A Dependent Hidden Markov Model of Credit Quality

Table 2

Linear regression results.

(a) Summary output

Regression statistics
Multiple 𝑅	0.9935
𝑅 square	0.9871
Adjusted 𝑅 square	0.9868
Standard error	0.0236
Observations	64

(b) ANOVA

	df	SS	MS	𝐹	Significance 𝐹
Regression	1	2.6345	2.6345	4728.10	0.0000
Residual	62	0.0345	0.0006
Total	63	2.6690

(c)  

	Coeff	Std err	𝑡 stat	𝑃 value	Lower	Upper
					95%	95%
Intercept	−0.0003	0.0031	−0.1109	0.9121	−0.0065	0.0058
𝑠(𝑟𝑗𝑖)	1.0058	0.0146	68.7612	0.0000	0.9765	1.0350