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Table 9 Unbiasedness (2):   \(\Delta S_{t+k}=\beta _{0}+\beta _{1}E_{t}[\Delta S_{i,t+k}]+\beta _{2}\lambda (\frac{x'_{it}\beta }{\sigma })+\sum _{j}{\gamma _jD_{year}}+\epsilon _{t}\)

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

\(\beta _{0}\)

0.01*** (0.001)

−0.01*** (0.001)

−0.01*** (0.001)

−0.14*** (0.004)

\(\beta _{1}\)

0.72*** (0.036)

0.68*** (0.028)

0.24*** (0.040)

0.32*** (0.058)

\(\beta _{2}\)

0.00 (0.003)

0.00 (0.003)

0.00 (0.005)

0.00 (0.006)

\(t: \beta _{1}=1\)

57.4*** (0.000)

144*** (0.000)

363*** (0.000)

134*** (0.000)

\(Wald: \beta _{0}=0 \, \beta _{1}=1\)

41.7*** (0.000)

96.7*** (0.000)

205*** (0.000)

2801*** (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