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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