Dep. Variable: | rgnp | No. Observations: | 131 | \n", + "
---|---|---|---|
Model: | MarkovAutoregression | Log Likelihood | -181.263 | \n", + "
Date: | Mon, 17 Apr 2023 | AIC | 380.527 | \n", + "
Time: | 21:45:33 | BIC | 406.404 | \n", + "
Sample: | 04-01-1951 | HQIC | 391.042 | \n", + "
- 10-01-1984 | \n", + " | ||
Covariance Type: | approx | \n", + " |
coef | std err | z | P>|z| | [0.025 | 0.975] | \n", + "|
---|---|---|---|---|---|---|
const | -0.3588 | 0.265 | -1.356 | 0.175 | -0.877 | 0.160 | \n", + "
coef | std err | z | P>|z| | [0.025 | 0.975] | \n", + "|
---|---|---|---|---|---|---|
const | 1.1635 | 0.075 | 15.614 | 0.000 | 1.017 | 1.310 | \n", + "
coef | std err | z | P>|z| | [0.025 | 0.975] | \n", + "|
---|---|---|---|---|---|---|
sigma2 | 0.5914 | 0.103 | 5.761 | 0.000 | 0.390 | 0.793 | \n", + "
ar.L1 | 0.0135 | 0.120 | 0.112 | 0.911 | -0.222 | 0.249 | \n", + "
ar.L2 | -0.0575 | 0.138 | -0.418 | 0.676 | -0.327 | 0.212 | \n", + "
ar.L3 | -0.2470 | 0.107 | -2.310 | 0.021 | -0.457 | -0.037 | \n", + "
ar.L4 | -0.2129 | 0.111 | -1.926 | 0.054 | -0.430 | 0.004 | \n", + "
coef | std err | z | P>|z| | [0.025 | 0.975] | \n", + "|
---|---|---|---|---|---|---|
p[0->0] | 0.7547 | 0.097 | 7.819 | 0.000 | 0.565 | 0.944 | \n", + "
p[1->0] | 0.0959 | 0.038 | 2.542 | 0.011 | 0.022 | 0.170 | \n", + "
\n", + " | mean | \n", + "sd | \n", + "hdi_3% | \n", + "hdi_97% | \n", + "mcse_mean | \n", + "mcse_sd | \n", + "ess_bulk | \n", + "ess_tail | \n", + "r_hat | \n", + "
---|---|---|---|---|---|---|---|---|---|
coefs[L1.phi] | \n", + "0.275 | \n", + "0.150 | \n", + "-0.019 | \n", + "0.555 | \n", + "0.006 | \n", + "0.004 | \n", + "598.0 | \n", + "1568.0 | \n", + "1.01 | \n", + "
coefs[L2.phi] | \n", + "0.098 | \n", + "0.136 | \n", + "-0.155 | \n", + "0.354 | \n", + "0.003 | \n", + "0.002 | \n", + "1856.0 | \n", + "2556.0 | \n", + "1.00 | \n", + "
coefs[L3.phi] | \n", + "-0.130 | \n", + "0.122 | \n", + "-0.359 | \n", + "0.097 | \n", + "0.003 | \n", + "0.002 | \n", + "2045.0 | \n", + "4296.0 | \n", + "1.00 | \n", + "
coefs[L4.phi] | \n", + "-0.111 | \n", + "0.109 | \n", + "-0.320 | \n", + "0.092 | \n", + "0.002 | \n", + "0.002 | \n", + "2356.0 | \n", + "5668.0 | \n", + "1.00 | \n", + "
P[0, 0] | \n", + "0.497 | \n", + "0.236 | \n", + "0.017 | \n", + "0.840 | \n", + "0.013 | \n", + "0.010 | \n", + "316.0 | \n", + "222.0 | \n", + "1.02 | \n", + "
P[0, 1] | \n", + "0.503 | \n", + "0.236 | \n", + "0.160 | \n", + "0.983 | \n", + "0.013 | \n", + "0.009 | \n", + "316.0 | \n", + "222.0 | \n", + "1.02 | \n", + "
P[1, 0] | \n", + "0.201 | \n", + "0.203 | \n", + "0.000 | \n", + "0.648 | \n", + "0.018 | \n", + "0.013 | \n", + "174.0 | \n", + "287.0 | \n", + "1.02 | \n", + "
P[1, 1] | \n", + "0.799 | \n", + "0.203 | \n", + "0.352 | \n", + "1.000 | \n", + "0.018 | \n", + "0.013 | \n", + "174.0 | \n", + "287.0 | \n", + "1.02 | \n", + "
state_mus[State_1] | \n", + "-0.351 | \n", + "0.538 | \n", + "-1.290 | \n", + "0.696 | \n", + "0.045 | \n", + "0.032 | \n", + "131.0 | \n", + "182.0 | \n", + "1.03 | \n", + "
state_mus[State_2] | \n", + "1.025 | \n", + "0.203 | \n", + "0.663 | \n", + "1.385 | \n", + "0.009 | \n", + "0.007 | \n", + "564.0 | \n", + "478.0 | \n", + "1.01 | \n", + "
sigma | \n", + "0.870 | \n", + "0.091 | \n", + "0.705 | \n", + "1.039 | \n", + "0.003 | \n", + "0.002 | \n", + "708.0 | \n", + "2741.0 | \n", + "1.00 | \n", + "