Table 8 Coefficients’ estimations of a VAR (2) model between the \( {D}_t^{\mathrm{ln}} \) and Ot for all phases. Top: model for \( {D}_t^{\mathrm{ln}} \). Bottom: model for Ot. Italics: significant results with 5% level
\( {D}_t^{\mathrm{ln}} \)= | Coefficient | p value |
\( {D}_{t-1}^{ln} \) | 1.343 | 0.000 |
\( {D}_{t-2}^{ln} \) | − 0.347 | 0.000 |
O t − 1 | 0.012 | 0.165 |
O t − 2 | − 0.001 | 0.942 |
Const | − 0.001 | 0.975 |
Ot= | Coefficient | p value |
\( {D}_{t-1}^{\mathrm{ln}} \) | − 0.658 | 0.503 |
\( {D}_{t-2}^{\mathrm{ln}} \) | 0.582 | 0.552 |
O t − 1 | 1.098 | 0.000 |
O t − 2 | − 0.204 | 0.038 |
Const | 0.904 | 0.027 |