Benchmark/rival model | h = 1 | h = 2 | h = 4 |
---|---|---|---|
 | Expectations | ||
HAR-RV vs. HAR-RV-states/q = 0.95 | 0.0218 | 0.1292 | 0.1412 |
HAR-RV vs. HAR-RV-states/q = 0.75 | 0.0205 | 0.0654 | 0.0833 |
HAR-RV vs. HAR-RV-states/q = 0.5 | 0.0154 | 0.0390 | 0.0733 |
HAR-RV vs. HAR-RV-states/q = 0.25 | 0.0030 | 0.0186 | 0.0732 |
HAR-RV vs. HAR-RV-states/q = 0.05 | 0.0052 | 0.0341 | 0.0749 |
HAR-RV-US vs. HAR-RV-states/q = 0.95 | 0.0211 | 0.1279 | 0.1356 |
HAR-RV-US vs. HAR-RV-states/q = 0.75 | 0.0202 | 0.0654 | 0.0832 |
HAR-RV-US vs. HAR-RV-states/q = 0.5 | 0.0153 | 0.0389 | 0.0732 |
HAR-RV-US vs. HAR-RV-states/q = 0.25 | 0.0030 | 0.0184 | 0.0729 |
HAR-RV-US vs. HAR-RV-states/q = 0.05 | 0.0002 | 0.0326 | 0.0746 |
 | Financials | ||
HAR-RV vs. HAR-RV-states/q = 0.95 | 0.0416 | 0.1628 | 0.2245 |
HAR-RV vs. HAR-RV-states/q = 0.75 | 0.0490 | 0.0833 | 0.1458 |
HAR-RV vs. HAR-RV-states/q = 0.5 | 0.0271 | 0.0580 | 0.1083 |
HAR-RV vs. HAR-RV-states/q = 0.25 | 0.0017 | 0.0577 | 0.1209 |
HAR-RV vs. HAR-RV-states/q = 0.05 | 0.0267 | 0.1026 | 0.1075 |
HAR-RV-US vs. HAR-RV-states/q = 0.95 | 0.0410 | 0.1616 | 0.2195 |
HAR-RV-US vs. HAR-RV-states/q = 0.75 | 0.0487 | 0.0833 | 0.1456 |
HAR-RV-US vs. HAR-RV-states/q = 0.5 | 0.0270 | 0.0579 | 0.1081 |
HAR-RV-US vs. HAR-RV-states/q = 0.25 | 0.0017 | 0.0575 | 0.1206 |
HAR-RV-US vs. HAR-RV-states/q = 0.05 | 0.0218 | 0.1012 | 0.1072 |
 | Households | ||
HAR-RV vs. HAR-RV-states/q = 0.95 | 0.0000 | 0.1586 | 0.1788 |
HAR-RV vs. HAR-RV-states/q = 0.75 | 0.0128 | 0.0844 | 0.1204 |
HAR-RV vs. HAR-RV-states/q = 0.5 | 0.0208 | 0.0434 | 0.1010 |
HAR-RV vs. HAR-RV-states/q = 0.25 | 0.0386 | 0.0457 | 0.0947 |
HAR-RV vs. HAR-RV-states/q = 0.05 | 0.0349 | 0.0556 | 0.1232 |
HAR-RV-US vs. HAR-RV-states/q = 0.95 | − 0.0007 | 0.1574 | 0.1734 |
HAR-RV-US vs. HAR-RV-states/q = 0.75 | 0.0126 | 0.0844 | 0.1203 |
HAR-RV-US vs. HAR-RV-states/q = 0.5 | 0.0206 | 0.0433 | 0.1009 |
HAR-RV-US vs. HAR-RV-states/q = 0.25 | 0.0386 | 0.0455 | 0.0944 |
HAR-RV-US vs. HAR-RV-states/q = 0.05 | 0.0300 | 0.0541 | 0.1229 |
 | Labour market | ||
HAR-RV vs. HAR-RV-states/q = 0.95 | 0.0000 | 0.1580 | 0.2217 |
HAR-RV vs. HAR-RV-states/q = 0.75 | 0.0000 | 0.0801 | 0.1318 |
HAR-RV vs. HAR-RV-states/q = 0.5 | 0.0279 | 0.0254 | 0.1002 |
HAR-RV vs. HAR-RV-states/q = 0.25 | 0.0364 | 0.0277 | 0.1013 |
HAR-RV vs. HAR-RV-states/q = 0.05 | 0.0307 | 0.0457 | 0.1295 |
HAR-RV-US vs. HAR-RV-states/q = 0.95 | − 0.0007 | 0.1568 | 0.2166 |
HAR-RV-US vs. HAR-RV-states/q = 0.75 | − 0.0003 | 0.0801 | 0.1317 |
HAR-RV-US vs. HAR-RV-states/q = 0.5 | 0.0278 | 0.0252 | 0.1001 |
HAR-RV-US vs. HAR-RV-states/q = 0.25 | 0.0364 | 0.0275 | 0.1010 |
HAR-RV-US vs. HAR-RV-states/q = 0.05 | 0.0258 | 0.0442 | 0.1292 |
 | Mobility | ||
HAR-RV vs. HAR-RV-states/q = 0.95 | 0.0060 | 0.1409 | 0.2098 |
HAR-RV vs. HAR-RV-states/q = 0.75 | 0.0253 | 0.0660 | 0.1128 |
HAR-RV vs. HAR-RV-states/q = 0.5 | 0.0295 | 0.0249 | 0.0784 |
HAR-RV vs. HAR-RV-states/q = 0.25 | 0.0012 | 0.0427 | 0.0671 |
HAR-RV vs. HAR-RV-states/q = 0.05 | 0.0001 | 0.0947 | 0.1317 |
HAR-RV-US vs. HAR-RV-states/q = 0.95 | 0.0053 | 0.1396 | 0.2047 |
HAR-RV-US vs. HAR-RV-states/q = 0.75 | 0.0251 | 0.0659 | 0.1126 |
HAR-RV-US vs. HAR-RV-states/q = 0.5 | 0.0294 | 0.0247 | 0.0783 |
HAR-RV-US vs. HAR-RV-states/q = 0.25 | 0.0012 | 0.0425 | 0.0668 |
HAR-RV-US vs. HAR-RV-states/q = 0.05 | − 0.0049 | 0.0933 | 0.1314 |
 | Real activity | ||
HAR-RV vs. HAR-RV-states/q = 0.95 | 0.0280 | 0.1327 | 0.2037 |
HAR-RV vs. HAR-RV-states/q = 0.75 | 0.0219 | 0.0684 | 0.1026 |
HAR-RV vs. HAR-RV-states/q = 0.5 | 0.0193 | 0.0353 | 0.0892 |
HAR-RV vs. HAR-RV-states/q = 0.25 | 0.0000 | 0.0436 | 0.0829 |
HAR-RV vs. HAR-RV-states/q = 0.05 | 0.0000 | 0.0601 | 0.1284 |
HAR-RV-US vs. HAR-RV-states/q = 0.95 | 0.0273 | 0.1314 | 0.1985 |
HAR-RV-US vs. HAR-RV-states/q = 0.75 | 0.0216 | 0.0684 | 0.1025 |
HAR-RV-US vs. HAR-RV-states/q = 0.5 | 0.0192 | 0.0352 | 0.0891 |
HAR-RV-US vs. HAR-RV-states/q = 0.25 | 0.0000 | 0.0434 | 0.0826 |
HAR-RV-US vs. HAR-RV-states/q = 0.05 | − 0.0050 | 0.0587 | 0.1281 |