Listing B.

6: R output
AIC
BIC logLik
133.6 202.5 -54.78
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Estimate Std .
0.320
-1.399
-0.439
-1.947
0.011
-0.074
***

Error t value
Pr ( >| t |)
0.243
1.32
0.1878
0.629
-2.22
0.0261 *
0.144
-3.05
0.0023 **
0.431
-4.52 0.00000627 ***
0.200
0.06
0.9561
0.015
-4.93 0.00000081 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4647

Multiple R - squared : 0.938
Standardized Residuals :
Min
Q1
-0.994823442 -0.040811062
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Med
0.000001673

Estimate Std .
0.388
-0.099
0.330
-0.486
0.333
-0.009
***

Q3
0.182695579

Error t value Pr ( >| t |)

0.123
3.15 0.00161 **
0.308
-0.32 0.74821
0.076
4.34 0.000014 ***
0.188
-2.58 0.00974 **
0.099
3.36 0.00077 ***
0.012
-0.75 0.45325

0.001

**

0.01

Residual standard error : 0.5393

Multiple R - squared : 0.739
Standardized Residuals :
Min
Q1
Med
-1.318038 -0.257951 0.006092

Max
0.815541006

Q3
0.215691

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.3847
0.2888
Regime 2
0.6153
0.7112

30

Max
0.897990

0.05

Listing B.7: R output

AIC
BIC
logLik
135.8385 204.7473 -55.91926
Coefficients :
Regime 1
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.3276
0.1853 1.7679 0.077078
SupplyShock ( S )
0.1774
0.3827 0.4635 0.643006
DemandShock ( S )
-0.3024
0.1438 -2.1029 0.035475
OilPriceShock ( S ) -1.2461
0.2192 -5.6848 1.31 e -08
CDN . US .1( S )
0.1431
0.1399 1.0229 0.306355
EX . SA .1( S )
-0.0309
0.0106 -2.9151 0.003556
--Signif . codes : 0
***
0.001
**
0.01
*

.
*
***
**
0.05

0.1

0.1

Residual standard error : 0.8732299

Multiple R - squared : 0.7034
Standardized Residuals :
Min
Q1
-1.94529090 -0.31928656

Med
0.09400356

Q3
0.38984292

Max
1.32636339

Regime 2
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.1331
0.0990 1.3444
0.1788
SupplyShock ( S )
-0.0950
0.1382 -0.6874
0.4918
DemandShock ( S )
0.4369
0.0463 9.4363 < 2e -16 ***
OilPriceShock ( S ) -0.0162
0.1470 -0.1102
0.9123
CDN . US .1( S )
0.3594
0.0587 6.1227 9.2 e -10 ***
EX . SA .1( S )
-0.0007
0.0047 -0.1489
0.8816
--Signif . codes : 0
***
0.001
**
0.01
*
0.05
Residual standard error : 0.2745129
Multiple R - squared : 0.9343
Standardized Residuals :
Min
Q1
Med
-4.328277 e -01 -1.081919 e -01 -3.286157 e -14
Transition probabilities :
Regime 1 Regime 2
Regime 1 0.780725 0.2674927
Regime 2 0.219275 0.7325073

31

Q3
4.560732 e -02

Max
6.123939 e -01

Listing B.8: R output

AIC
BIC
logLik
140.4443 209.3532 -58.22217
Coefficients :
Regime 1
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.1026
0.1389
0.7387 0.460089
SupplyShock ( S )
1.8959
0.3196
5.9321 2.991 e -09
DemandShock ( S )
-0.7440
0.1091
-6.8194 9.142 e -12
OilPriceShock ( S ) -2.5129
0.2227 -11.2838 < 2.2 e -16
CDN . US .1( S )
0.2853
0.1000
2.8530 0.004331
NET . SA .1( S )
0.1128
0.0205
5.5024 3.747 e -08
--Signif . codes : 0
***
0.001
**
0.01
*

***
***
***
**
***
0.05

0.1

0.1

Residual standard error : 0.4632804

Multiple R - squared : 0.942
Standardized Residuals :
Min
Q1
-1.0596289936 -0.0217617287

Med
0.0000449793

Q3
0.0838274968

Max
0.5810023528

Regime 2
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.3859
0.1447 2.6669 0.0076554 **
SupplyShock ( S )
-0.0142
0.2194 -0.0647 0.9484129
DemandShock ( S )
0.2875
0.0791 3.6346 0.0002784 ***
OilPriceShock ( S ) -0.7114
0.1944 -3.6595 0.0002527 ***
CDN . US .1( S )
0.3443
0.1006 3.4225 0.0006205 ***
NET . SA .1( S )
0.0101
0.0156 0.6474 0.5173731
--Signif . codes : 0
***
0.001
**
0.01
*
0.05
Residual standard error : 0.6523649
Multiple R - squared : 0.6433
Standardized Residuals :
Min
Q1
Med
-1.560777838 -0.375835694 -0.006192836
Transition probabilities :
Regime 1 Regime 2
Regime 1 0.6401617 0.150033
Regime 2 0.3598383 0.849967

32

Q3
0.345825584

Max
1.167611195

Listing B.9: R output

AIC
BIC
logLik
140.3552 209.2641 -58.17761
Coefficients :
Regime 1
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.1997
0.2565 0.7786
0.43622
SupplyShock ( S )
1.0439
0.4942 2.1123
0.03466 *
DemandShock ( S )
-0.3625
0.1727 -2.0990
0.03582 *
OilPriceShock ( S ) -2.1933
0.3540 -6.1958 5.799 e -10 ***
CDN . US .1( S )
0.2005
0.1812 1.1065
0.26851
MGIM . R .1( S )
0.0102
0.0080 1.2750
0.20231
--Signif . codes : 0
***
0.001
**
0.01
*
0.05

0.1

0.1

Residual standard error : 0.768282

Multiple R - squared : 0.833
Standardized Residuals :
Min
Q1
Med
-1.5467595 -0.2131154 0.0979899

Q3
0.2316515

Max
1.0193386

Regime 2
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.4100
0.1309 3.1322 0.001735
SupplyShock ( S )
-0.1055
0.1754 -0.6015 0.547507
DemandShock ( S )
0.2993
0.0644 4.6475 3.360 e -06
OilPriceShock ( S ) -0.5196
0.1707 -3.0439 0.002335
CDN . US .1( S )
0.3963
0.0858 4.6189 3.858 e -06
MGIM . R .1( S )
-0.0117
0.0037 -3.1622 0.001566
--Signif . codes : 0
***
0.001
**
0.01
*

**
***
**
***
**
0.05

Residual standard error : 0.4982375

Multiple R - squared : 0.7834
Standardized Residuals :
Min
Q1
-0.935804826 -0.275417168

Med
0.001435069

Transition probabilities :
Regime 1 Regime 2
Regime 1 0.5722977 0.206155
Regime 2 0.4277023 0.793845

33

Q3
0.254291971

Max
1.027796818

Listing B.10: R output

AIC
BIC
logLik
140.3552 209.2641 -58.17761
Coefficients :
Regime 1
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.1997
0.2565 0.7786
0.43622
SupplyShock ( S )
1.0439
0.4942 2.1123
0.03466 *
DemandShock ( S )
-0.3625
0.1727 -2.0990
0.03582 *
OilPriceShock ( S ) -2.1933
0.3540 -6.1958 5.799 e -10 ***
CDN . US .1( S )
0.2005
0.1812 1.1065
0.26851
MGIM . R .1( S )
0.0102
0.0080 1.2750
0.20231
--Signif . codes : 0
***
0.001
**
0.01
*
0.05

0.1

0.1

Residual standard error : 0.768282

Multiple R - squared : 0.833
Standardized Residuals :
Min
Q1
Med
-1.5467595 -0.2131154 0.0979899

Q3
0.2316515

Max
1.0193386

Regime 2
---------

Estimate Std . Error t value Pr ( >| t |)

( Intercept )( S )
0.4100
0.1309 3.1322 0.001735
SupplyShock ( S )
-0.1055
0.1754 -0.6015 0.547507
DemandShock ( S )
0.2993
0.0644 4.6475 3.360 e -06
OilPriceShock ( S ) -0.5196
0.1707 -3.0439 0.002335
CDN . US .1( S )
0.3963
0.0858 4.6189 3.858 e -06
MGIM . R .1( S )
-0.0117
0.0037 -3.1622 0.001566
--Signif . codes : 0
***
0.001
**
0.01
*

**
***
**
***
**
0.05

Residual standard error : 0.4982375

Multiple R - squared : 0.7834
Standardized Residuals :
Min
Q1
-0.935804826 -0.275417168

Med
0.001435069

Transition probabilities :
Regime 1 Regime 2
Regime 1 0.5722977 0.206155
Regime 2 0.4277023 0.793845

34

Q3
0.254291971

Max
1.027796818

Listing B.11: R output

AIC
BIC logLik
139.9 208.8 -57.94
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
CCIM . R ( S )
--Signif . codes : 0

Estimate Std .
0.281
0.039
-0.385
-1.893
0.162
-0.074
***

Error t value
Pr ( >| t |)
0.171
1.64
0.1004
0.384
0.10
0.9188
0.125
-3.08
0.0021 **
0.229
-8.27 0 . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 2 ***
0.118
1.37
0.1698
0.019
-3.90 0 . 0 0 0 0 9 8 1 9 8 7 2 9 7 7 2 3 5 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.6544

Multiple R - squared : 0.859
Standardized Residuals :
Min
Q1
Med
-1.34191 -0.18155 0.04634
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
CCIM . R ( S )
--Signif . codes : 0

Q3
0.19173

Estimate Std .
0.342
-0.104
0.377
-0.450
0.326
0.023
***

Max
1.12286

Error t value Pr ( >| t |)

0.117
2.92
0.00347 **
0.215
-0.48
0.62839
0.076
4.96 0.0000007 ***
0.159
-2.83
0.00465 **
0.097
3.36
0.00078 ***
0.019
1.21
0.22590

0.001

**

0.01

Residual standard error : 0.5188

Multiple R - squared : 0.775
Standardized Residuals :
Min
Q1
Med
-1.257770 -0.213941 0.002407

Q3
0.269157

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.6792
0.2111
Regime 2
0.3208
0.7889

35

Max
0.917514

0.05

Listing B.12: R output

AIC
BIC logLik
133.6 202.5 -54.78
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Estimate Std .
0.318
-1.406
-0.437
-1.952
0.013
-0.074
***

Error t value Pr ( >| t |)

0.255
1.25
0.2124
0.650
-2.16
0.0305 *
0.149
-2.93
0.0034 **
0.459
-4.25 0.0000211 ***
0.216
0.06
0.9522
0.016
-4.62 0.0000037 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4638

Multiple R - squared : 0.938
Standardized Residuals :
Min
Q1
-0.991514058 -0.039244594
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Med
0.000001486

Estimate Std .
0.388
-0.097
0.331
-0.487
0.333
-0.009
***

Q3
0.188378714

Error t value Pr ( >| t |)

0.124
3.13 0.00175 **
0.317
-0.31 0.75960
0.076
4.36 0.000013 ***
0.189
-2.58 0.00997 **
0.099
3.36 0.00077 ***
0.013
-0.69 0.48894

0.001

**

0.01

Residual standard error : 0.5395

Multiple R - squared : 0.74
Standardized Residuals :
Min
Q1
Med
-1.320634 -0.258109 0.006112

Max
0.815583064

Q3
0.216696

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.3791
0.2912
Regime 2
0.6209
0.7088

36

Max
0.900276

0.05

Listing B.13: R output

AIC
BIC logLik
63.88 115.1 -19.94
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . US . CDN ( S )
--Signif . codes : 0

Estimate Std .
-0.241
1.485
-0.282
1.002
0.479
0.008
***

Error t value
Pr ( >| t |)
0.160
-1.51
0.13207
0.374
3.97 0.000071572 ***
0.076
-3.71
0.00021 ***
0.186
5.39 0.000000072 ***
0.109
4.39 0.000011128 ***
0.006
1.33
0.18253

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4252

Multiple R - squared : 0.876
Standardized Residuals :
Min
Q1
Med
-0.6162533 -0.1499221 -0.0007075
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . US . CDN ( S )
--Signif . codes : 0

Estimate Std .
-0.816
-0.236
-1.538
-1.550
-0.509
0.054
***

Q3
0.0718149

Max
1.0133640

Error t value Pr ( >| t |)

0.106
-7.70 1.4 e -14 ***
0.127
-1.86
0.063 .
0.116
-13.26 < 2e -16 ***
0.122
-12.70 < 2e -16 ***
0.064
-7.95 1.8 e -15 ***
0.005
10.80 < 2e -16 ***

0.001

**

0.01

Residual standard error : 0.2095

Multiple R - squared : 0.971
Standardized Residuals :
Min
Q1
Med
-3.133 e -01 -7.309 e -04 3.775 e -76

Q3
3.499 e -02

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.5912
0.3877
Regime 2
0.4088
0.6123

37

Max
4.021 e -01

0.05

Listing B.14: R output

AIC
BIC logLik
65.33 116.6 -20.67
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . US . CDN ( S )
--Signif . codes : 0

Estimate Std .
-1.254
3.446
-0.213
1.271
0.128
0.067
***

Error t value Pr ( >| t |)

0.450
-2.79
0.0053 **
0.811
4.25 0.000021 ***
0.136
-1.57
0.1173
0.321
3.96 0.000075 ***
0.185
0.69
0.4889
0.027
2.48
0.0131 *

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.5599

Multiple R - squared : 0.817
Standardized Residuals :
Min
Q1
-0.73353520 -0.07918028
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . US . CDN ( S )
--Signif . codes : 0

Med
0.00007834

Estimate Std .
-0.186
-0.737
-0.224
-1.516
-0.720
0.040
***

Q3
0.05838240

Max
0.90958552

Error t value
Pr ( >| t |)
0.102
-1.82
0.068 .
0.179
-4.12 0.000038384 ***
0.091
-2.46
0.014 *
0.163
-9.30
< 2e -16 ***
0.086
-8.37
< 2e -16 ***
0.007
5.71 0.000000011 ***

0.001

**

0.01

Residual standard error : 0.3376

Multiple R - squared : 0.912
Standardized Residuals :
Min
Q1
Med
-4.679 e -01 -1.905 e -01 1.731 e -14

Q3
1.765 e -01

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.7517 0.07097
Regime 2
0.2483 0.92903

38

Max
6.695 e -01

0.05

Listing B.15: R output

AIC
BIC logLik
65.5 116.8 -20.75
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.945
-1.441
0.325
-1.015
0.377
0.080
***

Error t value
Pr ( >| t |)
0.247
3.83
0.00013 ***
0.492
-2.93
0.00340 **
0.109
2.98
0.00286 **
0.244
-4.16 0.000031825 ***
0.147
2.56
0.01032 *
0.014
5.71 0.000000011 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4434

Multiple R - squared : 0.886
Standardized Residuals :
Min
Q1
Med
Q3
Max
-1.0915793285841 -0.0016061558806 -0.0000000001339
0 .6 55 4 13 54 6 56 1 0
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.313
1.898
-0.175
0.329
-0.021
-0.024
***

0 .0 0 00 0 00 33 9 33 9

Error t value
Pr ( >| t |)
0.180
1.74
0.082 .
0.292
6.50 0.00000000008 ***
0.140
-1.25
0.211
0.242
1.36
0.174
0.126
-0.17
0.867
0.005
-4.80 0.00000158666 ***

0.001

**

0.01

0.05

Residual standard error : 0.4973

Multiple R - squared : 0.849
Standardized Residuals :
Min
Q1
Med
-0.95551363615 -0.12713776359 -0.00000004527
Transition probabilities :
Regime 1 Regime 2
Regime 1 0.00000001964
0.8403
Regime 2 0.99999998036
0.1597

39

Q3
0.11723069513

Max
0.89661728808

Listing B.16: R output

AIC
BIC logLik
63.1 114.4 -19.55
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.582
-0.958
0.173
-0.739
0.563
0.038
***

Error t value
Pr ( >| t |)
0.262
2.22
0.02635
0.406
-2.36
0.01827
0.161
1.07
0.28237
0.276
-2.68
0.00741
0.167
3.37
0.00075
0.007
5.43 0.000000057

0.001

**

0.01

*
*
**
***
***
0.05

0.1

0.1

Residual standard error : 0.6161

Multiple R - squared : 0.781
Standardized Residuals :
Min
Q1
Med
-0.9945240 -0.0374590 -0.0001386
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.035
2.681
0.053
0.814
-0.007
0.002
***

Q3
0.2826141

Max
0.6992782

Error t value Pr ( >| t |)

0.123
0.28
0.78
0.235
11.41
< 2e -16 ***
0.095
0.56
0.58
0.177
4.60 0.0000042 ***
0.079
-0.09
0.93
0.005
0.40
0.69

0.001

**

0.01

0.05

Residual standard error : 0.3104

Multiple R - squared : 0.938
Standardized Residuals :
Min
Q1
Med
Max
-0.415729626772 -0.080260673220 -0.000000004596
0.51 918318 1420
Transition probabilities :
Regime 1 Regime 2
Regime 1
0.1007 0.92012
Regime 2
0.8993 0.07988

40

Q3
0 .03512 982352 8

Listing B.17: R output

AIC
BIC logLik
55.24 106.5 -15.62
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US . LAG1 ( S )
--Signif . codes : 0

Estimate Std .
-0.283
1.237
-0.307
1.093
0.450
0.009
***

Error t value Pr ( >| t |)

0.279
-1.01 0.31058
0.441
2.81 0.00503
0.120
-2.56 0.01053
0.327
3.34 0.00083
0.182
2.47 0.01340
0.006
1.50 0.13361

0.001

**

0.01

**
*
***
*
0.05

0.1

0.1

Residual standard error : 0.5479

Multiple R - squared : 0.774
Standardized Residuals :
Min
Q1
Med
-0.896257 -0.198624 -0.001682
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US . LAG1 ( S )
--Signif . codes : 0

Q3
0.130024

Estimate Std .
0.716
-1.214
-0.363
-0.504
-0.408
-0.073
***

Max
1.450799

Error t value Pr ( >| t |)

0.068
10.53
<2e -16 ***
0.082
-14.80
<2e -16 ***
0.034
-10.68
<2e -16 ***
0.054
-9.33
<2e -16 ***
0.035
-11.66
<2e -16 ***
0.003
-24.33
<2e -16 ***

0.001

**

0.01

Residual standard error : 0.1038

Multiple R - squared : 0.994
Standardized Residuals :
Min
Q1
Med
-1.533 e -01 -1.439 e -02 -2.814 e -61

Q3
2.859 e -18

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.4449
0.8198
Regime 2
0.5551
0.1802

41

Max
1.659 e -01

0.05

Listing B.18: R output

AIC
BIC logLik
73.93 125.2 -24.96
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US . LAG1 ( S )
--Signif . codes : 0

Estimate Std .
0.252
2.597
0.072
0.790
0.504
-0.035
***

Error t value
Pr ( >| t |)
0.147
1.71
0.087 .
0.213
12.19
< 2e -16 ***
0.082
0.88
0.380
0.142
5.56 0.000000027 ***
0.099
5.09 0.000000356 ***
0.007
-5.00 0.000000573 ***

0.001

**

0.01

0.05

0.1

0.05

0.1

Residual standard error : 0.3269

Multiple R - squared : 0.943
Standardized Residuals :
Min
Q1
Med
-4.130 e -01 -1.376 e -01 -3.940 e -19
Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US . LAG1 ( S )
--Signif . codes : 0

Estimate Std .
-0.089
-0.495
-0.480
-0.980
-0.203
-0.007
***

Q3
8.346 e -02

Max
7.351 e -01

Error t value Pr ( >| t |)

0.247
-0.36
0.719
0.550
-0.90
0.368
0.285
-1.68
0.092 .
0.390
-2.51
0.012 *
0.197
-1.03
0.303
0.006
-1.17
0.243

0.001

**

0.01

Residual standard error : 0.5904

Multiple R - squared : 0.691
Standardized Residuals :
Min
Q1
Med
-1.101227 -0.228083 0.001785

Q3
0.291669

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.5768
0.4856
Regime 2
0.4232
0.5144

42

Max
0.862396

Bibliography
Kilian, Lutz. 2006. Not all oil price shocks are alike: Disentangling demand and
supply shocks in the crude oil market.

43