696862 (0.042555)
	−0.270160 (0.074984)
	−0.153279 (0.050455)
	−0.240341 (0.052362)
	0.007958 (0.003636)
	0.003006 (0.001549)
	−0.014830 (0.006601)
	0.7197
SE	0.014771
(9,403)	121.8 [0.000]
AR 1–7 test: (7,372)	1.5011 [0.1654]
Normality test: Chi^∧2(2)	21.272 [0.00018]
Hetero test: (18,360)	4.0361 [0.0000]
Hetero-X test: (54,324)	4.1976 [0.0000]

Notes: The ECM model is estimated by ordinary least squares; is the coefficient of determination; SE is the standard error of the regression; figures in parentheses after coefficient estimates are White [44] corrected standard errors; we also report the Lagrange multiplier serial correlation from lag one to seven in residuals; heteroskedasticity test statistics are based on quadratic and cross-product form of the regressors; all the test statistics are distributed as central distribution under the relevant null hypothesis, with the degree of freedom in parenthesis and marginal significance levels in squared brackets after the test statistics; the joint significance is tested with the aid of an statistic while the significance of the error-correction term and other regressors are valuated with a statistic.