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Financial Innovation

Table 8 Estimated results for panel smooth transition regression model

From: Do US states’ responses to COVID-19 restore investor sentiment? Evidence from S&P 500 financial institutions

Independent variables

Parameter estimates

Government response index (GRI)

First extreme regime β0 β0

Second extreme regime β0 + β1 β0 + β1

TS

0.267

1.308**

 

(0.230)

(0.639)

GRI

0.026***

0.044***

 

(0.010)

(0.002)

BETA

0.019**

0.184***

 

(0.007)

(0.015)

SIZE

3.156***

3.210***

 

(0.252)

(0.256)

Transition parameters

Thresholds (c1, c2)

[61.33***, 65.85***]

[(0.064), (0.012)]

(c1 + c2)/2

63.59

Slope (γ)

4.71

(0.193)

  1. Values in parentheses are robust standard errors. Asterisks ***, **, and * denote statistical significance at the 1%, 5%, and 10% statistical levels, respectively
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