Model 1:
ARMAX, using observations 1957:06-1979:08 (T = 267)
Estimated
using Kalman filter (exact ML)
Dependent
variable: Ratio
Standard
errors based on Hessian
coefficient std. error z
p-value
---------------------------------------------------------
const
0.650441 0.0246480 26.39
1.83e-153 ***
phi_1 0.876993 0.0297168 29.51
2.04e-191 ***
var23 0.00235627 0.000457168 5.154
2.55e-07 ***
Mean
dependent var 0.735553 S.D. dependent var 0.083849
Mean of
innovations -0.000334 S.D. of
innovations 0.035214
Log-likelihood 513.8762 Akaike criterion -1019.752
Schwarz
criterion -1005.403 Hannan-Quinn -1013.989
Real Imaginary
Modulus Frequency
-----------------------------------------------------------
AR Root
1 1.1403 0.0000
1.1403 0.0000
-----------------------------------------------------------