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Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model* - page 35 / 46

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Table 4 Log Marginal Likelihood Results for Tested Models

CONS DISCR

-1509.16

-1561.00

-1546.66

-1516.65

CONS STAPLE

-1441.81

-1482.44

-1459.90

-1421.54

ENERGY

-1526.62

-1577.42

-1553.16

-1530.91

FINANCIALS

-1624.57

-1681.40

-1653.84

-1631.14

HEALTH CARE

-1557.21

-1593.43

-1570.48

-1545.39

INDUSTRIALS

-1486.91

-1551.76

-1526.59

-1494.67

TECHNOLOGY

-1790.64

-1856.57

-1838.03

-1822.00

MATERIALS

-1545.43

-1605.36

-1583.89

-1552.33

TELECOMM

-1547.12

-1579.09

-1574.32

-1550.19

UTILITIES

-1374.16

-1448.24

-1429.48

-1401.57

Log marginal likelihood values for four alternative model specifications are presented for ten industry sectors below.

SECTOR

Model (5)

Model (5a)

Model (5b)

Model (5c)

34

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