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Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model* - page 33 / 46

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Table 2 Parameter Constancy Tests

1 , t i r

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Results are presented for testing the null of parameter constancy using Hansen’s Lc statistic. All data are in weekly frequency. The sample period over which the statistics are estimated is January 12, 1990 through January 10, 2003.

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CONS DISCR

Individual Lc Joint Lc

CONS STAPLE

Individual Lc Joint Lc

ENERGY

Individual Lc Joint Lc

FINANCIALS

Individual Lc Joint Lc

HEALTH CARE

Individual Lc Joint Lc

INDUSTRIALS

Individual Lc Joint Lc

TECHNOLOGY

Individual Lc Joint Lc

MATERIALS

Individual Lc Joint Lc

TELECOMMS

Individual Lc Joint Lc

UTILITIES

Individual Lc Joint Lc

0.031

3.840***

0.106

1.344***

0.117

3.551***

0.038

3.183**

0.054

1.226***

0.017

2.456***

0.069

6.583***

0.035

4.010***

0.127

5.177***

0.291

6.512***

0.075

0.094

0.116

0.025

0.126

0.104

0.076

0.116

0.311

0.4701** 0.156

0.149

0.025

0.670** 0.089

0.118

0.153

0.292

0.093

0.059

0.483**

0.084 4.628***

0.139

0.060

0.150

0.452** 6.011***

0.019

0.242

0.073

0.233 8.571***

0.571**

0.090

0.033

0.212 4.321***

0.257 1.875**

0.107 4.586***

0.144 3.999**

0.223 2.136***

0.249

    • 3.437

      ***

    • 0.355

      *

    • 7.303

      ***

*, **, ***, reject stability at the 10%, 5%, and 1% asymptotic significance levels respectively.

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