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Table 7 Risk premium: \(E_{t}[\Delta S_{i,t+k}]=\beta _{0}+\beta _{1}(F_{t}^{t+k}-S_{t})+\beta _{2}\lambda (\frac{x'_{it}\beta }{\sigma })+\sum _{j}{\gamma _jD_\mathrm{{year}}}+\alpha _i+\epsilon _{it}\)

From: Great expectations? evidence from Colombia’s exchange rate survey

Coefficient/test k = 1 month k = 1 year
First differences Fixed effects First differences Fixed effects
\(\beta _{0}\) 0.00 (0.003) −0.01*** (0.001) −0.00 (0.003) 0.03*** (0.005)
\(\beta _{1}\) 0.95*** (0.047) 1.07***(0.041) 0.39*** (0.035) 0.46*** (0.034)
\(\beta _{2}\) 0.00 (0.003) 0.00 (0.002) 0.00 (0.005) 0.00 (0.005)
\(t: \beta _{1}=1\) 1.30 (0.257) 2.96* (0.089) 294*** (0.000) 251*** (0.000)
\(Wald: \beta _{0}=0 \, \beta _{1}=1\) 1.14 (0.324) 36.9*** (0.000) 150*** (0.000) 126*** (0.000)
Observations 3611 4100 2869 3443
  1. Source: authors’ calculations. \(\beta _2\) corresponds to the inverse mills ratio, \(\lambda (\cdot )\), estimated from the Attrition Probit Regression (see Table 3). All estimations were conducted with clustered standard errors,reported in parenthesis. P values are reported only for the t test and Wald test (last two rows). Coefficients for time dummies are not reported.The Hausman test, conducted for all regressions, rejects the null hypothesis in which the unobserved time-invariant component is uncorrelated with the model’s covariates
  2. ***, **, * correspond to significance levels of 1, 5 and 10 %, respectively